Publication:
Leverage, sensitivity to market risk, volatility and contagion: multi-country evidence of Shari'ah stock screening
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | AbdelKader Ouatik El Alaoui | |
| dc.contributor.supervisor | Obiyathulla Ismath Bacha | |
| dc.contributor.supervisor | Abul Mansur Mohammed Masih | |
| dc.date.accessioned | 2017-04-27T11:06:11Z | |
| dc.date.available | 2017-04-27T11:06:11Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract | Constructing a portfolio or investing in the stock market, without taking into account the firms' debt level is likely to render the control of returns, volatility and systematic risk ineffective. This study focuses on the European stock market which has suffered badly during the 2008 global financial crisis. It is within this context that the role of firm leverage and its relationship to risk and returns are explored. This innovative empirical study tests the leverage effect (on volatility, systematic risk, value at risk and returns) in terms of Shari'ah stock screening, and evaluates it applying random portfolio analysis, wavelet coherency and panel dynamic GMM techniques ... | en_US |
| dc.identifier.citation | El Alaoui, A. O. (2016). Leverage, sensitivity to market risk, volatility and contagion: multi-country evidence of Shari'ah stock screening (Doctoral dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/2389 | en_US |
| dc.identifier.uri | https://ikr.inceif.org/handle/INCEIF/2389 | |
| dc.language | English | |
| dc.language.iso | eng | en_US |
| dc.publisher | INCEIF | en_US |
| dc.rights | 2016. INCEIF | |
| dc.source | GS | |
| dc.subject | European stock market | |
| dc.subject | International finance and financial crisis | |
| dc.subject | Islamic or Shari'ah stock screening | |
| dc.subject | Leverage, returns & volatility | |
| dc.subject | Value at risk | |
| dc.subject | Systematic risk | |
| dc.title | Leverage, sensitivity to market risk, volatility and contagion: multi-country evidence of Shari'ah stock screening | en_US |
| dc.type | PhD | en_US |
| dlc.maintopic | Islamic capital markets | en_US |
| dspace.entity.type | Publication | |
| ikr.doctype | Theses | |
| ikr.license | Available in physical copy and downloadable format (Call Number: t HG 4551 E37) | |
| ikr.topic.maintopic | Islamic capital markets | en_US |
| relation.isAuthorOfPublication | 8e8de113-9c2e-4faf-8482-04f179564a0e | |
| relation.isAuthorOfPublication | 8e8de113-9c2e-4faf-8482-04f179564a0e | |
| Appears in Collections |