How to cite this paper
Suripto, S. (2021). Volatility Spillovers of Sharia Index during the Covid-19 Pandemic in ASEAN.International Journal of Data and Network Science, 5(3), 341-350.
Refrences
Abbady, M. A. S., Akkaya, M., & Sari, A. (2019). Big data governance, dynamic capability and decision-making effectiveness: Fuzzy sets approach. Decision Science Letters, 8(4), 429–440. https://doi.org/10.5267/j.dsl.2019.5.003
Aggarwal, R., Inclan, C., & Leal, R. (1999). Volatility in Emerging Stock Markets. The Journal of Financial and Quantitative Analysis, 34(1), 33. https://doi.org/10.2307/2676245
Arfah, A., Olilingo, F. Z., Syaifuddin, S., Dahliah, D., Nurmiati, N., & Putra, A. H. P. K. (2020). Economics During Global Recession: Sharia-Economics as a Post COVID-19 Agenda. Journal of Asian Finance, Economics, and Business, 7(11), 1077–1085. https://doi.org/10.13106/jafeb.2020.vol7.no11.1077
Batten, J. A., Kinateder, H., Szilagyi, P. G., & Wagner, N. F. (2019). Liquidity, surprise volume, and return premia in the oil market. Energy Economics, 77, 93–104. https://doi.org/10.1016/j.eneco.2018.06.016
Billio, M., Donadelli, M., Paradiso, A., & Riedel, M. (2017). Which market integration measure? Journal of Banking and Fi-nance, 76, 150–174. https://doi.org/10.1016/j.jbankfin.2016.12.002
Carrieri, F., Errunza, V., & Hogan, K. (2007). Characterizing world market integration through time. Journal of Financial and Quantitative Analysis, 42(4), 915–940. https://doi.org/10.1017/s0022109000003446
Dean, W. G., Faff, R. W., & Loudon, G. F. (2010). Asymmetry in return and volatility spillover between equity and bond markets in Australia. Pacific-Basin finance journal, 18(3), 272-289. https://doi.org/10.1016/j.pacfin.2009.09.003
Diebold Kamil Yilmaz, F. X., Binder, M., Dominguez, K., Frankel, J., Giavazzi, F., Leeper, E., Reichlin, L., West, K., Diebold, F. X., & Yilmaz, K. (2008). NBER Working Paper Series Measuring Financial Asset Return and Volatility Spillovers, With Application To Global Equity Markets. 119, 158–171. http://www.nber.org/papers/w13811
Gunarto, T., Azhar, R., Tresiana, N., Supriyanto, & Ahadiat, A. (2020). An accurate estimated model of volatility crude oil price. International Journal of Energy Economics and Policy, 10(5), 228–233. https://doi.org/10.32479/ijeep.9513
John Wei, K. C., Liu, Y. J., Yang, C. C., & Chaung, G. S. (1995). Volatility and price change spillover effects across the de-veloped and emerging markets. Pacific-Basin Finance Journal, 3(1), 113–136. https://doi.org/10.1016/0927-538X(94)00029-7
Kim, D., & Kon, S. J. (1994). Alternative Models for the Conditional Heteroscedasticity of Stock Returns. The Journal of Business, 67(4), 563. https://doi.org/10.1086/296647
Krause, T., & Tse, Y. (2013). Volatility and return spillovers in Canadian and U.S. industry ETFs. International Review of Economics and Finance, 25, 244–259. https://doi.org/10.1016/j.iref.2012.07.009
Levent, S., & Beliz, O. (2020). Investing in gold or REIT index in Turkey: evidence from the global financial crisis, 2018 Turk-ish currency crisis, and COVID-19 crisis. In Journal of European Real Estate Research: Vol. ahead-of-print (Issue ahead-of-print). https://doi.org/10.1108/JERER-04-2020-0023.
Mabrouk, N. Ben. (2020). Green supplier selection using fuzzy Delphi method for developing the sustainable supply chain. Decision Science Letters, 10(1), 63–70. https://doi.org/10.5267/j.dsl.2020.10.003
Mahata, A., Rai, A., Prakash, O., & Nurujjaman, M. (2020). Modeling and analysis of the effect of Covid-19 on the stock price: v and l-shape recovery. ArXiv, Die.
