Behaviour of Islamic stock market in a prolonged down global market: empirical evidence from Malaysia
By focusing on Malaysian data, this study investigates the response of the Islamic stock market to changes in major macroeconomic variables such as industrial output, money supply, unemployment rate, exchange rate and foreign interest rate. It focuses on the period from January 2010 to December 20...
Saved in:
Main Authors: | , , |
---|---|
Format: | Article |
Language: | English |
Published: |
IIUM Institute of Islamic Banking and Finance
2015
|
Subjects: | |
Online Access: | http://irep.iium.edu.my/46100/1/Aisyah_JIF_2015.pdf http://irep.iium.edu.my/46100/ http://www.iium.edu.my/iiibf/research-publication/journal |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
id |
my.iium.irep.46100 |
---|---|
record_format |
dspace |
spelling |
my.iium.irep.461002017-11-15T06:37:01Z http://irep.iium.edu.my/46100/ Behaviour of Islamic stock market in a prolonged down global market: empirical evidence from Malaysia Mustafa, Siti Aisyah Ramlee, Roslily Kassim, Salina H Social Sciences (General) HG Finance By focusing on Malaysian data, this study investigates the response of the Islamic stock market to changes in major macroeconomic variables such as industrial output, money supply, unemployment rate, exchange rate and foreign interest rate. It focuses on the period from January 2010 to December 2014 to capture the period of a prolonged downturn in the global financial market due to the U.S. financial crisis which started in 2007. The study adopts the co-integration approach of the Auto Regressive Distributed Lag (ARDL) model in order to capture the long -run relationship between the variables. The results show that the Islamic stock price reacts positively to the domestic factors, namely industrial activities, money supply, unemployment rate and real effective exchange rate disturbances. Interestingly, it reacts negatively to the foreign interest rate, suggesting investors’ “flight to quality” behaviour during a downturn in the global equity market. IIUM Institute of Islamic Banking and Finance 2015 Article REM application/pdf en http://irep.iium.edu.my/46100/1/Aisyah_JIF_2015.pdf Mustafa, Siti Aisyah and Ramlee, Roslily and Kassim, Salina (2015) Behaviour of Islamic stock market in a prolonged down global market: empirical evidence from Malaysia. Journal of Islamic Finance, 4 (2). pp. 67-76. ISSN 2289-2117 (O), 2289-2109 (P) http://www.iium.edu.my/iiibf/research-publication/journal |
institution |
Universiti Islam Antarabangsa Malaysia |
building |
IIUM Library |
collection |
Institutional Repository |
continent |
Asia |
country |
Malaysia |
content_provider |
International Islamic University Malaysia |
content_source |
IIUM Repository (IREP) |
url_provider |
http://irep.iium.edu.my/ |
language |
English |
topic |
H Social Sciences (General) HG Finance |
spellingShingle |
H Social Sciences (General) HG Finance Mustafa, Siti Aisyah Ramlee, Roslily Kassim, Salina Behaviour of Islamic stock market in a prolonged down global market: empirical evidence from Malaysia |
description |
By focusing on Malaysian data, this study investigates the response of the Islamic stock market to changes in major
macroeconomic variables such as industrial output, money supply, unemployment rate, exchange rate and foreign interest rate. It focuses on the period from January 2010 to December 2014 to capture the period of a prolonged downturn in the global financial market due to the U.S. financial crisis which started in 2007. The study adopts the co-integration approach of the Auto Regressive Distributed Lag (ARDL) model in order to capture the long -run relationship between the variables. The results show that the Islamic stock price reacts positively to the domestic factors, namely industrial activities, money supply, unemployment rate and real effective exchange rate disturbances. Interestingly, it reacts negatively to the foreign interest rate, suggesting investors’ “flight to quality” behaviour during a downturn in the global equity market. |
format |
Article |
author |
Mustafa, Siti Aisyah Ramlee, Roslily Kassim, Salina |
author_facet |
Mustafa, Siti Aisyah Ramlee, Roslily Kassim, Salina |
author_sort |
Mustafa, Siti Aisyah |
title |
Behaviour of Islamic stock market in a prolonged down global market: empirical evidence from Malaysia |
title_short |
Behaviour of Islamic stock market in a prolonged down global market: empirical evidence from Malaysia |
title_full |
Behaviour of Islamic stock market in a prolonged down global market: empirical evidence from Malaysia |
title_fullStr |
Behaviour of Islamic stock market in a prolonged down global market: empirical evidence from Malaysia |
title_full_unstemmed |
Behaviour of Islamic stock market in a prolonged down global market: empirical evidence from Malaysia |
title_sort |
behaviour of islamic stock market in a prolonged down global market: empirical evidence from malaysia |
publisher |
IIUM Institute of Islamic Banking and Finance |
publishDate |
2015 |
url |
http://irep.iium.edu.my/46100/1/Aisyah_JIF_2015.pdf http://irep.iium.edu.my/46100/ http://www.iium.edu.my/iiibf/research-publication/journal |
_version_ |
1643612922109231104 |
score |
13.18916 |