The impact of key industry-sectoral indices on islamic stock market: evidence from Malaysia

Abdul Yusoff and Abul Masih

MPRA Paper from University Library of Munich, Germany

Abstract: The focus of this study is to try to address the following three research questions:(a)Investors who have preference for Shariah-compliant stocks in Malaysia will need to know which relevant industry-sector is most volatile to the movement of key global price index of gold or crude oil. (b)The investors would also like to know which of the local Shariah-compliant industry-sectoral stocks will have more bearing on returns of investment (ROI) both in terms of dividends and capital gain.(c) Investors will need to know whether their investment in Shariah-compliant stocks will be impacted by the movement of the overall local stock price index. The answers to the above three research questions can be summarized as follows: (a)The most volatile industry-sector to the movement of key global price index of gold or crude oil is property index i.e. KLSEPRP as depicted from the VDCs which indicates the 2nd.lowest ranking from the bottom after Shariah-market index i.e. FTBMEMS. (b)For a Shariah-compliant Malaysian equity investor, the property index will have more bearing on returns of investment (ROI) in terms of both dividends and capital gain in view of its endogenous characteristic compared to other variables of the industry sector. (c) Shariah-compliant stocks will be impacted by the movement of the overall local stock price index as they are bound together by cointegration in their long-run relationship.

Keywords: Industry-sectoral stocks; Islamic stocks; VECM; VDC; Malaysia (search for similar items in EconPapers)
JEL-codes: C22 C58 E44 (search for similar items in EconPapers)
Date: 2017-06-30
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