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Keywords: Johansen cointegration test
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Journal Articles
International Journal of Islamic and Middle Eastern Finance and Management (2021) 14 (1): 94–113.
Published: 25 August 2020
... and conventional indices, respectively. The study uses monthly data for the period 2014–2018 and applies a number of techniques such as risk adjusted returns, Johansen’s cointegration test, vector error correction model, Granger causality test, forecast error variance decomposition and impulse response functions...
