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Jurnal Ekonomi Malaysia

46 (1) 2012 133 – 145

Kesan Pengklasifikasian Patuh Syariah Terhadap Kemeruapan Pulangan Saham Axis-Reit
The Impact of the Conversion of Syariah Compliance towards Axis-REIT Stock Return Volatility

Fakulti Ekonomi dan Pengurusan
Univerisiti Kebangsaan Malaysia
MALAYSIA

umarbasar@gmail. com

Fakulti Ekonomi dan Pengurusan
Univerisiti Kebangsaan Malaysia
MALAYSIA

nep@ukm.my

Fakulti Ekonomi dan Pengurusan
Univerisiti Kebangsaan Malaysia
MALAYSIA

ahassan@ukm.my

Abstract

The 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 the world economy.

Keywords

GARCH; REIT stock; risk premium; syariah compliance stock; volatility
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Abdul Basar, , Ahmad, , & Mohd Nor, (2012). Kesan Pengklasifikasian Patuh Syariah Terhadap Kemeruapan Pulangan Saham Axis-Reit. Jurnal Ekonomi Malaysia, 46(1), 133–145.

@article{abdulbasar2012kesan,
  title={Kesan Pengklasifikasian Patuh Syariah Terhadap Kemeruapan Pulangan Saham Axis-Reit},
  author={Abdul Basar, Umar and Ahmad, Sanep and Mohd Nor, Abu Hassan Shaari},
  journal={Jurnal Ekonomi Malaysia},
  volume={46},
  number={1},
  pages={133—145},
 

year={2012},
}

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