Impacts Of Ramadan On European Islamic Finance Stock Volatility Based On EGARCH-M Model And Empirical Analysis Of EIIB Stock
Available Online August 2015.
- 10.2991/meita-15.2015.49How to use a DOI?
- Islamic finance stock, ramadan EGARCH-M model, volatility
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.
- © 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 - 10.2991/meita-15.2015.49 ID - Zhu2015/08 ER -