Policy and persistence of stock returns volatility: conventional versus Islamic stock market / Rosylin Mohd. Yusof and M. Shabri Abd. Majid

This paper examines the extent to which the conditional volatilities of both conventional and Islamic stock markets in a small developing stock market, Malaysia, are related to the conditional volatility of monetary policy variables. Among the monetary policy variables tested in the study are money...

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Format:	Article
Language:	English
Published:	Faculty of Business and Management ; UiTM Press 2006
Online Access:	http://ir.uitm.edu.my/id/eprint/16760/ http://ir.uitm.edu.my/id/eprint/16760/ http://ir.uitm.edu.my/id/eprint/16760/1/AJ_ROSYLIN%20MOHD.%20YUSOF%20JIBE%2006.pdf

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spelling	uitm-167602017-05-08T03:59:01Z http://ir.uitm.edu.my/id/eprint/16760/ Policy and persistence of stock returns volatility: conventional versus Islamic stock market / Rosylin Mohd. Yusof and M. Shabri Abd. Majid This paper examines the extent to which the conditional volatilities of both conventional and Islamic stock markets in a small developing stock market, Malaysia, are related to the conditional volatility of monetary policy variables. Among the monetary policy variables tested in the study are money supply Ml and M2, interest rates (TBR), exchange rate (MYR), and Industrial Production Index (IPI), while the Kuala Lumpur Composite Index (KLCI) and Rashid Hussain Berhad Islamic Index (RHBII) are used as measures for conventional and Islamic stock markets, respectively. In order to capture the international influence on both stock markets, the volatility in the US monetary policy variable measured by the Federal Funds Rate (FFR) is incorporated into the study. The Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (G ARCH) frameworks are employed for the monthly data starting from January 1992 to December Z000. The study finds that the growth rates of TBR or interest rate has a predictive power in explaining the volatility in the conventional stock market, while for the Islamic stock market TBR is found to be an insignificant variable. This highlights the tenet of Islamic principles that the interest rate is not a significant variable in explaining stock market volatility. Therefore, the importance of stabilities in these variables should be noted in designing policies to stabilize both conventional and Islamic stock markets. Faculty of Business and Management ; UiTM Press 2006 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/16760/1/AJ_ROSYLIN%20MOHD.%20YUSOF%20JIBE%2006.pdf UNSPECIFIED (2006) Policy and persistence of stock returns volatility: conventional versus Islamic stock market / Rosylin Mohd. Yusof and M. Shabri Abd. Majid. Journal of International Business, Economics and Entrepreneurship (JIBE), 12 (1). pp. 49-68. ISSN 0128-7494 https://jibe.uitm.edu.my/
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
description	This paper examines the extent to which the conditional volatilities of both conventional and Islamic stock markets in a small developing stock market, Malaysia, are related to the conditional volatility of monetary policy variables. Among the monetary policy variables tested in the study are money supply Ml and M2, interest rates (TBR), exchange rate (MYR), and Industrial Production Index (IPI), while the Kuala Lumpur Composite Index (KLCI) and Rashid Hussain Berhad Islamic Index (RHBII) are used as measures for conventional and Islamic stock markets, respectively. In order to capture the international influence on both stock markets, the volatility in the US monetary policy variable measured by the Federal Funds Rate (FFR) is incorporated into the study. The Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (G ARCH) frameworks are employed for the monthly data starting from January 1992 to December Z000. The study finds that the growth rates of TBR or interest rate has a predictive power in explaining the volatility in the conventional stock market, while for the Islamic stock market TBR is found to be an insignificant variable. This highlights the tenet of Islamic principles that the interest rate is not a significant variable in explaining stock market volatility. Therefore, the importance of stabilities in these variables should be noted in designing policies to stabilize both conventional and Islamic stock markets.
format	Article
title	Policy and persistence of stock returns volatility: conventional versus Islamic stock market / Rosylin Mohd. Yusof and M. Shabri Abd. Majid
spellingShingle	Policy and persistence of stock returns volatility: conventional versus Islamic stock market / Rosylin Mohd. Yusof and M. Shabri Abd. Majid
title_short	Policy and persistence of stock returns volatility: conventional versus Islamic stock market / Rosylin Mohd. Yusof and M. Shabri Abd. Majid
title_full	Policy and persistence of stock returns volatility: conventional versus Islamic stock market / Rosylin Mohd. Yusof and M. Shabri Abd. Majid
title_fullStr	Policy and persistence of stock returns volatility: conventional versus Islamic stock market / Rosylin Mohd. Yusof and M. Shabri Abd. Majid
title_full_unstemmed	Policy and persistence of stock returns volatility: conventional versus Islamic stock market / Rosylin Mohd. Yusof and M. Shabri Abd. Majid
title_sort	policy and persistence of stock returns volatility: conventional versus islamic stock market / rosylin mohd. yusof and m. shabri abd. majid
publisher	Faculty of Business and Management ; UiTM Press
publishDate	2006
url	http://ir.uitm.edu.my/id/eprint/16760/ http://ir.uitm.edu.my/id/eprint/16760/ http://ir.uitm.edu.my/id/eprint/16760/1/AJ_ROSYLIN%20MOHD.%20YUSOF%20JIBE%2006.pdf
first_indexed	2023-09-18T22:56:48Z
last_indexed	2023-09-18T22:56:48Z
_version_	1777417907893960704

Policy and persistence of stock returns volatility: conventional versus Islamic stock market / Rosylin Mohd. Yusof and M. Shabri Abd. Majid

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