{"id":"https://openalex.org/W4205239245","doi":"https://doi.org/10.7232/iems.2021.20.4.795","title":"The Volatility of Dow Jones Conventional and Islamic Indices: Does Covid-19 Pandemic Matter?","display_name":"The Volatility of Dow Jones Conventional and Islamic Indices: Does Covid-19 Pandemic Matter?","publication_year":2021,"publication_date":"2021-12-31","ids":{"openalex":"https://openalex.org/W4205239245","doi":"https://doi.org/10.7232/iems.2021.20.4.795"},"language":"en","primary_location":{"id":"doi:10.7232/iems.2021.20.4.795","doi":"https://doi.org/10.7232/iems.2021.20.4.795","is_oa":false,"landing_page_url":"https://doi.org/10.7232/iems.2021.20.4.795","pdf_url":null,"source":{"id":"https://openalex.org/S2764454127","display_name":"Industrial Engineering & Management Systems","issn_l":"1598-7248","issn":["1598-7248","2234-6473"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","jufo-1","kci-registered","norway-1","poland-40"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Industrial Engineering & Management Systems","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066002505","display_name":"Bashar Yaser Almansour","orcid":"https://orcid.org/0000-0003-0095-6398","observed_orcids":["https://orcid.org/0000-0003-0095-6398"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"BasharYaser Almansour","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5066002505"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.9998,"has_fulltext":false,"cited_by_count":12,"citation_normalized_percentile":{"value":0.88663149,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"20","issue":"4","first_page":"795","last_page":"807"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9833999872207642,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9833999872207642,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11711","display_name":"COVID-19 Pandemic Impacts","score":0.010200000368058681,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0032999999821186066,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stock-market-volatility","display_name":"stock market volatility","score":0.8460000157356262},{"id":"https://openalex.org/keywords/covid-19-pandemic-impact","display_name":"COVID-19 pandemic impact","score":0.8859999775886536},{"id":"https://openalex.org/keywords/garch-models","display_name":"GARCH models","score":0.847000002861023},{"id":"https://openalex.org/keywords/tgarch","display_name":"TGARCH","score":0.9679999947547913},{"id":"https://openalex.org/keywords/egarch","display_name":"EGARCH","score":0.996999979019165},{"id":"https://openalex.org/keywords/hedging-strategies","display_name":"hedging strategies","score":0.734000027179718},{"id":"https://openalex.org/keywords/islamic-finance","display_name":"Islamic finance","score":0.3059999942779541}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6511818170547485},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6376726627349854},{"id":"https://openalex.org/C3008058167","wikidata":"https://www.wikidata.org/wiki/Q84263196","display_name":"Coronavirus disease 2019 (COVID-19)","level":4,"score":0.6318762898445129},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.588076651096344},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.58324134349823},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5363593697547913},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.5229430794715881},{"id":"https://openalex.org/C89623803","wikidata":"https://www.wikidata.org/wiki/Q12184","display_name":"Pandemic","level":5,"score":0.5059708952903748},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4785217046737671},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.3544071316719055},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.10321375727653503},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.07144910097122192},{"id":"https://openalex.org/C142724271","wikidata":"https://www.wikidata.org/wiki/Q7208","display_name":"Pathology","level":1,"score":0.0},{"id":"https://openalex.org/C2779134260","wikidata":"https://www.wikidata.org/wiki/Q12136","display_name":"Disease","level":2,"score":0.0},{"id":"https://openalex.org/C524204448","wikidata":"https://www.wikidata.org/wiki/Q788926","display_name":"Infectious disease (medical specialty)","level":3,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.7232/iems.2021.20.4.795","doi":"https://doi.org/10.7232/iems.2021.20.4.795","is_oa":false,"landing_page_url":"https://doi.org/10.7232/iems.2021.20.4.795","pdf_url":null,"source":{"id":"https://openalex.org/S2764454127","display_name":"Industrial Engineering & Management Systems","issn_l":"1598-7248","issn":["1598-7248","2234-6473"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","jufo-1","kci-registered","norway-1","poland-40"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Industrial Engineering & Management Systems","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W3170956483","https://openalex.org/W3133883711","https://openalex.org/W4318831144","https://openalex.org/W7133155674","https://openalex.org/W3212440426","https://openalex.org/W4405307854","https://openalex.org/W4390237762","https://openalex.org/W7155610570","https://openalex.org/W4281489520","https://openalex.org/W3195493629"],"abstract_inverted_index":{"The":[0,67,133],"pandemic":[1,42,173],"of":[2,39,58,124,135,147,153,160,167],"Covid-19":[3,41],"has":[4],"affected":[5],"the":[6,18,27,37,40,45,62,71,77,82,88,101,110,121,144,151,161,165,168,172,176,198,206],"equity":[7],"market":[8],"to":[9,16,35,65,182,187,191],"become":[10],"highly":[11],"volatile.":[12],"This":[13,52,156],"study":[14,53,137],"aims":[15],"investigate":[17],"Autoregressive":[19],"Conditional":[20],"Heteroskedasticity":[21],"(ARCH)":[22],"family":[23],"models":[24,79,184],"in":[25,80,104,143],"forecasting":[26,105],"Dow":[28,46,83,106,126],"Jones":[29,47,84,107,127],"conventional":[30,48,128],"and":[31,34,49,74,115,129,171,201],"Islamic":[32,50,130],"indices,":[33],"examine":[36],"impact":[38],"on":[43],"both":[44],"indices.":[51,85,108],"employs":[54],"a":[55],"time":[56],"series":[57],"daily":[59],"data":[60,89],"over":[61],"period":[63],"2013":[64],"2021.":[66],"results":[68,190],"show":[69,112],"that":[70,97,113,139],"GARCH,":[72],"TGARCH":[73,99],"EGARCH":[75],"were":[76],"best":[78,102],"predicting":[81],"However,":[86],"when":[87],"is":[90,95,100,157],"divided":[91],"into":[92],"sub-period,":[93],"it":[94],"found":[96],"only":[98],"model":[103],"Interestingly,":[109],"findings":[111,134],"bad":[114],"good":[116],"news":[117],"can":[118],"significantly":[119],"affect":[120],"conditional":[122],"volatility":[123,200],"all":[125],"indices":[131],"returns.":[132],"this":[136],"conclude":[138],"securities":[140],"regulation":[141],"department":[142],"United":[145],"States":[146],"America":[148],"had":[149],"captured":[150],"influence":[152],"corona":[154,207],"pandemic.":[155,208],"mainly":[158],"because":[159],"strong":[162],"relationship":[163],"between":[164],"fluctuation":[166],"stock":[169],"prices":[170],"itself.":[174],"Accordingly,":[175],"international":[177],"investors":[178],"should":[179],"pay":[180],"attention":[181],"prediction":[183],"which":[185],"offers":[186],"utilize":[188],"these":[189],"adjust":[192],"their":[193],"investment":[194],"counter":[195],"position":[196],"for":[197],"future":[199],"employ":[202],"hedging":[203],"strategies":[204],"during":[205]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":8},{"year":2022,"cited_by_count":2}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2022-01-26T00:00:00"}