Identifying the lead-lag relationship between the shariah (islamic) equity index and macroeconomic variables: Malaysia as a case study

Bahaman, Abrar and Masih, Mansur (2017): Identifying the lead-lag relationship between the shariah (islamic) equity index and macroeconomic variables: Malaysia as a case study.

Abstract

Islamic equity markets have been growing steadily particularly since the subprime crisis of 2007-2008 as an alternative investment outlet to the conventional equity markets. This paper makes an attempt to discern the factors that drive the Islamic stock markets. In particular, this paper investigates the lead-lag relationship between the Islamic equity index and macroeconomic variables. The standard time series techniques have been applied for the analysis. Malaysia is used as a case study. The findings tend to indicate that the Islamic equity index has been driven by the money supply(M2) and followed by the CPI, exchange rate and the industrial production. These findings have important policy implications for an emerging equity market such as Malaysia.

• Item Type: MPRA Paper
• Language: English
• Keywords: Islamic equity index, macroeconomic variables, 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

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