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Islamic stock market behavior toward changes in macroeconomic variables

Khamis, Khalida Syahira and Mohd. Hussin, Mohd. Yahya and Mohamed Shaarani, Ahmad Zakirullah and Muhammad, Fidlizan and Abu Hussin, Mohd. Fauzi and Saad, Ram Al Jaffri (2020) Islamic stock market behavior toward changes in macroeconomic variables. Journal of Critical Reviews, 7 (6). pp. 585-590. ISSN 2394-5125


Official URL: http://dx.doi.org/10.31838/jcr.07.06.104


This study was conducted to assess the behaviour of the Islamic stock market towards the changes in the economic indicators in Malaysia. The variables involved were the FTSE Bursa Malaysia Emas Shariah Index (FBMES) which was a proxy to the Islamic Stock Market. The independent variables used were the Consumer Price Index (CPI), Islamic Banking Interbank Rate (IIR), Money Supply (M3) Islamic Unit Trust (IUT) and the Industrial Production Index (IPI).This study utilized the standard Vector Autoregressive (VAR) estimation model with monthly data from January 2007 to December 2017. The findings showed that there was a long-term relationship between Islamic stock market with the Islamic unit trust and the industrial production index. Based on the test results of the Vector Error Correction Model (VECM), the Islamic stock market was not influenced by any of the selected macroeconomic variables. However, the study found that the FBMES variables were significant in shaping the Granger's short-term impact on changes in Islamic interbank rate (IIR) and money supply (M3) variables. As such, this study proved that the Islamic stock market index and the macroeconomic variables could influence one another.

Item Type:Article
Uncontrolled Keywords:Islamic Stock Market, Macroeconomic Variables
Subjects:L Education > LB Theory and practice of education
ID Code:93374
Deposited By: Widya Wahid
Deposited On:30 Nov 2021 16:21
Last Modified:30 Nov 2021 16:21

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