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Keywords: GARCH model
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Journal Articles
International Journal of Islamic and Middle Eastern Finance and Management (2020) 13 (2): 195–218.
Published: 20 February 2020
... 2020 Emerald Publishing Limited 2020 Emerald Publishing Limited Licensed re-use rights only Muslim countries Calendar anomalies Day of the week effect GARCH model In 1965, Fama proposed that stock prices reflect available information regarding the firm value; therefore...
Journal Articles
International Journal of Islamic and Middle Eastern Finance and Management (2018) 11 (2): 182–193.
Published: 24 January 2018
... 1 R m t + β 2 | R m t | + β 3 R m t 2 + ε t Here, CSAD is expressed as follows: GCC countries Quantile regression Herding behaviour GARCH model Islamic stock market The non-efficiency of stock markets gave rise to the development...
