The Impact of Macro-Economic Variables on the Performance of KSE Meezan Islamic Index (KMI

Khan, Ali Burhan; Aktar, Most. Asikha; Hatim, Muhammad

doi:10.1504/ijtgm.2022.10029880

Cited by 1 publication

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“…Macroeconomic variables do explain stock market returns quite significantly. On the Islamic index front, a recent study conducted by Khan et al (2022) revealed that macroeconomic variables do have a significant impact on the Islamic index as well. To look into this issue more precisely, we need to decompose the macroeconomic variables to ascertain the theoretical reasoning and empirical evidence related to the association between those variables and the stock markets.…”

Section: Existing Literaturementioning

confidence: 99%

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Re-examining asymmetric dynamics in the relationship between macroeconomic variables and stock market indices: empirical evidence from Malaysia

Mohnot,

Banerjee,

Ballaj

et al. 2023

JRF

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PurposeThe aim of this research is to re-examine the dynamic linkages between macroeconomic variables and the stock market indices in Malaysia following some transformational changes in the policies and the exchange rate regime.Design/methodology/approachUsing monthly data points for all the economic variables and the stock market index (KLCI Index), the authors applied vector autoregression (VAR) model to examine the relationship. The authors also used impulse response function (IRF) in order to explore the effect of one-unit shock in “X” on “Y” under the VAR environment.FindingsThe authors' study finds a significant relationship between all the macroeconomic variables and the stock market index of Malaysia. The cointegration results indicate a long-term relationship, whereas the vector autoregressive-based impulse response analysis suggests that the Malaysian stock index (KLCI) responds negatively to the money supply, inflation and producer price index (PPI). However, the authors' results indicate a positive response from the stock index to the exchange rate.Research limitations/implicationsThe authors' study's results are based on selected macroeconomic variables and the VAR model. Researchers may find other variables and methods more useful and may provide findings accordingly.Practical implicationsSince the results are quite asymmetric, it would be interesting for the market players, policymakers and regulators to consider the findings and explore appropriate opportunities.Originality/valueWhile the relationship between macroeconomic variables and stock market indices has been widely examined, a significant gap in the literature remains concerning the role of exchange rate variable on the stock market in an emerging economy context.

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Section: Existing Literaturementioning

confidence: 99%

“…Macroeconomic variables do explain stock market returns quite significantly. On the Islamic index front, a recent study conducted by Khan et al . (2022) revealed that macroeconomic variables do have a significant impact on the Islamic index as well.…”

Section: Existing Literaturementioning

confidence: 99%