Impact of the Monetary Policy Instruments on Islamic Stock Market Index Return

Albaity, Mohamed

doi:10.2139/ssrn.1973469

Cited by 14 publications

(12 citation statements)

References 23 publications

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“…This is consistent with the previous study of negatively and significantly linkages between interest rate and Islamic stock prices. Albaity (2011) found that interest rate influences the Islamic stock market indices. This result supported by the argument of Albaity (2011) that investor in general whether Moslems or not look at the same macroeconomic variables, in this case, the interest rate when deciding to invest or not.…”

Section: The Connection Between Industrial Production Index and Sharimentioning

confidence: 99%

The Impact of Macroeconomic on Islamic Stock Prices: Evidence from Indonesia

Mawardi¹,

Widiastuti²,

Sukmaningrum³

2019

KSS

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Section: The Connection Between Industrial Production Index and Sharimentioning

confidence: 99%

The Impact of Macroeconomic on Islamic Stock Prices: Evidence from Indonesia

Mawardi¹,

Widiastuti²,

Sukmaningrum³

2019

KSS

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“…They found, however, that for Islamic stock market volatility, the exchange rate is the crucial indicator of economic instability. Using GARCH models, Albaity (2011) Index is affected by the interest rate and the inflation rate in the mean and variance equations. In contrast, Kuala Lumpur Syariah Index is influenced commonly in the mean and variance equations by money supply M3 and the inflation rate.…”

Section: Literature Reviewmentioning

confidence: 99%

Macroeconomic Variables, International Islamic Indices, and The Return Volatility in Jakarta Islamic Index

Pratama

Azzis

2018

Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah

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According to understand the behavior of Islamic equity markets the primary objective of this research is to analyze the effect of macroeconomic indicators and International Islamic Index on return volatility of Jakarta Islamic Index. The analysis method used in this study is AutoRegressive Conditional Heteroscedastic-Generalized AutoRegressive Conditional Heteroscedastic (ARCH-GARCH). The result of this research showed that all variables, i.e., BI rate, inflation rate, IDR-USD exchange rate, DJIUS index, DJIUK index, FTSJP index and FTSMY index have a simultaneously significant impact on return volatility of JII. While t-test results show that BI rate, IDR-USD exchange rate, DJIUK index and FTSMY index have a substantial effect on return volatility of JII. Abstrak. Untuk memahami perilaku pasar ekuitas Islam, tujuan utama dari penelitian ini adalah untuk menganalisis pengaruh indikator makroekonomi dan Indeks Islam Internasional terhadap volatilitas Indeks Syariah Jakarta. Metode analisis yang digunakan dalam penelitian ini adalah Auto Regressive Conditional Heteroscedastic-Generalized Auto Regressive Conditional Heteroscedastic (ARCH-GARCH). Hasil penelitian menunjukkan bahwa semua variabel yaitu tingkat suku bunga BI, tingkat inflasi, nilai tukar IDR-USD, indeks DJIUS, indeks DJIUK, indeks FTSJP dan indeks FTSMY secara simultan berpengaruh signifikan terhadap volatilitas return JII. Sedangkan hasil uji t menunjukkan bahwa BI rate, kurs IDR-USD, indeks DJIUK dan indeks FTSMY berpengaruh signifikan terhadap volatilitas return JII. Kata kunci: variabel makroekonomi, indeks saham internasional, tingkat pengembalian volatilitasHow to Cite:

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“…They find a significant longterm relationship between Federal Funds Rate (FFR) and Kuala Lumpur Shariah Index (KLSI). Also, Albaity (2011) finds that the Dow Jones Islamic index in USA (DJIMI) is influenced by the interest rate in terms of the mean and variance equation. Furthermore, the study of Shamsuddin (2014) finds this relationship in some sectoral indices.…”

Section: Resultsmentioning

confidence: 99%

The Impact of the Volatility of the US Government Bonds Rate on the Islamic Index Return

Djedovic

Ergün

2018

EJBE

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This study investigates the impact of the US monetary policy, represented through the volatility of the US government bonds rate, on the return of Dow Jones UK Islamic index. Monthly observations spans, in the period between December 2006 and June 2017, are obtained from the International Monetary Fund database. The OLS regression and granger causality analysis are used to investigate the impact. The results of the analysis show that there is significant impact of the US monetary policy on the Dow Jones UK Islamic index return.

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Impact of the Monetary Policy Instruments on Islamic Stock Market Index Return

Cited by 14 publications

References 23 publications

The Impact of Macroeconomic on Islamic Stock Prices: Evidence from Indonesia

The Impact of Macroeconomic on Islamic Stock Prices: Evidence from Indonesia

Macroeconomic Variables, International Islamic Indices, and The Return Volatility in Jakarta Islamic Index

The Impact of the Volatility of the US Government Bonds Rate on the Islamic Index Return

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