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What drives shariah (islamic) stock index? a case study of Malaysia

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  • Anuar, Khairul
  • Masih, Mansur

Abstract

Islamic finance has been rising rapidly as an alternative investment outlet since the subprime crisis. Although there are many papers on the determinants of conventional stock prices, there is relatively much less attention paid to the determinants of Shariah (Islamic) stock indices. This paper analyses the relationship between the major macroeconomic variables and the Shariah Stock Index. Malaysia is taken as a case study. This study examines the determinants of Shariah stock exchange and to what extent each variable influences the prices of the stocks. We use the standard time series method to analyse the data. The findings tend to indicate that inflation rate is the most leading macroeconomic variable followed by Shariah stock index. All other variables are led by them. That implies that inflation rate is the most important driver of Shariah stock

Suggested Citation

  • Anuar, Khairul & Masih, Mansur, 2018. "What drives shariah (islamic) stock index? a case study of Malaysia," MPRA Paper 101248, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:101248
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    References listed on IDEAS

    as
    1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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    More about this item

    Keywords

    Islamic stock index; inflation rate; money supply; interest rate; exchange rate; Malaysia;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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