DYNAMIC EFFECTS OF MACROECONOMIC FACTORS ON SHARIAH COMPLIANT SECURITIES IN MALAYSIAN CAPITAL MARKET

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Thim Chan Kok; Hajian Atieh

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Seminar Paper

Paper Information

Seminar: ANNUAL ISLAMIC BANKING CONFERENCE
Year:2015 | Issue:26

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Title

DYNAMIC EFFECTS OF MACROECONOMIC FACTORS ON SHARIAH COMPLIANT SECURITIES IN MALAYSIAN CAPITAL MARKET

Author(s)

Thim Chan Kok | Hajian Atieh

Keywords

SHARIAH-COMPLIANT SECURITIES

VECTOR AUTOREGRESSIVE

JOHANSEN COINTEGRATION

VECTOR ERROR CORRECTION MODEL

Abstract

THIS RESEARCH HAS BEEN CONDUCTED WITH AN AIM TO INVESTIGATE THE DYNAMIC RELATIONSHIP BETWEEN THE FTSE BURSA MALAYSIA EMAS SHARIAH INDEX, AS A BROAD BENCHMARK FOR THE PERFORMANCE OF SHARIAHCOMPLIANT SECURITIES IN MALAYSIA, AND A COLLECTION OF INTERNAL FACTORS INCLUDING CONSUMER PRICE INDEX, INDUSTRIAL PRODUCTION INDEX, ISLAMIC INTERBANK RATE, BROAD MONEY SUPPLY, AND FOREIGN EXCHANGE RATE. THE ANALYSIS APPLIED MONTHLY DATA FROM MARCH 2007 TO MAY 2014 WITH A TOTAL OF 87 OBSERVATIONS PER VARIABLE. THIS STUDY USED VECTOR AUTOREGRESSIVE (VAR) APPROACH AND JOHANSEN COINTEGRATION TEST, VECTOR ERROR CORRECTION MODEL (VECM) AND ITS SUBSEQUENT TEST OF GRANGER CAUSALITY AND THE SHORT-RUN RELATIONSHIPS AMONG THE VARIABLES WERE INVESTIGATED. IT WAS EVENTUALLY FOUND OUT THAT EMAS SHARIAH INDEX HAS SIGNIFICANT LONGRUN RELATIONSHIPS WITH ALL THE STUDIED VARIABLES EXCEPT ISLAMIC INTERBANK RATE, INDUSTRIAL PRODUCTION INDEX, AND EXCHANGE RATE.

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APA: Copy

Thim, Chan Kok, & Hajian, Atieh. (2015). DYNAMIC EFFECTS OF MACROECONOMIC FACTORS ON SHARIAH COMPLIANT SECURITIES IN MALAYSIAN CAPITAL MARKET. ANNUAL ISLAMIC BANKING CONFERENCE. SID. https://sid.ir/paper/920305/en

Vancouver: Copy

Thim Chan Kok, Hajian Atieh. DYNAMIC EFFECTS OF MACROECONOMIC FACTORS ON SHARIAH COMPLIANT SECURITIES IN MALAYSIAN CAPITAL MARKET. 2015. Available from: https://sid.ir/paper/920305/en

IEEE: Copy

Chan Kok Thim, and Atieh Hajian, “DYNAMIC EFFECTS OF MACROECONOMIC FACTORS ON SHARIAH COMPLIANT SECURITIES IN MALAYSIAN CAPITAL MARKET,” presented at the ANNUAL ISLAMIC BANKING CONFERENCE. 2015, [Online]. Available: https://sid.ir/paper/920305/en

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