The impact of macroeconomic variables on the Indonesian stock market volatility: conventional vis-a-vis Islamic stock market

• Main Authors: Surur, Miftaskhus, Abdul Razak, Dzuljastri, Abduh, Muhamad
• Format: Conference or Workshop Item
• Language: English
• Published: 2012
• Subjects: BP173.75 Islam and economics; HB131 Methodology.Mathematical economics. Quantitative methods; HG4501 Stocks, investment, speculation
• Online Access: http://irep.iium.edu.my/25592/1/The_impact_of_macroeconomic_variables_on_the_Indonesian.pdf; http://irep.iium.edu.my/25592/; http://muhariefeffendi.files.wordpress.com/2012/04/call-for-papers-international-conference-on-islamic-capital-market-19-20june2012.pdf

This study aims to explore the impact of macroeconomic variables towards the volatility of conventional and Islamic stock market in Indonesia by using Vector Autoregression and Vector Error Correction Model. The macroeconomic variables employed in the study are money supply, interest rate, exchange...