Behaviour of Islamic stock market in a prolonged down global market: empirical evidence from Malaysia

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...

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Main Authors: Mustafa, Siti Aisyah, Ramlee, Roslily, Kassim, Salina
Format: Article
Language:English
Published: IIUM Institute of Islamic Banking and Finance 2015
Subjects:
H Social Sciences (General)
HG Finance
Online Access:http://irep.iium.edu.my/46100/
http://irep.iium.edu.my/46100/
http://irep.iium.edu.my/46100/1/Aisyah_JIF_2015.pdf
id iium-46100
recordtype eprints
spelling iium-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 PeerReviewed 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
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
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/
http://irep.iium.edu.my/46100/
http://irep.iium.edu.my/46100/1/Aisyah_JIF_2015.pdf
first_indexed 2023-09-18T21:05:37Z
last_indexed 2023-09-18T21:05:37Z
_version_ 1777410913149648896

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