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Google trends search query and islamic stock indices: an analysis of their lead-lag relationship based on the Malaysian data

Author

Listed:
  • Tew, Li Mei
  • Masih, Mansur

Abstract

This paper seeks to analyze the lead-lag relationship between Google trends and Islamic Stock Index prices for the case of Malaysia. In recent years, huge data uploaded and shared in the internet everyday has made it a valuable information to understand the behavior of its users and it has been proven worthy by previous literature. The lag-behind of relevant empirical analysis on Islamic stock market is the gap that this paper aims to fill in. We adopt time series analysis to examine the relationships between two Shariah index prices (FTSE BM EMAS Shariah Index and FTSE BM HIJRAH Shariah index) with Google query search volume. In the end, we identify a two-way causality relationship between the Google Trends search query and Islamic stock Index Price and this paper also reveals immediate negative effect on two Shariah Index prices (EMAS, HIJRAH) in response to one standard deviation shock of Google trends search volume about International finance. Therefore, the finding of this paper suggests that Google trends constitute an important trading signal in Shariah stock investment.

Suggested Citation

  • Tew, Li Mei & Masih, Mansur, 2018. "Google trends search query and islamic stock indices: an analysis of their lead-lag relationship based on the Malaysian data," MPRA Paper 107067, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:107067
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    File URL: https://mpra.ub.uni-muenchen.de/107067/1/MPRA_paper_107067.pdf
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    References listed on IDEAS

    as
    1. Ms. Olga Krasicka & Sylwia Nowak, 2012. "What’s in it for Me? A Primeron Differences between Islamic and Conventional Finance in Malaysia," IMF Working Papers 2012/151, International Monetary Fund.
    2. Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh, 2014. "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 213-227.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Islamic stock index prices; Google trends; lead-lag; 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

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