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- W1510998676 abstract "This research is to examine the transmission of information (at return and volatility level) as well as the correlation between Jakarta Islamic Index and Dow Jones Islamic Market World Index. Data used in this research is secondary data comes from Yahoo Finance, which is the daily return from November 30th, 2007 until May 16th, 2012. The tools to analyze the significance between those two market indices are bivariate VAR GJR-GARCH model. The results indicate significant unidirectional return and volatility transmissions from Dow Jones Islamic Market World Index and Jakarta Islamic Index. There is no evidence of asymmetric effects in volatility in both markets. However volatility is highly persistent and mean-reverting in each market. The findings also revealed that there is low correlation between the two Islamic stock markets investigated." @default.
- W1510998676 created "2016-06-24" @default.
- W1510998676 creator A5050333758 @default.
- W1510998676 date "2013-04-11" @default.
- W1510998676 modified "2023-09-27" @default.
- W1510998676 title "INFORMATION TRANSMISSION BETWEEN ISLAMICSTOCK INDEX IN JAKARTA ISLAMIC INDEX (JII) ANDDOW JONES ISLAMIC MARKET WORLD INDEX (DJIMID)" @default.
- W1510998676 hasPublicationYear "2013" @default.
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