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Relationship between Macroeconomic Variables and Malaysia Available Shariah Indices

Abdullah, Azrul and Mat Isa, Norshamshina and Hasan, Zunairah (2012) Relationship between Macroeconomic Variables and Malaysia Available Shariah Indices. In: 2012 IEEE Colloquium on Humanities, Science and Engineering (CHUSER), 3-4 December 2012, Kota Kinabalu, Malaysia.

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This paper aims to study the relationship between local and foreign macroeconomic variables and Malaysia available Shariah Indices. In our study, we used the Vector Error Correction (VEC) framework by initially looking at the long run and short run relationship between Malaysia available Shariah indices (i.e. KLSI, FTSE Bursa Malaysia EMAS Shariah Index and FTSE Bursa Malaysia Hijrah Shariah Index) and the macroeconomic variables via the Johansen cointegration technique. Monthly data during the twenty two-year period (from January 1990 to December 2011) has been collected from DataStream and tested. The findings show positive relationship between the variables from 1990 to 2006. However, mix results were found after the period till 2011. This study then conclude that the standardized set of macroeconomic variables that specified by earlier researchers still can be relied but in careful policy formulation.


Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Macroeconomics,Granger Causality,FTSE Shariah Index,EMAS Shariah Index, HIJRAH Shariah Index
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Collections: Scopus
Access Type: Open Access
PRISMA ID: 37505
URI: http://oarr.uitm.edu.my/id/eprint/15696

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