TY - JOUR
T1 - Idiosyncratic risk and firm characteristics on islamic stocks of four asean countries 2005–2017
AU - Utami, Putri
AU - Prasetyo, Muhammad Budi
N1 - Publisher Copyright:
© 2020, Universiti Malaysia Sarawak. All rights reserved.
PY - 2020
Y1 - 2020
N2 - This research investigates idiosyncratic volatility in the Islamic stock of four ASEAN countries, namely Indonesia, Malaysia, Singapore, and Thailand for 2005–2017. The volatility will be analyzed based on the idiosyncratic volatility levels of each country. Furthermore, firm characteristics will be used to determine their relationship to the idiosyncratic volatility movement. This study used the Fama-French Three-Factor model for obtaining the realized value of idiosyncratic volatility. Furthermore, a panel data regression is used to estimate the relationship between firm characteristics and idiosyncratic volatility. The results of this research suggest that mean value of idiosyncratic risk in the Islamic stock of ASEAN countries is below the non-Islamic stock in the United States but above non-Islamic stock in Hong Kong. Meanwhile, after the global financial crisis of 2008, the relationship between return and idiosyncratic risk of Islamic stock changed in all four countries. Panel data regression of firm characteristics shows that firm size is significantly negative in all four countries, while share turnover is insignificant to idiosyncratic volatility.
AB - This research investigates idiosyncratic volatility in the Islamic stock of four ASEAN countries, namely Indonesia, Malaysia, Singapore, and Thailand for 2005–2017. The volatility will be analyzed based on the idiosyncratic volatility levels of each country. Furthermore, firm characteristics will be used to determine their relationship to the idiosyncratic volatility movement. This study used the Fama-French Three-Factor model for obtaining the realized value of idiosyncratic volatility. Furthermore, a panel data regression is used to estimate the relationship between firm characteristics and idiosyncratic volatility. The results of this research suggest that mean value of idiosyncratic risk in the Islamic stock of ASEAN countries is below the non-Islamic stock in the United States but above non-Islamic stock in Hong Kong. Meanwhile, after the global financial crisis of 2008, the relationship between return and idiosyncratic risk of Islamic stock changed in all four countries. Panel data regression of firm characteristics shows that firm size is significantly negative in all four countries, while share turnover is insignificant to idiosyncratic volatility.
KW - Fama-French Three-Factor model
KW - Firm characteristics
KW - Idiosyncratic risk
KW - Islamic stock
UR - http://www.scopus.com/inward/record.url?scp=85097906122&partnerID=8YFLogxK
U2 - 10.33736/ijbs.3346.2020
DO - 10.33736/ijbs.3346.2020
M3 - Article
AN - SCOPUS:85097906122
SN - 1511-6670
VL - 21
SP - 1226
EP - 1238
JO - International Journal of Business and Society
JF - International Journal of Business and Society
IS - 3
ER -