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Is shariah stock index better than the conventional stock index in explaining economic growth ? evidence from Malaysia

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Listed:
  • Hassen, Omar
  • Masih, Mansur

Abstract

The focus of this paper is to investigate whether the shariah stock index is better than the conventional stock index in explaining economic growth. The standard time series techniques are used for the analysis. Malaysia is taken as a case study. The variables used are the shariah stock index, conventional stock index, industrial production and interest rate. The results based on variance decompositions tend to indicate that it is the shariah stock index that has an edge over the conventional stock index in explaining economic growth at least in the context of Malaysia. The findings are plausible and have strong policy implications.

Suggested Citation

  • Hassen, Omar & Masih, Mansur, 2017. "Is shariah stock index better than the conventional stock index in explaining economic growth ? evidence from Malaysia," MPRA Paper 107749, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:107749
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    File URL: https://mpra.ub.uni-muenchen.de/107749/1/MPRA_paper_107749.pdf
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    References listed on IDEAS

    as
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    2. Lee, Bong-Soo, 1992. "Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, vol. 47(4), pages 1591-1603, September.
    3. Cooper, Richard V L, 1974. "Efficient Capital Markets and the Quantity Theory of Money," Journal of Finance, American Finance Association, vol. 29(3), pages 887-908, June.
    4. Matthew D. Shapiro, 1986. "Investment, Output, and the Cost of Capital," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 17(1), pages 111-164.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    shariah stocks; conventional stocks; growth; VECM; VDC; 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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