Proceedings of the 2015 International Conference on Materials Engineering and Information Technology Applications

Impacts Of Ramadan On European Islamic Finance Stock Volatility Based On EGARCH-M Model And Empirical Analysis Of EIIB Stock

Authors
Luyao Zhu
Corresponding Author
Luyao Zhu
Available Online August 2015.
DOI
https://doi.org/10.2991/meita-15.2015.49How to use a DOI?
Keywords
Islamic finance stock, ramadan EGARCH-M model, volatility
Abstract

The thesis firstly introduces the features of Ramadan and Islamic Finance and GARCH model. Then it analyzes the EIIB stock, the representative of Islamic Finance stock via EGARCH-M model, which is applied to data fitting and forecasting, and illustrates the economics meaning of the model. Finally, it comes to a conclusion that Ramadan has a positive influence on the volatility of EIIB stock as well as a negative effect on the returns of it and put forward suggestions on research and practice.

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 International Conference on Materials Engineering and Information Technology Applications
Series
Advances in Engineering Research
Publication Date
August 2015
ISBN
978-94-6252-103-2
ISSN
2352-5401
DOI
https://doi.org/10.2991/meita-15.2015.49How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Luyao Zhu
PY  - 2015/08
DA  - 2015/08
TI  - Impacts Of Ramadan On European Islamic Finance Stock Volatility Based On EGARCH-M Model And Empirical Analysis Of EIIB Stock
BT  - Proceedings of the 2015 International Conference on Materials Engineering and Information Technology Applications
PB  - Atlantis Press
SP  - 262
EP  - 267
SN  - 2352-5401
UR  - https://doi.org/10.2991/meita-15.2015.49
DO  - https://doi.org/10.2991/meita-15.2015.49
ID  - Zhu2015/08
ER  -