Resilience of islamic and conventional stocks to geopolitical conflict: a garch model analysis

HIGHLIGHTS

• What: This study seeks to explore whether there are significant differences in the volatility responses of Islamic and conventional stocks to various macroeconomic variables, including inflation, interest rates, exchange rates, and global market conditions during periods of geopolitical tension. This study analyses the volatility of conventional stocks (JKSE and LQ45) and Islamic stocks (JKISSI and JII) to determine whether past volatility and shocks influence current volatility. The authors propose the following hypothesis: H0: Macroeconomic variables do not significantly influence stock index volatility (coefficient=0). By applying this model to each of the four indices, this study provides . . .
  

   

  

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