From: Performance of Islamic and conventional stock indices: empirical evidence from an emerging economy
\( {R}_{m,t}={\pi}_0+{\displaystyle \sum_{i=1}^n{\pi}_i{R}_{m,t-i}}+{\theta}_1\varDelta F{X}_t+{\theta}_2\varDelta IN{T}_t+\gamma log\left({\mathrm{h}}_{\mathrm{m},\mathrm{t}}\right)+{\varepsilon}_{\mathrm{m},\mathrm{t}} \) | |||||||
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Panel A (Conditional Mean Equation) | |||||||
Index Name | ARCH (1) | π 0 | π i | θ 1 | θ 2 | γ | Adjusted R2 |
Conventional index (KSE-100) | 63.2085 (2.342)* | 9.2404 (12.765)*** | 0.082 (23.983)* | 0.659 (-21.265)** | 0.0033 (24.76)*** | 1.682 (21.87)** | 0.2973 |
Islamic Index (KMI-30) | 34.8262 (12.84)*) | 4.2196 (-1.543)** | 0.0049 (41.874)* | 0.6619 (17.65)** | 0.6619 (2.543) | 2.4321 (1.042)* | 0.2234 |