Purpose

The purpose of this paper is to examine investor sentiment by measuring the impact of market sentiment shocks on the volatility of the Islamic stock index of five ASEAN countries, with noise traders as a proxy for market sentiment.

Design/methodology/approach

The GJR-GARCH model is used to capture the empirically observed fact that negative shocks in the past period have a stronger impact on variance than positive shocks in the present.

Findings

All five ASEAN Islamic stock indices show clustering volatility. However, only three countries, namely, Malaysia, Thailand and Singapore, demonstrate leverage effects. In addition, the effect of market sentiment on Islamic stock index returns is observed in the Indonesian and Malaysian markets, which are the two largest Islamic markets with a dominant Muslim population in the ASEAN. This finding implies that the trading behaviours of Muslim investors in the Shariah market are the same as their behaviours in the conventional market, that is, nonadherence to the Sunnah.

Practical implications

Whilst establishing investment strategies, creating portfolios and providing client-advisory services, investors and fund managers should factor in the presence of market sentiment and its impact on stock performance and volatility. In addition, a capital market system preventing rumour-based transactions is compelling.

Social implications

In some markets, the Islamic financial products awareness should be increased through education to attract increased domestic investors with the potential to boost growth in the Islamic stock market.

Originality/value

Investigation market sentiment impacts on the Islamic stock index using noise traders as a proxy.

中文翻译：

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伊斯兰指数市场情绪：来自东盟市场的证据

目的

本文的目的是通过衡量市场情绪冲击对五个东盟国家的伊斯兰股票指数波动的影响来检验投资者情绪，噪声交易者作为市场情绪的代理。

设计/方法/方法

GJR-GARCH 模型用于捕捉经验观察到的事实，即过去时期的负面冲击比现在的正面冲击对方差的影响更大。

发现

所有五个东盟伊斯兰股票指数都表现出集群波动。然而，只有马来西亚、泰国和新加坡三个国家表现出杠杆效应。此外，在印度尼西亚和马来西亚市场观察到市场情绪对伊斯兰股票指数回报的影响，这两个市场是东盟中穆斯林人口占主导地位的两个最大的伊斯兰市场。这一发现意味着穆斯林投资者在伊斯兰教法市场的交易行为与他们在传统市场中的行为相同，即不遵守圣训。

实际影响

在制定投资策略、创建投资组合和提供客户咨询服务时，投资者和基金经理应考虑市场情绪的存在及其对股票表现和波动性的影响。此外，防止谣言交易的资本市场体系也很引人注目。

社会影响

在某些市场，应通过教育提高对伊斯兰金融产品的认识，以吸引更多有可能促进伊斯兰股票市场增长的国内投资者。

原创性/价值

使用噪音交易者作为代理调查市场情绪对伊斯兰股票指数的影响。