Time varying intra/inter quantile developing relationship of Islamic stock returns: empirical evidence from Indonesia using QBARDL

Abstract

Purpose This study aims to investigate the determinants of Islamic stock returns listed on Jakarta Islamic Index (Indonesia) between 2008 and 2018. Design/methodology/approach This study uses a quantile bounded autoregressive distributed lag (QBARDL) model to uncover relevant relationships. Findings This study finds that the Dow Jones Islamic Market Index, gold returns, world oil prices and exchange rates are the determinants of the Indonesia’s Islamic stock returns. However, the relationship is time varying developing intra-/inter-quantile bounded. Practical implications Integration of the Islamic stock returns with the real economic indicators changes over time. The findings have important implications for the policymakers, the fund managers and the investors to anticipate consequences when considering the macroeconomic conditions before participating in the Indonesian Islamic stock market. Originality/value Using a QBARDL, this study finds that the Islamic stock returns have on net and “time-varying intra-/inter-quantile developing” relationship with its determinants as data quantiles progressed from 25% to 75%.

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