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An Empirical Study on Volatility Pattern of the Shariah Compliant Stocks in Indian Capital Market

Journal of Economic Policy and Research, April-Sept, 2015, Vol. 10, Issue 2, pages, 150-165

16 Pages Posted: 18 Aug 2015 Last revised: 15 Jun 2019

See all articles by Dharani Munusamy

Dharani Munusamy

Department of Finance, ICFAI Business School (IBS) Hyderabad

Vijayakumar Narayanamurthy

Pondicherry University - Department of Commerce; PSG Institute of Management; Institute of Chartered Financial Analysts of India (ICFAI) - IBS - Hyderabad

P Natarajan

Pondicherry University

Date Written: August 10, 2015

Abstract

The paper examined the volatility pattern of Shariah compliant stocks in India through January 2007 to July 2014. We calculate returns for each selected Shariah compliant stocks and tested for stationarity and autocorrelation using Augmented Dickey-Fuller test and Q statistics respectively. The study observed the return series showing stationary at level and the existence of autocorrelation for all selected Shariah compliant stocks. The heteroskedasticity of the return series also checked by using Arch LM test and observed the presence of ARCH effect in the return series further extended to GARCH (1, 1) model. This model observed the volatility clustering in the Shariah compliant stocks.

Keywords: Islamic Finance, Shariah Compliant Shares, Volatility, ARCH/GARCH

JEL Classification: G17, G19

Suggested Citation

Munusamy, Dharani and Narayanamurthy, Vijayakumar and Natarajan, P, An Empirical Study on Volatility Pattern of the Shariah Compliant Stocks in Indian Capital Market (August 10, 2015). Journal of Economic Policy and Research, April-Sept, 2015, Vol. 10, Issue 2, pages, 150-165, Available at SSRN: https://ssrn.com/abstract=2644255

Dharani Munusamy (Contact Author)

Department of Finance, ICFAI Business School (IBS) Hyderabad ( email )

Assistant Professor, R No. F014, Department of Fin
ICFAI Business School, IFHE-IBS Campus, Donthanapa
Hyderabad, RI 501203
India
9443194968 (Phone)

Vijayakumar Narayanamurthy

Pondicherry University - Department of Commerce

Department of Commerce
Pondicherry University
Pondicherry, Pondicherry 605014
India

PSG Institute of Management ( email )

Avinashi Road
Coimbatore, 600404
India

Institute of Chartered Financial Analysts of India (ICFAI) - IBS - Hyderabad ( email )

62, Nagarjuna Hill
Panjagutta
Hyderabad, TX AP 501504
India

P Natarajan

Pondicherry University ( email )

Mahe Centre, Cemetery Road
Pondicherry
Pondicherry, PA Puducherry UT 605 014
India

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