Macroeconomic variables and Malaysian Islamic stock market: a time series analysis
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 Regressi...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Published: |
Journal of Business Studies Quarterly
2012
|
| Subjects: |
| _version_ | 1796856816909418496 |
|---|---|
| author | Mohd. Hussin, Mohd. Yahya Muhammad, Fidlizan Abu @ Hussin, Mohd. Fauzi Awang, Salwah Amirah |
| author_facet | Mohd. Hussin, Mohd. Yahya Muhammad, Fidlizan Abu @ Hussin, Mohd. Fauzi Awang, Salwah Amirah |
| author_sort | Mohd. Hussin, Mohd. Yahya |
| collection | ePrints |
| description | 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. |
| first_indexed | 2024-03-05T18:48:45Z |
| format | Article |
| id | utm.eprints-31076 |
| institution | Universiti Teknologi Malaysia - ePrints |
| last_indexed | 2024-03-05T18:48:45Z |
| publishDate | 2012 |
| publisher | Journal of Business Studies Quarterly |
| record_format | dspace |
| spelling | utm.eprints-310762019-09-30T12:59:30Z http://eprints.utm.my/31076/ Macroeconomic variables and Malaysian Islamic stock market: a time series analysis Mohd. Hussin, Mohd. Yahya Muhammad, Fidlizan Abu @ Hussin, Mohd. Fauzi Awang, Salwah Amirah BP Islam. Bahaism. Theosophy, etc 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. Journal of Business Studies Quarterly 2012 Article PeerReviewed Mohd. Hussin, Mohd. Yahya and Muhammad, Fidlizan and Abu @ Hussin, Mohd. Fauzi and Awang, Salwah Amirah (2012) Macroeconomic variables and Malaysian Islamic stock market: a time series analysis. The Journal of Business Studies Quarterly (JBSQ), 3 (4). pp. 1-13. ISSN 2152-1034 |
| spellingShingle | BP Islam. Bahaism. Theosophy, etc Mohd. Hussin, Mohd. Yahya Muhammad, Fidlizan Abu @ Hussin, Mohd. Fauzi Awang, Salwah Amirah Macroeconomic variables and Malaysian Islamic stock market: a time series analysis |
| title | Macroeconomic variables and Malaysian Islamic stock market: a time series analysis |
| title_full | Macroeconomic variables and Malaysian Islamic stock market: a time series analysis |
| title_fullStr | Macroeconomic variables and Malaysian Islamic stock market: a time series analysis |
| title_full_unstemmed | Macroeconomic variables and Malaysian Islamic stock market: a time series analysis |
| title_short | Macroeconomic variables and Malaysian Islamic stock market: a time series analysis |
| title_sort | macroeconomic variables and malaysian islamic stock market a time series analysis |
| topic | BP Islam. Bahaism. Theosophy, etc |
| work_keys_str_mv | AT mohdhussinmohdyahya macroeconomicvariablesandmalaysianislamicstockmarketatimeseriesanalysis AT muhammadfidlizan macroeconomicvariablesandmalaysianislamicstockmarketatimeseriesanalysis AT abuhussinmohdfauzi macroeconomicvariablesandmalaysianislamicstockmarketatimeseriesanalysis AT awangsalwahamirah macroeconomicvariablesandmalaysianislamicstockmarketatimeseriesanalysis |