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Macroeconomic Variables and Malaysian Islamic Stock Market: A Time Series Analysis
16 references·13 citing·39 second hop
Macroeconomic Variables and Malaysian Islamic Stock Market: A Time Series Analysis (2012)Macroeconomic Variables and Malaysian Isl…Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices (2005)Relationship between Macroeco…Macroeconomic variables and the Malaysian equity market (2003)Macroeconomic variables and t…Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries (2002)Stock market and macroeconomi…A vector error correction model of the Singapore stock market (2000)A vector error correction mod…Cointegration and causality between macroeconomic variables and stock market returns (1999)Cointegration and causality b…ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES (1996)ON THE DYNAMIC RELATION BETWE…Using Cointegration Analysis in Econometric Modelling (1995)Using Cointegration Analysis …A Fractional Cointegration Analysis of Purchasing Power Parity (1993)A Fractional Cointegration An…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationInterest rate volatility and financing of Islamic banks (2022)Interest rate volatility and …Do geopolitical oil price risk, global macroeconomic fundamentals relate Islamic and conventional stock market? Empirical evidence from QARDL approach (2022)Do geopolitical oil price ris…Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries (2020)Volatility spillover effects …The Impact of Macroeconomic on Islamic Stock Prices: Evidence from Indonesia (2019)The Impact of Macroeconomic o…Shariah Screening Methodology: Does It ‘Really’ Shariah Compliance? (2019)Shariah Screening Methodology…Economic Effects in Islamic Stock Development of the European Countries (2018)Economic Effects in Islamic S…The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis (2017)The Impact of Macroeconomic I…Dynamic Linkages Between Macroeconomic Factors and Islamic Stock Indices in a Non-Islamic Country India (2017)Dynamic Linkages Between Macr…The Interaction between the Stock Market and Macroeconomic Policy Variables in South Africa (2016)The Interaction between the S…Pengaruh Indeks Harga Saham Regional ASEAN dan Variabel Makroekonomi terhadap Indeks Harga Saham Syariah Indonesia (ISSI) (2016)Pengaruh Indeks Harga Saham R…Macroeconomics, Investor Sentiment, and Islamic Stock Price Index in Malaysia (2014)Macroeconomics, Investor Sent…RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX: CO-INTEGRATION EVIDENCE FROM FTSE BURSA MALAYSIA HIJRAH SHARIAH INDEX (2013)RELATIONSHIP BETWEEN MACROECO…Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia (2012)Empirical evidence on the rel…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Oil price shocks and stock market activity (1999)Asset Prices in an Exchange Economy (1978)Expected stock returns and volatility (1987)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Tourism and Economic Growth: The Case of Mauritius (2004)Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2007)Introductory Econometrics for Finance (2008)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Long memory processes and fractional integration in econometrics (1996)Modeling and pricing long memory in stock market volatility (1996)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)
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References

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  • 1986Economic Forces and the Stock Market5,258 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
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  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1995Using Cointegration Analysis in Econometric Modelling873 cited
  • 1993A Fractional Cointegration Analysis of Purchasing Power Parity505 cited
  • 2000A vector error correction model of the Singapore stock market446 cited
  • 1996ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES427 cited
  • 2002Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries400 cited
  • 1999Cointegration and causality between macroeconomic variables and stock market returns361 cited
  • 2005Relationship between Macroeconomic Variables and Stock Market Indices: Cointegration Evidence from Stock Exchange of Singapore's All-S Sector Indices

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314 cited
  • 2003Macroeconomic variables and the Malaysian equity market248 cited
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    • 2017The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis90 cited
    • 2020Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries90 cited
    • 2022Do geopolitical oil price risk, global macroeconomic fundamentals relate Islamic and conventional stock market? Empirical evidence from QARDL approach76 cited
    • 2012Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia56 cited
    • 2013RELATIONSHIP BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKET INDEX: CO-INTEGRATION EVIDENCE FROM FTSE BURSA MALAYSIA HIJRAH SHARIAH INDEX33 cited
    • 2019Shariah Screening Methodology: Does It ‘Really’ Shariah Compliance?30 cited
    • 2022Interest rate volatility and financing of Islamic banks26 cited
    • 2014Macroeconomics, Investor Sentiment, and Islamic Stock Price Index in Malaysia25 cited
    • 2017Dynamic Linkages Between Macroeconomic Factors and Islamic Stock Indices in a Non-Islamic Country India21 cited
    • 2018Economic Effects in Islamic Stock Development of the European Countries17 cited
    • 2016Pengaruh Indeks Harga Saham Regional ASEAN dan Variabel Makroekonomi terhadap Indeks Harga Saham Syariah Indonesia (ISSI)17 cited
    • 2019The Impact of Macroeconomic on Islamic Stock Prices: Evidence from Indonesia17 cited
    • 2016The Interaction between the Stock Market and Macroeconomic Policy Variables in South Africa16 cited