Milunovich, G., & Thorp, S. (2006). Valuing volatility spillovers. Global Finance Journal, 17(1), 1–22. https://doi.org/10.1016/j.gfj.2006.06.007
Miyakoshi, T. (2003). Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of Interna-tional Financial Markets, Institutions, and Money, 13(4), 383–399. https://doi.org/10.1016/S1042-4431(03)00015-5
Nelson. (1991). Conditional Heteroskedasticity in Asset Returns A New Approach Author ( s ): Daniel B. Nelson Published by The Econometric Society Stable URL : http://www.jstor.org/stable/2938260. Conditional heteroskedasticity in asset re-turns: a new approach. Society, 59(2), 347–370.
Nikmanesh, L., & Mohd Nor, A. H. S. (2016). Macroeconomic determinants of stock market volatility: An empirical study of Malaysia and Indonesia. Asian Academy of Management Journal, 21(1), 161–180.
Sharma, P. (2021). Energy-efficient target set selection and buffer management for d2d mobile data offloading. International Journal of Data and Network Science, 5(1), 1–10. https://doi.org/10.5267/j.ijdns.2020.12.002
Singh, D., & Shukla, R. (2020). Multi-objective optimization of selected non-traditional machining processes using Asia-ii. Decision Science Letters, 9(3), 421–438. https://doi.org/10.5267/j.dsl.2020.3.003
Suripto, S. (2021a). Characteristics of banks as determinants of profit management for Islamic and conventional banks in ASEAN. Accounting, 7, 1179–1188. https://doi.org/10.5267/j.ac.2021.2.020
Suripto, S. (2021b). The Effect of the COVID-19 Pandemic on Stock Prices with the Event Window Approach : A Case Study of State Gas Companies, in the Energy Sector. International Journal of Energy Economics and Policy, 11(3), 155–162. https://www.econjournals.com/index.php/ijeep/article/view/10999/5799
Teniwut, W. A., Hamid, S. K., & Makailipessy, M. M. (2019). Selecting top fisheries sub-sector in each sub-district for sus-tainable development of the archipelagic region in Indonesia: A hybrid fuzzy-MCDM approach. Decision Science Letters, 8(4), 393–410. https://doi.org/10.5267/j.dsl.2019.6.001
Tiao, G. C., & Inclan, C. (2010). Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance. Journal of the American Statistical Association, 89(427), 913–923.
Vo, X. V., & Ellis, C. (2018). PT CR. 2017, #pagerange#. https://doi.org/10.1016/j.ememar.2018.03.007
Aggarwal, R., Inclan, C., & Leal, R. (1999). Volatility in Emerging Stock Markets. The Journal of Financial and Quantitative Analysis, 34(1), 33. https://doi.org/10.2307/2676245
Arfah, A., Olilingo, F. Z., Syaifuddin, S., Dahliah, D., Nurmiati, N., & Putra, A. H. P. K. (2020). Economics During Global Recession: Sharia-Economics as a Post COVID-19 Agenda. Journal of Asian Finance, Economics, and Business, 7(11), 1077–1085. https://doi.org/10.13106/jafeb.2020.vol7.no11.1077
Batten, J. A., Kinateder, H., Szilagyi, P. G., & Wagner, N. F. (2019). Liquidity, surprise volume, and return premia in the oil market. Energy Economics, 77, 93–104. https://doi.org/10.1016/j.eneco.2018.06.016
Billio, M., Donadelli, M., Paradiso, A., & Riedel, M. (2017). Which market integration measure? Journal of Banking and Fi-nance, 76, 150–174. https://doi.org/10.1016/j.jbankfin.2016.12.002
Carrieri, F., Errunza, V., & Hogan, K. (2007). Characterizing world market integration through time. Journal of Financial and Quantitative Analysis, 42(4), 915–940. https://doi.org/10.1017/s0022109000003446
Dean, W. G., Faff, R. W., & Loudon, G. F. (2010). Asymmetry in return and volatility spillover between equity and bond markets in Australia. Pacific-Basin finance journal, 18(3), 272-289. https://doi.org/10.1016/j.pacfin.2009.09.003
Diebold Kamil Yilmaz, F. X., Binder, M., Dominguez, K., Frankel, J., Giavazzi, F., Leeper, E., Reichlin, L., West, K., Diebold, F. X., & Yilmaz, K. (2008). NBER Working Paper Series Measuring Financial Asset Return and Volatility Spillovers, With Application To Global Equity Markets. 119, 158–171. http://www.nber.org/papers/w13811
