Since 2014
Kesan Pengklasifikasian Patuh Syariah Terhadap Kemeruapan Pulangan Saham Axis-Reit
Jurnal Ekonomi Malaysia
View Archive Info| Field | Value | |
| Title |
Kesan Pengklasifikasian Patuh Syariah Terhadap Kemeruapan Pulangan Saham Axis-Reit
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| Creator |
Abdul Basar, Umar
Ahmad, Sanep Mohd Nor, Abu Hassan Shaari |
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| Subject |
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| Description |
ABSTRAKKajian ini bertujuan untuk menganalisis kesan pengklasifikasian patuh syariah saham Axis-REIT terhadap pulangannya. Analisis dilakukan ke atas risiko spekulasi, kemeruapan pulangan dan purata pulangan menggunakan spesifikasi model dari AR–GARCH, AR–EGARCH, AR–GARCH–M dan AR–EGARCH-M. Keputusan mendapati terdapat perubahan besar yang berlaku ke atas pulangan saham Axis-REIT bagi sebelum dan selepas tempoh pengklasifikasian tersebut. Hal ini menunjukkan terdapat kesan positif terhadap pulangan saham Axis-REIT iaitu risiko spekulasi dapat dihapuskan serta secara tidak langsung risiko premium terhadap aktiviti tersebut juga tidak wujud. Selain itu, kemeruapan pulangan saham semakin rendah dan purata pulangan juga lebih baik walaupun kesan krisis kewangan 2008 memberi impak yang besar terhadap ekonomi dunia.Kata kunci: GARCH; kemeruapan; risiko premium; saham patuh syariah; saham REITABSTRACTThe purpose of this study is to analyse the impact of the conversion of Axis-REIT stock to Syariah compliance on its return. Analysis is performed on the speculation risk, return volatility and average return using models specification of AR–GARCH, AR–EGARCH, AR–GARCH–M and AR–EGARCH-M. The result of this study found that there were big changes in the return as a result of the conversion. Positive effect was detected from the result because the speculation risk was not present and indirectly the risk premium from the activity disappeared. The volatility of stock return was lower after the conversion and average return was better even in the presence of the finance crisis in 2008 that affected theworld economy. Keywords: GARCH; volatility; risk premium;syariah compliance stock; REIT stock
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| Publisher |
Universiti Kebangsaan Malaysia
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| Contributor |
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| Date |
2012-10-30
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article — |
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| Format |
application/pdf
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| Identifier |
http://ejournal.ukm.my/jem/article/view/1360
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| Source |
Jurnal Ekonomi Malaysia; Vol 46, No 1 (2012): Jurnal Ekonomi Malaysia
0126-1962 |
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| Language |
eng
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| Relation |
http://ejournal.ukm.my/jem/article/view/1360/1219
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