Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood

This study investigates VAR Toda-Yamamoto’s causality test between Islamic capital market (FBMESI) and money market (I1MMR) with macroeconomic variables (BLR, M2, ER, IPI, GDP, CPI, WOP, GDPC, VIX, and FRR). The purpose of this study is to analyze the information content of Islamic capital market an...

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Main Author:	Mahmood, Che’ Khalilah
Format:	Thesis
Language:	English
Published:	2014
Online Access:	http://ir.uitm.edu.my/id/eprint/16368/ http://ir.uitm.edu.my/id/eprint/16368/1/TM_CHE%27%20KHALILAH%20MAHMOOD%20BM%2014_5.pdf

id	uitm-16368
recordtype	eprints
spelling	uitm-163682019-02-20T07:33:11Z http://ir.uitm.edu.my/id/eprint/16368/ Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood Mahmood, Che’ Khalilah This study investigates VAR Toda-Yamamoto’s causality test between Islamic capital market (FBMESI) and money market (I1MMR) with macroeconomic variables (BLR, M2, ER, IPI, GDP, CPI, WOP, GDPC, VIX, and FRR). The purpose of this study is to analyze the information content of Islamic capital market and Islamic money market with respect to several macroeconomic indicators. The Toda-Yamamoto bivariate and multivariate causality test was employed. The findings from the bivariate and multivariate causality test show that the IIMMR either a one-way or two-way causality relationship with all macroeconomic variables employed (BLR, M2, ER, IPI, GDP, CPI, WOP, GDPC, VIX, and FRR). FBMESI have only one-way or two-way causal relationship with (BLR, M2, IPI, GDP, CPI, WOP, GDPC, and FRR). ER, IPI, and FRR and a two-way causal relationship with GDPM in a bivariate and multivariate causality test. It can be conclude that from the Toda-Yamamoto’s bivariate and multivariate causality test, IIMMR have more information content related to macroeconomic variables compared to FBMESI, thus more suitable to be the indicator for monetary policies for regulator (BNM) 2014 Thesis NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/16368/1/TM_CHE%27%20KHALILAH%20MAHMOOD%20BM%2014_5.pdf Mahmood, Che’ Khalilah (2014) Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood. Masters thesis, Universiti Teknologi MARA.
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
description	This study investigates VAR Toda-Yamamoto’s causality test between Islamic capital market (FBMESI) and money market (I1MMR) with macroeconomic variables (BLR, M2, ER, IPI, GDP, CPI, WOP, GDPC, VIX, and FRR). The purpose of this study is to analyze the information content of Islamic capital market and Islamic money market with respect to several macroeconomic indicators. The Toda-Yamamoto bivariate and multivariate causality test was employed. The findings from the bivariate and multivariate causality test show that the IIMMR either a one-way or two-way causality relationship with all macroeconomic variables employed (BLR, M2, ER, IPI, GDP, CPI, WOP, GDPC, VIX, and FRR). FBMESI have only one-way or two-way causal relationship with (BLR, M2, IPI, GDP, CPI, WOP, GDPC, and FRR). ER, IPI, and FRR and a two-way causal relationship with GDPM in a bivariate and multivariate causality test. It can be conclude that from the Toda-Yamamoto’s bivariate and multivariate causality test, IIMMR have more information content related to macroeconomic variables compared to FBMESI, thus more suitable to be the indicator for monetary policies for regulator (BNM)
format	Thesis
author	Mahmood, Che’ Khalilah
spellingShingle	Mahmood, Che’ Khalilah Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
author_facet	Mahmood, Che’ Khalilah
author_sort	Mahmood, Che’ Khalilah
title	Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
title_short	Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
title_full	Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
title_fullStr	Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
title_full_unstemmed	Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
title_sort	interdependence between islamic capital market and money market in malaysia / che’ khalilah mahmood
publishDate	2014
url	http://ir.uitm.edu.my/id/eprint/16368/ http://ir.uitm.edu.my/id/eprint/16368/1/TM_CHE%27%20KHALILAH%20MAHMOOD%20BM%2014_5.pdf
first_indexed	2023-09-18T22:55:54Z
last_indexed	2023-09-18T22:55:54Z
_version_	1777417852002762752

Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood

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