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All Journal Jurnal Ekonomi, Bisnis dan Kewirausahaan (JEBIK) Jurnal Social Economic of Agriculture SRIWIJAYA INTERNATIONAL JOURNAL OF DYNAMIC ECONOMICS AND BUSINESS AFEBI Management and Business Review IJEBD (International Journal Of Entrepreneurship And Business Development) AFEBI Islamic Finance and Economic Review Journal Of Management Science (JMAS) Business Innovation and Entrepreneurship Journal Cakrawala Management Business Journal Jurnal Akun Nabelo : Jurnal Akuntansi Netral, Akuntabel, Objektif International Journal of Economics, Business and Accounting Research (IJEBAR) Cepalo International Journal of Economics Development Research (IJEDR) ASIAN JOURNAL OF ISLAMIC MANAGEMENT (AJIM) Inobis: Jurnal Inovasi Bisnis dan Manajemen Indonesia Jurnal REKSA: Rekayasa Keuangan, Syariah dan Audit Management and Sustainable Development Journal Journal of Islamic Economics and Finance Studies Ilomata International Journal of Management Jurnal Pertahanan dan Bela Negara Jurnal Akutansi Manajemen Ekonomi Kewirausahaan (JAMEK) AJARCDE (Asian Journal of Applied Research for Community Development and Empowerment) Jurnal Bisnis dan Kewirausahaan Journal of Ekonomics, Finance, and Management Studies
Helma Malini
Universitas Tanjungpura
Religion Agriculture, Biological Sciences & Forestry Humanities Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Energy Environmental Science Law, Crime, Criminology & Criminal Justice Social Sciences Other

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Journal : Management and Sustainable Development Journal

 1 
Return Autocorrelations and Volatilities of Kuala Lumpur Shariah Compliance that Coincide with Big News in Malaysia Helma Malini
Management and Sustainable Development Journal Vol 3 No 1 (2021): Management and Sustainable Development Journal
Publisher : Department of Management - Institut Shanti Bhuana

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46229/msdj.v3i1.203

Abstract

This paper investigates the long term return behyavior of Kuala Lumpur Shariah Compliance. This studies relies on two major time series investigation techniques, namely Econometric Modeling of returns; The Autoregressive model, Assumption of Linearity, Volatility Modeling of GARCH and its extension. The statistical process from linearity and volatility modeling, stock return predictability and Shari’ah compliance integration by using GARCH model specification showed that in term of return behaviour particularly volatility of Shari’ah compliances in Malaysia are vulnerable towards events and news that happened in Malaysia.
Co-Authors Alifah Nurrahmani Putri Anggraeni, Sufi Anggraini Syahputri Anura, Dhea Anwar Azazi Benedict Valentine Arulanandam Djihan Islahiyah Dyen Natalia Edwin Suwantono Endang Kristiawati Erna Listiana Fahruna, Yulyanti Fitratama, Venu Fransisca, Linda Giriati Giriati Giriati Giriati Giriati Giriati Giriati, Giriati Harry Setiawan Heriyadi, Heriyadi Hermawati, Yuni Herry Giovandi Ibnu Aswat Isfahan, Saif Raafi'in Juniwati Juniwati Maria Magdalena Muhammad Afif Mustika, Uray Ndaru Perawati Perawati, Perawati Pramana Saputra Purmono, Bintoro Bagus Rafles Ginting Risal Rizqi Maghribi Salomo, Oloan Sartika, Lili Sukhesy Eka Putri Syahputri, Anggraini Wendy Wendy Yulianingsih, Tanti