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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.20 No.4
- 발행연도
- 2021.12
- 수록면
- 795 - 807 (13page)
- DOI
- 10.7232/iems.2021.20.4.795
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초록· 키워드
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The pandemic of Covid-19 has affected the equity market to become highly volatile. This study aims to investigate the Autoregressive Conditional Heteroskedasticity (ARCH) family models in forecasting the Dow Jones conventional and Islamic indices, and to examine the impact of the Covid-19 pandemic on both the Dow Jones conventional and Islamic indices. This study employs a time series of daily data over the period 2013 to 2021. The results show that the GARCH, TGARCH and EGARCH were the best models in predicting the Dow Jones indices. However, when the data is divided into sub-period, it is found that only TGARCH is the best model in forecasting Dow Jones indices. Interestingly, the findings show that bad and good news can significantly affect the conditional volatility of all Dow Jones conventional and Islamic indices returns. The findings of this study conclude that securities regulation department in the United States of America had captured the influence of corona pandemic. This is mainly because of the strong relationship between the fluctuation of the stock prices and the pandemic itself. Accordingly, the international investors should pay attention to prediction models which offers to utilize these results to adjust their investment counter position for the future volatility and employ hedging strategies during the corona pandemic.
목차
ABSTRACT
1. INTRODUCTION
2. LITERATURE REVIEW
3. RESEARCH METHODOLOGY
4. EMPIRICAL RESULTS
5. CONCLUSION AND RECOMMENDATIONS
REFERENCES
참고문헌 (22)
참고문헌 신청
Abduh, M. / 2020 / Volatility of Malaysian conventional and Islamic indices: Does financial crisis matter? / Journal of Islamic Accounting and Business Research 11(1):1~11
Alansari, M. A. / 2021 / Comparison the volatility of Islamic equity indices and their conventional counterparts based on evidence from GCC S&P index family / PalArch’s Journal of Archaeology of Egypt/Egyptology 18(13):889~898
Aliyev, F. / 2020 / Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100 / Journal of Economic Asymmetries 22:e00167
Bashar Yaser ALMANSOUR / 2021 / Performance of ARCH and GARCH Models in Forecasting Cryptocurrency Market Volatility / Industrial Engineering & Management Systems 20(2):130~139
Almansour, Bashar Yaser / 2020 / The impact of exchange rates on bitcoin returns : Further evidence from a time series framework / International Journal of Scientific and Technology Research 9(2):4577~4581
Alansari, M. A. / 2021 / Comparison the volatility of Islamic equity indices and their conventional counterparts based on evidence from GCC S&P index family / PalArch’s Journal of Archaeology of Egypt/Egyptology 18(13):889~898
Aliyev, F. / 2020 / Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100 / Journal of Economic Asymmetries 22:e00167
Bashar Yaser ALMANSOUR / 2021 / Performance of ARCH and GARCH Models in Forecasting Cryptocurrency Market Volatility / Industrial Engineering & Management Systems 20(2):130~139
Almansour, Bashar Yaser / 2020 / The impact of exchange rates on bitcoin returns : Further evidence from a time series framework / International Journal of Scientific and Technology Research 9(2):4577~4581
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