文章基本信息

标题：Macroeconomic Variables and Malaysian Islamic Stock Market: A Time Series Analysis
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作者：Mohd Yahya Mohd Hussin ; Fidlizan Muhammad ; Mohd Fauzi Abu 等
期刊名称：Journal of Business Studies Quarterly
电子版ISSN：2152-1034
出版年度：2012
卷号：3
期号：4
页码：1-13
出版社：Journal of Business Studies Quarterly
摘要：This research will focus on the relationship between the development of Islamic stock market and macroeconomic variables in Malaysia. Generally, the purpose of this research is to observe this relationship in Malaysian context. In order to achieve the objective, an estimation of Vector Auto Regression (VAR) method was applied on the created research model. The variables involved in this research are Kuala Lumpur Syariah Index (KLSI), Industrial Production Index (IPI), Consumer Production Index (CPI), Aggregate Money Supply (M3), Islamic Inter Bank Rate (IIR) and Exchange Rate of Malaysian Ringgit-United States Dollar. This research used monthly data from April 1999 to October 2007 taken from authorized sources. The findings showed that Islamic stock prices are co-integrated with the selected macroeconomic variables in which the stock price is related positively and significantly with IPI and CPI variables but related negatively and significantly with M3 and MYR variables. Meanwhile, its relation with IIR variables is found negative but insignificant. From the aspect of Granger causal relationship it is found that variables of CPI, M3 and MYR are the Granger cause for KLSI and the KLSI is the Granger cause for IPI, CPI and MYR.
关键词：Cointegration; Vector Error Correction Mode (VECM); Islamic Stock Market; Macroeconomic Variables.