The impact of key industry-sectoral indices on islamic stock market: evidence from Malaysia

Yusoff, Abdul and Masih, Mansur (2017): The impact of key industry-sectoral indices on islamic stock market: evidence from Malaysia.

Abstract

The focus of this study is to try to address the following three research questions:(a)Investors who have preference for Shariah-compliant stocks in Malaysia will need to know which relevant industry-sector is most volatile to the movement of key global price index of gold or crude oil. (b)The investors would also like to know which of the local Shariah-compliant industry-sectoral stocks will have more bearing on returns of investment (ROI) both in terms of dividends and capital gain.(c) Investors will need to know whether their investment in Shariah-compliant stocks will be impacted by the movement of the overall local stock price index. The answers to the above three research questions can be summarized as follows: (a)The most volatile industry-sector to the movement of key global price index of gold or crude oil is property index i.e. KLSEPRP as depicted from the VDCs which indicates the 2nd.lowest ranking from the bottom after Shariah-market index i.e. FTBMEMS. (b)For a Shariah-compliant Malaysian equity investor, the property index will have more bearing on returns of investment (ROI) in terms of both dividends and capital gain in view of its endogenous characteristic compared to other variables of the industry sector. (c) Shariah-compliant stocks will be impacted by the movement of the overall local stock price index as they are bound together by cointegration in their long-run relationship.

• Item Type: MPRA Paper
• Language: English
• Keywords: Industry-sectoral stocks, Islamic stocks, VECM, VDC, 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

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