Kesan Pengklasifikasian Patuh Syariah Terhadap Kemeruapan Pulangan Saham Axis-Reit

Translated title of the contribution: The impact of the conversion of syariah compliance towards axis-REIT stock return volatility

Umar Abdul Basar, Sanep Ahmad, Abu Hassan Shaari Md Nor

Research output: Contribution to journalArticle

Abstract

The purpose of this study is to analyse the impact of the conversion of Axis-REIT stock to Syariah compliance on its return. Analysis is performed on the speculation risk, return volatility and average return using models specification of AR-GARCH, AR-EGARCH, AR-GARCH-M and AR-EGARCH-M. The result of this study found that there were big changes in the return as a result of the conversion. Positive effect was detected from the result because the speculation risk was not present and indirectly the risk premium from the activity disappeared. The volatility of stock return was lower after the conversion and average return was better even in the presence of the finance crisis in 2008 that affected the world economy.

Original languageUndefined/Unknown
Pages (from-to)133-145
Number of pages13
JournalJurnal Ekonomi Malaysia
Volume46
Issue number1
Publication statusPublished - 2012
Externally publishedYes

Fingerprint

Stock return volatility
Real estate investment trusts
Speculation
Risk-return
Model specification
Return volatility
Stock returns
Finance
GARCH-M model
Generalized autoregressive conditional heteroscedasticity
Risk premium
World economy

Keywords

  • GARCH
  • REIT stock
  • Risk premium
  • Syariah compliance stock
  • Volatility

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)

Cite this

Kesan Pengklasifikasian Patuh Syariah Terhadap Kemeruapan Pulangan Saham Axis-Reit. / Basar, Umar Abdul; Ahmad, Sanep; Md Nor, Abu Hassan Shaari.

In: Jurnal Ekonomi Malaysia, Vol. 46, No. 1, 2012, p. 133-145.

Research output: Contribution to journalArticle

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AB - The purpose of this study is to analyse the impact of the conversion of Axis-REIT stock to Syariah compliance on its return. Analysis is performed on the speculation risk, return volatility and average return using models specification of AR-GARCH, AR-EGARCH, AR-GARCH-M and AR-EGARCH-M. The result of this study found that there were big changes in the return as a result of the conversion. Positive effect was detected from the result because the speculation risk was not present and indirectly the risk premium from the activity disappeared. The volatility of stock return was lower after the conversion and average return was better even in the presence of the finance crisis in 2008 that affected the world economy.

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