Factors influencing shariah (islamic) compliant stock index: Malaysian evidence

Jamil, Sakinah and Masih, Mansur (2018): Factors influencing shariah (islamic) compliant stock index: Malaysian evidence.

Abstract

There has been a surge in the issuance of shariah (Islamic) compliant stocks particularly since the financial crisis of 2007.2008. This is mainly because the Islamic stocks were found much safer compared to the conventional stocks during the period of the financial crisis. The purpose of this paper is to investigate the factors which influence the shariah (Islamic) compliant stock index. Malaysia is taken as a case study. The standard time series techniques such as (the cointegration, error-correction model and variance decompositions and impulse response functions) have been employed for the analysis. The findings tend to indicate that the Islamic stock (called EMAS shariah index) was driven mainly by the conventional factors such as, the money supply, exchange rate and conventional stocks. The findings have strong policy implications for the investors and decision makers

• Item Type: MPRA Paper
• Language: English
• Keywords: Shariah (Islamic) compliant stocks, determinants of shariah stocks, 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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