The Dynamic Interaction between Islamic Stock Market and Strategic Commodities

Hussin, Mohd Yahya Mohd; Muhammad, Fidlizan; Awang, Salwa Amirah; Marwan, Nur Fakhzan; Razak, Azila Abdul

doi:10.12816/0001611

Cited by 15 publications

(19 citation statements)

References 18 publications

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“…Hussin et al . (, ), analysed the dynamic effect of oil prices and Malaysian stock markets using Vector Auto Regression. It was found that Islamic stock returns were not cointegrated with oil prices in the long‐run, while having a bi‐directional causality relationship.…”

Section: Introductionmentioning

confidence: 99%

“…Amongst those who have researched on oil prices and Islamic indices, Abdullah et al (2016) analysed the impact of crude oil prices on Southeast Asian countries' Islamic stock markets on portfolio diversification and found that investors holding crude oil could gain by including Malaysian Islamic stock index in their portfolio. Hussin et al (2013Hussin et al ( , 2012, analysed the dynamic effect of oil prices and Malaysian stock markets using Vector Auto Regression. It was found that Islamic stock returns were not cointegrated with oil prices in the long-run, while having a bi-directional causality relationship.…”

Section: Introductionmentioning

confidence: 99%

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Analysing the Relationship between Oil Prices and Islamic Stock Markets

Arshad

2017

J of App Econs and Policy

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This study is novel in measuring the volatility and efficiency of Islamic stock markets of top oil‐importing countries. Daily prices of six Islamic stock markets are analysed for volatility using EGARCH and efficiency using Multifractal Detrended Fluctuation Analysis, over three different economic regimes. The results indicate a concurrent movement of oil price volatility and Islamic stock market volatility, as Islamic stock markets are heavily reliant on the real economy, which faces the effects of oil price changes. Emerging markets faced higher volatility and lower efficiency than developed counterparts, owing to fast‐paced economic and infrastructural growth, affecting the real sector of the economy.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Analysing the Relationship between Oil Prices and Islamic Stock Markets

Arshad

2017

J of App Econs and Policy

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“…This framework is used to avoid potential misspecification biases that might result from the use of a conventional VAR modelling technique (Agrawalla and Tuteja, 2008). Similar approach has been followed by other researchers (Mitra, 2013;Hussin et al, 2012;Humpe and Macmillian, 2009;Sohail and Hussain, 2009;Mukherjee and Naka, 1995). Following Johansen (1995), the multivariate VECM can be rewritten as…”

Section: Methodsmentioning

confidence: 86%

“…The dynamics of research was later extended by Engle and Granger (1987) and Granger (1986) who developed the cointegration technique to measures validity of long-term equilibrium between variables. This same technique has been utilized by numerous researchers including Mukherjee & Naka (1995), Nasseh & Strauss (2000), Maysami & Koh (2000), Chaudhuri & Smiles (2004), Humpe & Macmillan (2009), Hussin, et al (2012. Mukherjee & Naka (1995) employed VECM to investigate the Japanese stock price and found cointegrating relationship between macroeconomic variables namely inflation, money supply, real economic activity, long-term government bond rate, industrial production, call money rate and exchange rate.…”

Section: Literature Reviewmentioning

confidence: 99%

Do Macroeconomic Variables Influence Domestic Stock Market Price Behaviour in Emerging Markets? A Johansen Cointegration Approach to the Botswana Stock Market

Sikalao-Lekobane¹

2014

JEBS

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The ability of the stock market to reflect real economic activities through fundamental macroeconomic variables in emerging markets remains paramount considering the role of stock markets in the financial system. This paper explores the long-term equilibrium relationship between the Botswana stock market price and selected domestic and global macroeconomic variables using quarterly data for the period 1998 to 2012. The selected macroeconomic variables included Gross Domestic Product (GDP), long and short-term interest rates, money supply, foreign reserves, inflation, diamond price index, exchange rate, US share price index and 10 Year US government bond yield. The paper employs VECM framework following Johansen's cointegration technique. The analysis revealed that macroeconomic variables and the stock market price are cointegrated, hence, a long-run equilibrium relationship existed between them. The results showed that in the long run, real GDP, short-term interest rates, inflation and diamond index are positively related with stock market price. However, long-term real interest rate, money supply, foreign reserves, exchange rate, US share price index and US government bond yield are negatively related with stock market price in the long run.

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“…Research examining the effects of changes in world oil prices on the stock market in Pakistan [19]. In contrast, many studies have found that there is a significant correlation between changes in world oil prices and stock market [20][21][22][23][24][25].…”

Section: Introductionmentioning

confidence: 99%

The Effect of the Commodity Price on Sharia Stock Markets Volatility in Developed and Developing Countries

Sampurna¹,

Maronrong²

2019

Proceedings of the 5th Annual International Conference on Management Research (AICMaR 2018)

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This research examines the effect of commodity price on Sharia stock markets volatility in both the developed and developing countries. The current study explores the time series as analysis of economic variables and Sharia stock markets by applying the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. The commodity price include world oil price and gold price. For representation of Sharia stock markets are Indonesia Sharia Index (ISSI), FTSE Bursa Malaysia Hijrah Sharia Index (FBMHS Index), S&P Japan 500 Sharia Index (SHJ Index), and S&P 500 Sharia Index (SHX Index). The daily data of the variables for the time period from 1st July 2011 to 31th May 2016 is used for the current study analysis. The ADF test is used to check the stationary in the data respectively. The results show that commodity price have substantial influence on the stock prices volatility. The commodity price on Sharia stock markets volatility in developed and developing countries and are consider as the best indicators for future prediction of the market and economy as well. The movement of commodity prices in the market can affect the movement of stock prices in the capital market.

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The Dynamic Interaction between Islamic Stock Market and Strategic Commodities

Cited by 15 publications

References 18 publications

Analysing the Relationship between Oil Prices and Islamic Stock Markets

Analysing the Relationship between Oil Prices and Islamic Stock Markets

Do Macroeconomic Variables Influence Domestic Stock Market Price Behaviour in Emerging Markets? A Johansen Cointegration Approach to the Botswana Stock Market

The Effect of the Commodity Price on Sharia Stock Markets Volatility in Developed and Developing Countries

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