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dc.contributor.authorMuharam, Harjum
dc.contributor.authorNajmudin, Najmudin
dc.contributor.authorMawardi, Wisnu
dc.contributor.authorArfinto, Erman Denny
dc.date.accessioned2021-04-01T13:33:55Z
dc.date.available2021-04-01T13:33:55Z
dc.date.issued2021-03-30
dc.identifier.issn1508-2008
dc.identifier.urihttp://hdl.handle.net/11089/34925
dc.description.abstractThis study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted from the global to the Islamic equity market. The economic factors examined are the exchange rate, inflation rate, interest rate, and production growth. To achieve the purpose of the study, we utilize three analysis tools: a GARCH(p,q) model to derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure of volatility spillover as the dependent variable; and a panel data regression technique to assess the causality significance of macroeconomic factors to volatility spillover. This study is the first which expands such approaches. We observe monthly data of world and Islamic market indices, exchange rates, consumer price indices, interest rates, and industrial production indices. The data, which range from May 2002 to February 2019, are taken from the world market, and twenty-three economies, which consist of fourteen developed and nine emerging markets that have Islamic stock indices. In several sections, we provide important additional analysis for five stock markets in Central European economies, which are compared to the others. The finding suggests that the presence of volatility spillover on the Islamic markets that originates from the global market is affected by the internal instabilities of macroeconomic factors, except for industrial production instability for developed markets, including Central European markets. An implication of the study is that regulators should anticipate and prevent adverse consequences of volatility spillover by arranging their internal economic policy to control inflation rates, interest rates, and industrial production growth, as well as exchange rate flexibility. Moreover, market practitioners should include both global market volatility and macroeconomic instabilities in their prediction to create minimum risk.en
dc.description.abstractNiniejsze badanie dotyczy wpływu niestabilności makroekonomicznej na przenoszenie zmienności stóp zwrotu z globalnego na islamski rynek akcji. Badane czynniki ekonomiczne to kurs walutowy, stopa inflacji, stopa procentowa i wzrost produkcji. Aby osiągnąć cel badania, wykorzystano trzy narzędzia analityczne: model GARCH (p, q) do wyliczania wartości zmienności dla wszystkich zmiennych, model ADCC w celu uzyskania miary wpływu zmienności jako zmiennej zależnej oraz technikę regresji danych panelowych do oceny znaczenia przyczynowości czynników makroekonomicznych w przenoszeniu zmienności. Niniejsze badanie jest pierwszym, które rozszerza takie podejście. Obserwowano miesięczne dane dotyczące światowych i islamskich indeksów rynkowych, kursów walutowych, wskaźników cen konsumpcyjnych, stóp procentowych i wskaźników produkcji przemysłowej. Dane z okresu od maja 2002 do lutego 2019 roku pochodzą z rynku światowego i dwudziestu trzech gospodarek – czternastu rozwiniętych i dziewięciu wschodzących rynków posiadających islamskie indeksy giełdowe. W kilku sekcjach przedstawiono ważne dodatkowe analizy dla pięciu rynków akcji w gospodarkach Europy Środkowej, które są porównywane z innymi rynkami. Wyniki badania sugerują, że na występowanie efektu przenoszenia zmienności wywodzącej się z rynku globalnego na rynki islamskie wpływa wewnętrzna niestabilność czynników makroekonomicznych, z wyjątkiem niestabilności produkcji przemysłowej na rynkach rozwiniętych, w tym na rynkach Europy Środkowej. Z badania wynika, że regulatorzy powinni przewidywać niekorzystne konsekwencje przenoszenia zmienności i zapobiegać im poprzez zorganizowanie wewnętrznej polityki gospodarczej w celu kontrolowania stóp inflacji, stóp procentowych i wzrostu produkcji przemysłowej, a także elastyczności kursu walutowego. Ponadto praktycy rynkowi powinni uwzględnić w swoich prognozach zmienność rynków globalnych i niestabilność makroekonomiczną, tak aby minimalizować ryzyko.pl
dc.language.isoen
dc.publisherWydawnictwo Uniwersytetu Łódzkiegopl
dc.relation.ispartofseriesComparative Economic Research. Central and Eastern Europe;1pl
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0
dc.subjectvolatility spilloveren
dc.subjectIslamic equityen
dc.subjectGARCH modelen
dc.subjectADCCen
dc.subjectpanel dataen
dc.subjectprzenoszenie zmiennościpl
dc.subjectkapitał islamskipl
dc.subjectmodel GARCHpl
dc.subjectmodel ADCCpl
dc.subjectdane panelowepl
dc.titleDo Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?en
dc.title.alternativeCzy niestabilność krajowych czynników makroekonomicznych przyczynia się do przenoszenia zmienności stóp zwrotu z globalnego na islamski rynek akcji?pl
dc.typeArticle
dc.page.number103-121
dc.contributor.authorAffiliationMuharam, Harjum - Ph.D., Associate Professor, Faculty of Economics and Business, Universitas Diponegoro, Indonesiaen
dc.contributor.authorAffiliationNajmudin, Najmudin - Ph.D., Associate Professor, Faculty of Economics and Business, Universitas Jenderal Soedirman, Indonesiaen
dc.contributor.authorAffiliationMawardi, Wisnu - Ph.D., Associate Professor, Faculty of Economics and Business, Universitas Diponegoro, Indonesiaen
dc.contributor.authorAffiliationArfinto, Erman Denny - Assistant Professor, Faculty of Economics and Business, Universitas Diponegoro, Indonesiaen
dc.identifier.eissn2082-6737
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dc.contributor.authorEmailMuharam, Harjum - hardjum@gmail.com
dc.contributor.authorEmailNajmudin, Najmudin - kuliah_najmudin@yahoo.co.id
dc.contributor.authorEmailMawardi, Wisnu - wisnumawardi@gmail.com
dc.contributor.authorEmailArfinto, Erman Denny - erman.denny@gmail.com
dc.identifier.doi10.18778/1508-2008.24.06
dc.relation.volume24


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