Neksus antara Indeks Syariah dan Fundamental Makroekonomi

Nur Sanusi (), Mohd Kamal Omar (), Suhal Kusairi () and J. M. Shukri ()
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Nur Sanusi: Pusat Pengajian Pembangunan Sosial dan Ekonomi Universiti Malaysia Terengganu 21030 Kuala Nerus, Terengganu MALAYSIA
Mohd Kamal Omar: Pusat Pengajian Pembangunan Sosial dan Ekonomi Universiti Malaysia Terengganu 21030 Kuala Nerus, Terengganu MALAYSIA
Suhal Kusairi: Pusat Pengajian Pembangunan Sosial dan Ekonomi Universiti Malaysia Terengganu 21030 Kuala Nerus, Terengganu MALAYSIA
J. M. Shukri: Fakulti Perniagaan dan Pengurusan Universiti Teknologi MARA 23000 Dungun, Terengganu MALAYSIA

Jurnal Ekonomi Malaysia, 2018, vol. 52, issue 3, 17-28

Abstract: This paper measures the Syariah index based on the Financial Times Stock Exchange (FTSE) Bursa Malaysia Emas Syariah Index and FTSE Bursa Malaysia Hijrah Syariah Index. The macroeconomic fundamental variables are money supply, interest rate, financing rate and rate of return to depositors, and conventional index. The dynamic nexus between Syariah index and macroeconomic fundamental variables is measured based on the cointegration between the variables for the period of second quarter 1999 until the fourth quarter 2017. The finding shows cointegration between the FTSE Bursa Malaysia Emas Syariah Index with the macroeconomic variables. While on the contrary, no cointegration for the FTSE Bursa Malaysia Hijrah Syariah Index. The macroeconomic variables influence the FTSE Bursa Malaysia Emas Syariah Index in the long-run and short-run, namely the financing rate and rate of return to depositors and conventional index. The results of this research imply that Islamic Banking System variables namely the financing rate and rate of return to depositors can play a role as capital injection to the Islamic capital market in the long-run and short-run. Consequently the Syariah index needs the same policy in the long and short-run in order to ensure its soundness in the market.

Keywords: Bursa Malaysia; autoregresif lat tertabur (ARDL); kointegrasi; pasaran modal Islam (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:ukm:jlekon:v:52:y:2018:i:3:p:17-28

DOI: 10.17576/JEM-2018-5203-2

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