Macroeconomic Variables and Malaysian Islamic Stock Market: A Time Series Analysis

Mohd Yahya Mohd Hussin · Fidlizan Muhammad · Salwa Amirah Awang

75 citations0/0 files stored

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Islamic Finance and Banking Studies Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

This research will focus on the relationship between the development of Islamic stock market and macroeconomic variables in Malaysia. Generally, the purpose of this research is to observe this relationship in Malaysian context. In order to achieve the objective, an estimation of Vector Auto Regression (VAR) method was appli ed on the created research model. The variables involved in this research are Kuala Lumpur Syariah Index (KLSI), Industrial Production Index (IPI), Consumer Production Index (CPI), Aggregate Money Supply (M3), Islamic Inter Bank Rate (IIR) and Exchange Rat e of Malaysian Ringgit - United States Dollar. This research used monthly data from April 1999 to October 2007 taken from authorized sources. The findings showed that Islamic stock prices are co - integrated with the selected macroeconomic variables in which the stock price is related positively and significantly with IPI and CPI variables but related negatively and significantly with M3 and MYR variables. Meanwhile, its relation with IIR variables is found negative but insignificant. From the aspect of Gran ger causal relationship it is found that variables of CPI, M3 and MYR are the Granger cause for KLSI and the KLSI is the Granger cause for IPI, CPI and MYR.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 75 citations exist upstream.

References

1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1986Economic Forces and the Stock Market 1982Modern Portfolio Theory and Investment Analysis.1977Asset returns and inflation 1981Stock Returns, Real Activity, Inflation, and Money 1990Stock Returns, Expected Returns, and Real Activity 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation

Cited by

2017The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis 2020Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries 2022Do geopolitical oil price risk, global macroeconomic fundamentals relate Islamic and conventional stock market? Empirical evidence from QARDL approach 2012Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia 2013RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX: CO-INTEGRATION EVIDENCE FROM FTSE BURSA MALAYSIA HIJRAH SHARIAH INDEX

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.