Gunarto, T., Azhar, R., Tresiana, N., Supriyanto, & Ahadiat, A. (2020). An accurate estimated model of volatility crude oil price. International Journal of Energy Economics and Policy, 10(5), 228–233. https://doi.org/10.32479/ijeep.9513
John Wei, K. C., Liu, Y. J., Yang, C. C., & Chaung, G. S. (1995). Volatility and price change spillover effects across the de-veloped and emerging markets. Pacific-Basin Finance Journal, 3(1), 113–136. https://doi.org/10.1016/0927-538X(94)00029-7
Kim, D., & Kon, S. J. (1994). Alternative Models for the Conditional Heteroscedasticity of Stock Returns. The Journal of Business, 67(4), 563. https://doi.org/10.1086/296647
Krause, T., & Tse, Y. (2013). Volatility and return spillovers in Canadian and U.S. industry ETFs. International Review of Economics and Finance, 25, 244–259. https://doi.org/10.1016/j.iref.2012.07.009
Levent, S., & Beliz, O. (2020). Investing in gold or REIT index in Turkey: evidence from the global financial crisis, 2018 Turk-ish currency crisis, and COVID-19 crisis. In Journal of European Real Estate Research: Vol. ahead-of-print (Issue ahead-of-print). https://doi.org/10.1108/JERER-04-2020-0023.
Mabrouk, N. Ben. (2020). Green supplier selection using fuzzy Delphi method for developing the sustainable supply chain. Decision Science Letters, 10(1), 63–70. https://doi.org/10.5267/j.dsl.2020.10.003
Mahata, A., Rai, A., Prakash, O., & Nurujjaman, M. (2020). Modeling and analysis of the effect of Covid-19 on the stock price: v and l-shape recovery. ArXiv, Die.
Milunovich, G., & Thorp, S. (2006). Valuing volatility spillovers. Global Finance Journal, 17(1), 1–22. https://doi.org/10.1016/j.gfj.2006.06.007
Miyakoshi, T. (2003). Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of Interna-tional Financial Markets, Institutions, and Money, 13(4), 383–399. https://doi.org/10.1016/S1042-4431(03)00015-5
Nelson. (1991). Conditional Heteroskedasticity in Asset Returns A New Approach Author ( s ): Daniel B. Nelson Published by The Econometric Society Stable URL : http://www.jstor.org/stable/2938260. Conditional heteroskedasticity in asset re-turns: a new approach. Society, 59(2), 347–370.
Nikmanesh, L., & Mohd Nor, A. H. S. (2016). Macroeconomic determinants of stock market volatility: An empirical study of Malaysia and Indonesia. Asian Academy of Management Journal, 21(1), 161–180.
Sharma, P. (2021). Energy-efficient target set selection and buffer management for d2d mobile data offloading. International Journal of Data and Network Science, 5(1), 1–10. https://doi.org/10.5267/j.ijdns.2020.12.002
Singh, D., & Shukla, R. (2020). Multi-objective optimization of selected non-traditional machining processes using Asia-ii. Decision Science Letters, 9(3), 421–438. https://doi.org/10.5267/j.dsl.2020.3.003
Suripto, S. (2021a). Characteristics of banks as determinants of profit management for Islamic and conventional banks in ASEAN. Accounting, 7, 1179–1188. https://doi.org/10.5267/j.ac.2021.2.020
Suripto, S. (2021b). The Effect of the COVID-19 Pandemic on Stock Prices with the Event Window Approach : A Case Study of State Gas Companies, in the Energy Sector. International Journal of Energy Economics and Policy, 11(3), 155–162. https://www.econjournals.com/index.php/ijeep/article/view/10999/5799
Teniwut, W. A., Hamid, S. K., & Makailipessy, M. M. (2019). Selecting top fisheries sub-sector in each sub-district for sus-tainable development of the archipelagic region in Indonesia: A hybrid fuzzy-MCDM approach. Decision Science Letters, 8(4), 393–410. https://doi.org/10.5267/j.dsl.2019.6.001
Tiao, G. C., & Inclan, C. (2010). Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance. Journal of the American Statistical Association, 89(427), 913–923.
Vo, X. V., & Ellis, C. (2018). PT CR. 2017, #pagerange#. https://doi.org/10.1016/j.ememar.2018.03.007