Kemeruapan Pulangan Pasaran Indeks Syariah Kuala Lumpur (KLSI): Analisis Model Garch

Authors

  • Abu Sufian Abu Bakar Fakulti Ekonomi Universiti Utara Malaysia, Malaysia
  • Hussin Abdullah Fakulti Ekonomi Universiti Utara Malaysia, Malaysia
  • Mohd. Saharudin Shakrani Fakulti Ekonomi Universiti Utara Malaysia, Malaysia
  • Hasniza Mohd. Taib Fakulti Kewangan dun Perbankan Universiti Utara Malaysia, Malaysia

DOI:

https://doi.org/10.32890/ijms2004.11.1.11

Keywords:

Kemeruapan, ARCH, GARCH, Pasaran Saham, Pulangan

Abstract

Kemeruapan pulangan saham ditakrifkan sebagai serakan terhadap purata pulangan saham atau lebih dikenali sebagai varians. Maklumat dun pengetahuan mengenai gelagat kemeruapan pulangan saham begitu penting kepada ahli ekonomi dun para penganalisis kewangan dalam menyelesaikan beberapa masalah ekonomi yang berkaitan. Poterba dun Summers (1986) telah mengaitkan pengaruh keberterusan pulangan terhadap hubungan antara perubahan kemeruapan dengan harga saham manakala Bollerslev Chou and Kroner, (1 992) pula menyatakan bahawa terdapat tiga sifat yang mempengaruhi kemeruapan pulangan saham iaitu sifat keberterusan pulangan, sifat min-varians, dun sifat hubungan tidak simetri. Sehubungan dengan itu, kajian ini menggunakan model-model keluarga ARCH untuk menganalisis gelagat kemeruapan pulangan saham lulus syariah di Bursa Saham Kuala Lumpur, Malaysia di atas kepentingannya dalam menganalisis dun meramalkan kemeruapan. Penganggar empirikal ini menggunakan data mengenai harga saham lulus syariah untuk setiap hunter, volum dagangan, lndeks Industri Dow Jones, lndeks Syariah, Indeks Komposit, Kadar Faedah Antara Bank dun Kadar Faedah Antara Bank Islam. Tempoh keseluruhan yang diambil sebagai kajian ialah dari 2 Januari 1995 hingga 13 Jun 2003. Tempoh ini kemudiannya dibahagikan pula kepada dua tempoh iaitu tempoh satu sebelum dilancarkan Indeks Syariah pada 2 Januari 1995 hingga 29 April 1999. Manakala tempoh dua merupakan tempoh selepas pelancaran Indeks Syariah iaitu 30 April 2003 hingga 13 Jun 2003.

 

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Published

05-06-2004

Issue

Vol. 11 No. 1 (2004): International Journal of Management Studies (IJMS) Vol. 11, No. 1 June 2004

Section

Articles

Research impact

Harvested 2026-09-08
2 citations, from Semantic Scholar — the highest of the sources checked

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Identifiers DOI 10.32890/ijms2004.11.1.11 OpenAlex W7010574180 Semantic Scholar CorpusID 151144036

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