Template-Type: ReDIF-Article 1.0 
Author-Name: Umar B. Ndako
Author-Name: Afees A. Salisu
Author-Name: Muritala O. Ogunsiji
Author-Email:  umarbida@gmail.com
Author-Workplace-Name:  Centre for Econometric & Allied Research, University of Ibadan, Nigeria
Title: Geopolitical Risk and the Return Volatility of Islamic Stocks in Indonesia and Malaysia - A GARCH-MIDAS Approach
Abstract:  In this paper, the predictive value of geopolitical risk (GPR) for the return volatility of Islamic stocks in Indonesia and Malaysia is examined. GPR data, whether global or country-specific, heighten the return volatility of Islamic stocks in both countries, albeit with a greater impact on Indonesia. Additional analyses show improved out-of-sample forecast gains with the inclusion of GPR data in the predictive model of the return volatility of Islamic stocks.
Classification-JEL:  G15
Keywords:  garch-midas,out-of-sample forecast,predictability,islamic stocks,geopolitical risk
Journal:  Asian Economics Letters
Pages: 1-5
Volume: 2
Issue: 3
Year:  2021
DOI:  2021/10/06
File-URL:  https://a-e-l.scholasticahq.com/api/v1/articles/24843-geopolitical-risk-and-the-return-volatility-of-islamic-stocks-in-indonesia-and-malaysia-a-garch-midas-approach.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnael:38