 Granger-causal relationship between macroeconomic factors and the Malaysian islamic indexMohsen Nahavandian and Abul Masih MPRA Paper from University Library of Munich, Germany Abstract: The Granger-causal relationship between macroeconomic variables and the Shariah (Islamic) Index (EMAs) of Malaysian stock market returns is an important issue to investigate. In this paper we attempt to examine the long-term theoretical relationship and Granger-causal (or lead-lag) relationship between selected macroeconomic variables and the FTSE Bursa Malaysia EMAS Shariah Index . The standard time series techniques are used. The paper concludes and identifies a cointegrating theoretical relationship along with the identification of Granger-causality (i.e., exogeneity and endogeneity of the variables) and advises the policy makers how much the studied variables are important in the pricing of the Islamic Indexes. The findings tend to indicate that the shariah index can’t be affected by the macro variables since it leads (rather than lags) the macro variables. Implications of the findings are immense for the policy makers. Also the findings of this paper present an opportunity to further expand the research in this field as well as extend it to other Shariah Indices in the Gulf and other Islamic markets. Keywords: Granger-causality; Islamic index; macro factors; Malaysia (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:100805 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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