Lead-lag relationship between islamic ETF price and strategic commodities: evidence from Malaysia

Farouk, Faizal and Masih, Mansur (2017): Lead-lag relationship between islamic ETF price and strategic commodities: evidence from Malaysia.

Abstract

This paper investigates the lead-lag relationship between Islamic ETF price and strategic commodities such as, oil and gold price. Standard time-series techniques are employed. Malaysia is used as a case study. The findings tend to indicate that Islamic ETF price is co-integrated with the strategic commodities and the selected macroeconomic variables. Based on the cointegration analysis, the Islamic ETF price is positively related to exchange rate of Malaysian Ringgit (MYR)-United States Dollar (USD), gold price and FTSE Bursa Malaysia KLCI ETF price (FBM3), while negatively related to crude oil price. The findings discern the lead-lag relationship and evidence that the gold price (GOLDBLN) is the most exogenous variable whereas the oil price is the most endogenous variable. The findings are plausible and have strong policy implications

• Item Type: MPRA Paper
• Language: English
• Keywords: Islamic exchange traded fund (ETF) price, oil price, gold price, lead-lag, Malaysia
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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