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Modelling the Relationship Between Trading Volume and Stock Returns Volatility for Islamic and Conventional Banks: The Case of Saudi Arabia نمذجة العلاقة بين حجم التداول وتقلب عوائد الأسهم للبنوك الإسلامية والتقليدية: حالة المملكة العربية السعودية

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  • Karima Saci

    (Assistant Professor, Department of Banking and Finance, Hekma School of Business and Law, Dar Al-Hekma University, Jeddah, Kingdom of Saudi Arabia)

Abstract

Transparency to all parties involved in the investment process is believed to be of utmost importance in Islamic banking and finance. Hence, the trading volume and returns volatility relationship is assumed to be weaker for sharīʿah-compliant banks compared to the conventional counterparts. This study aims at investigating this relationship for the banking sector in Saudi Arabia. The Granger causality tests, GARCH and EGARCH models were utilized to examine the relationship between the daily stock returns volatility and trading volume over the period of January 2015 to April 2020. The findings of the paper support the mixture of distributions hypothesis. Future research could look into applying different types of GARCH models to examine stock returns volatility of Islamic and conventional banks for other countries in the GCC region. يُعتقد أن الشفافية لجميع الأطراف المشاركة في عملية الاستثمار ذات أهمية قصوى في الصيرفة والتمويل الإسلامي. ومن ثم، يُفترض أن تكون علاقة تقلب حجم التداول والعوائد أقل بالنسبة للبنوك المتوافقة مع الشريعة الإسلامية مقارنة بنظيرتها التقليدية. تهدف الدراسة إلى التعرف على هذه العلاقة في القطاع المصرفي في المملكة العربية السعودية. للوصول للنتائج المرجوة استخدام البحث اختبارات جرانجر (Granger) السببية، ونماذج جارش (GARCH) و ( EGARCH) لفحص العلاقة بين تقلب عوائد الأسهم اليومية وحجم التداول خلال الفترة يناير 2015 أبريل 2020. تدعم نتائج الورقة فرضية وصول المعلومات المتسلسلة، والتي أظهرت عدم وجود فرق بين سلوك البنوك الإسلامية ونظريتها التقليدية. في ضوء النتائج المُتوصل إليها يظهر من الأهمية بمكان توسيع نطاق الدراسة باستخدام نماذج (GARCH) المختلفة لفحص علاقة تقلب حجم التداول وعوائد الأسهم بالنسبة للبنوك الإسلامية والتقليدية على مستوى دول مجلس التعاون الخليجي الأخرى.

Suggested Citation

  • Karima Saci, 2022. "Modelling the Relationship Between Trading Volume and Stock Returns Volatility for Islamic and Conventional Banks: The Case of Saudi Arabia نمذجة العلاقة بين حجم التداول وتقلب عوائد الأسهم للبنوك الإس," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 35(1), pages 41-55, January.
    • Handle: RePEc:abd:kauiea:v:35:y:2022:i:1:no:3:p:41-55
    DOI: 10.4197/Islec.35-1.3
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    References listed on IDEAS

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