Forthcoming and Online First Articles

International Journal of Financial Markets and Derivatives

International Journal of Financial Markets and Derivatives (IJFMD)

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International Journal of Financial Markets and Derivatives (2 papers in press)

Regular Issues

  • Do Shocks to Islamic Stock Index Prices Have Transitory Effects?   Order a copy of this article
    by Muneer Shaik 
    Abstract: The primary objective of this study is to investigate whether shocks to Islamic stock index prices have transitory or permanent effects by means of structural break unit root tests. The study conducts a comprehensive empirical work on weekly and monthly frequency data of 12 major global Islamic stock indices spread across developed and emerging nations like the USA, Turkey, Qatar, Oman, Indonesia, Malaysia, Thailand, India, Taiwan, China, World and Asia Pacific index. Overall, our study finds that the shocks to Islamic stock index prices have only transitory effects for both monthly and weekly data except for the Thailand sharia stock index which has a permanent effect only in the case of weekly data. We also associate the identified break dates with major global economic, political and financial events. The study is particularly essential for risk management and practitioners who develop forecast models based on Islamic indices.
    Keywords: unit root tests; structural breaks; permanent effects; transitory effects; weak form efficiency; Islamic shariah stock index.
    DOI: 10.1504/IJFMD.2022.10046512
  • An Investigation of Financial Markets Performance due to Coronavirus Outbreak: EGARCH and Bivariate Regression Approach   Order a copy of this article
    by Alireza Rokhsari, Neda Doodman, Akbar Esfahanipour 
    Abstract: The emergence of Covid -19 since December 2019 has dramatically affected financial markets and economies across the world. This paper aims to investigate the detrimental effect of Covid -19, which caused the financial crisis worldwide. The returns and volatilities of some major capital markets of different countries have been calculated and examined by the EGARCH method along with some principal commodities such as oil, gold, and bitcoin. We also examine the relationship between different financial securities and the number of cases of Covid-19 in the world using the bivariate regression model. We perform this study at 6-time intervals before and after the pandemic. Our findings demonstrate that some countries have taken the best policies to contain the virus. Several others have taken some measures and initiatives to uphold the businesses and their markets, which will alleviate the negative impact of the outbreak on their economy.
    Keywords: financial crisis; financial securities; COVID-19; EGARCH; bivariate regression model.
    DOI: 10.1504/IJFMD.2022.10046513