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Time varying intra/inter quantile developing relationship of Islamic stock returns: empirical evidence from Indonesia using QBARDL
16 references·0 citing·44 second hopsampled
Time varying intra/inter quantile developing relationship of Islamic stock returns: empirical evidence from Indonesia using QBARDL (2022)Time varying intra/inter quantile develop…Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico (2019)Return and volatility linkage…A contemporary survey of islamic banking literature (2017)A contemporary survey of isla…Quantile cointegration in the autoregressive distributed-lag modeling framework (2015)Quantile cointegration in the…Performance of global Islamic versus conventional share indices: International evidence (2013)Performance of global Islamic…An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)An Autoregressive Distributed…Oil prices, exchange rates and emerging stock markets (2011)Oil prices, exchange rates an…Modelling the impact of oil prices on Vietnam’s stock prices (2009)Modelling the impact of oil p…Purchasing Power Parity Tests in Cointegrated Panels (2001)Purchasing Power Parity Tests…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors (1999)Critical Values for Cointegra…Causal relations among stock returns and macroeconomic variables in a small, open economy (1999)Causal relations among stock …Predictability of Stock Returns: Robustness and Economic Significance (1995)Predictability of Stock Retur…DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Estimating long-run relationships from dynamic heterogeneous panels (1995)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Testing for a Unit Root in Time Series Regression (1988)A vector error correction model of the Singapore stock market (2000)Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries (2002)Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan (2008)The Behavior of Stock-Market Prices (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Investor Psychology and Asset Pricing (2001)Approximately normal tests for equal predictive accuracy in nested models (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Fully modified OLS for heterogeneous cointegrated panels (2004)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)CO2 emissions, economic growth, energy consumption, trade and urbanization in new EU member and candidate countries: A panel data analysis (2014)Statistical inference in vector autoregressions with possibly integrated processes (1995)Efficient Tests for an Autoregressive Unit Root (1996)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Oil price shocks and stock market returns: New evidence from the United States and China (2014)Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach (2017)Testing for Error Correction in Panel Data* (2007)Introductory Econometrics for Finance (2008)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 2001Bounds testing approaches to the analysis of level relationships21,232 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 1999Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors6,781 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2012An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis3,965 cited
  • 2001Purchasing Power Parity Tests in Cointegrated Panels2,117 cited
  • 1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
  • 2011Oil prices, exchange rates and emerging stock markets729 cited
  • 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL710 cited
  • 2015Quantile cointegration in the autoregressive distributed-lag modeling framework520 cited
  • 2009Modelling the impact of oil prices on Vietnam’s stock prices385 cited
  • 2017A contemporary survey of islamic banking literature314 cited
  • 2013Performance of global Islamic versus conventional share indices: International evidence305 cited
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Causal relations among stock returns and macroeconomic variables in a small, open economy
289 cited
  • 2019Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico276 cited
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