Relationship between Macroeconomic Variables and Malaysia Available Shariah Indices
Norshamshina Mat Isa,
Azrul Abdullah () and
Zunairah Hassan
MPRA Paper from University Library of Munich, Germany
Abstract:
This paper aims to study on the association between selected macroeconomic variables and Malaysia Shariah Indices. In our study, we used the Vector Error Correction framework by looking at the long run and short run relationship between macroeconomic variables and (i) Kuala Lumpur Shariah Index (1990-2006), and (ii) FTSE Bursa Malaysia EMAS Shariah Index (2007-2011). Monthly data during the twenty one-year period between 1990 and 2011 are collected and tested. In the long run, the impacts of all selected variables on Kuala Lumpur Shariah index for the period of 1990 to 2006 are positive. However, the effect of increases in consumer price index, exchange rate, Treasury Bill and US Federal Fund Rate on Malaysian Shariah index after the period till 2011 are negative. Besides, this study found positive relationship only in industrial production and money supply for the period of 2007 to 2011. In the short run, mix results were found during 1990 to 2011. The result also shows in overall the variables have unidirectional short run causal effect during the study period. This study then conclude that the standardized set of macroeconomic variables that specified by previous researchers still can be relied but in careful strategy formulation.
Keywords: Granger Causality; KLSI; FTSE EMAS Shariah Index; Macroeconomic Variable; Investment Information (search for similar items in EconPapers)
JEL-codes: E22 E66 F4 (search for similar items in EconPapers)
Date: 2012-12-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Published in Humanities, Science and Engineering (CHUSER), 2012 IEEE Colloquium 978-1-4673-4615-3.134578(2012): pp. 227-232
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/69397/1/MPRA_paper_69397.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:69397
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 ().