Does islamic stock index lead or lag conventional stock index ? Malaysian case

Khan, Aftab and Masih, Mansur (2016): Does islamic stock index lead or lag conventional stock index ? Malaysian case.

Abstract

The main purpose of this paper is to investigate whether the Islamic stock index leads or lags the conventional stock index. The standard time series techniques are used for the analysis and Malaysia is taken as a case study. The interest rate and industrial production variables are used as control variables. All the variables appear to be bound together by a long run theoretical relationship as evidenced in their being cointegrated. The variance decomposition analysis tends to indicate that the Islamic index has relatively an edge over the conventional index in terms of being the leader in the Malaysian context. This is an interesting finding and contains important implications for the policy makers.

• Item Type: MPRA Paper
• Language: English
• Keywords: Islamic stock, conventional stock, lead-lag, 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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