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

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...

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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/ http://irep.iium.edu.my/25592/ http://irep.iium.edu.my/25592/1/The_impact_of_macroeconomic_variables_on_the_Indonesian.pdf

id	iium-25592
recordtype	eprints
spelling	iium-255922012-09-12T00:43:25Z http://irep.iium.edu.my/25592/ The impact of macroeconomic variables on the Indonesian stock market volatility: conventional vis-a-vis Islamic stock market Surur, Miftaskhus Abdul Razak, Dzuljastri Abduh, Muhamad BP173.75 Islam and economics HB131 Methodology.Mathematical economics. Quantitative methods HG4501 Stocks, investment, speculation 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 rate, income and inflation within the period of 2000:7 to 2011:12. The empirical findings indicate that the macroeconomic variables seem to be better explaining the Islamic stock price volatility than the conventional one. Moreover, the Islamic stock market indices need to shorter time to adjust the volatility when there is a shock in macroeconomic factors. However, from economic point of view, the volatility of Islamic stock markets indicates that the prices of Islamic stocks are reflecting the real economic activities. It is also revealed that the investing conducts of Muslim investors are really under ‘true investment behavior’ and more efficient market condition. 2012-06-19 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/25592/1/The_impact_of_macroeconomic_variables_on_the_Indonesian.pdf Surur, Miftaskhus and Abdul Razak, Dzuljastri and Abduh, Muhamad (2012) The impact of macroeconomic variables on the Indonesian stock market volatility: conventional vis-a-vis Islamic stock market. In: International Conference On Islamic Capital Markets, 19-20 June 2012, Jakarta, Indonesia. http://muhariefeffendi.files.wordpress.com/2012/04/call-for-papers-international-conference-on-islamic-capital-market-19-20june2012.pdf
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	BP173.75 Islam and economics HB131 Methodology.Mathematical economics. Quantitative methods HG4501 Stocks, investment, speculation
spellingShingle	BP173.75 Islam and economics HB131 Methodology.Mathematical economics. Quantitative methods HG4501 Stocks, investment, speculation Surur, Miftaskhus Abdul Razak, Dzuljastri Abduh, Muhamad The impact of macroeconomic variables on the Indonesian stock market volatility: conventional vis-a-vis Islamic stock market
description	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 rate, income and inflation within the period of 2000:7 to 2011:12. The empirical findings indicate that the macroeconomic variables seem to be better explaining the Islamic stock price volatility than the conventional one. Moreover, the Islamic stock market indices need to shorter time to adjust the volatility when there is a shock in macroeconomic factors. However, from economic point of view, the volatility of Islamic stock markets indicates that the prices of Islamic stocks are reflecting the real economic activities. It is also revealed that the investing conducts of Muslim investors are really under ‘true investment behavior’ and more efficient market condition.
format	Conference or Workshop Item
author	Surur, Miftaskhus Abdul Razak, Dzuljastri Abduh, Muhamad
author_facet	Surur, Miftaskhus Abdul Razak, Dzuljastri Abduh, Muhamad
author_sort	Surur, Miftaskhus
title	The impact of macroeconomic variables on the Indonesian stock market volatility: conventional vis-a-vis Islamic stock market
title_short	The impact of macroeconomic variables on the Indonesian stock market volatility: conventional vis-a-vis Islamic stock market
title_full	The impact of macroeconomic variables on the Indonesian stock market volatility: conventional vis-a-vis Islamic stock market
title_fullStr	The impact of macroeconomic variables on the Indonesian stock market volatility: conventional vis-a-vis Islamic stock market
title_full_unstemmed	The impact of macroeconomic variables on the Indonesian stock market volatility: conventional vis-a-vis Islamic stock market
title_sort	impact of macroeconomic variables on the indonesian stock market volatility: conventional vis-a-vis islamic stock market
publishDate	2012
url	http://irep.iium.edu.my/25592/ http://irep.iium.edu.my/25592/ http://irep.iium.edu.my/25592/1/The_impact_of_macroeconomic_variables_on_the_Indonesian.pdf
first_indexed	2023-09-18T20:38:08Z
last_indexed	2023-09-18T20:38:08Z
_version_	1777409183957647360

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

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