Granger-causality between palm oil, gold and stocks (islamic and conventional): Malaysian evidence based on ARDL approach

Nurhuda Othman and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: This paper aims to ascertain the Granger-causality between Malaysian strategic commodities (namely palm oil and gold prices) and stock markets (both conventional and Islamic) using an ARDL or ‘Bounds Test’ The variables involved in this research are Crude Palm Oil Price Malaysia (POM), Kijang Emas / Gold Price (KE), FTSE Bursa Malaysia KLCI (CI) and FTSE Bursa Malaysia Emas Shariah Index (BMES). The empirical results tend to indicate that Kijang Emas / Gold Price (KE) being the most exogenous leads the changes followed by crude palm oil price, FTSE Bursa Malaysia KLCI (CI) and FTSE Bursa Malaysia Emas Shariah Index (BMES) which is the most endogenous. We found there are causalities between stock price and palm oil price. We also note, there are significant relationships between the variables in the long run with a strong causal link between FTSE Bursa Malaysia EMAS Shariah Index and FTSE Bursa Malaysia KLCI.

Keywords: Islamic stock market; Crude Palm Oil Price; Gold Price; ARDL (search for similar items in EconPapers)
JEL-codes: C22 C58 G15 (search for similar items in EconPapers)
Date: 2018-02-20
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/106777/1/MPRA_paper_106777.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:106777

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.
Bibliographic data for series maintained by Joachim Winter ().