The impact of macroeconomic variables on FTSE Bursa Malaysia Emas Shariah Index / Siti Nurulhuda Ibrahim … [et al.]

Ibrahim, Siti Nurulhuda and Abdul Hamid, Zuraini and Mohd Nor, Amirudin and Abd Razak, Noraznira (2017) The impact of macroeconomic variables on FTSE Bursa Malaysia Emas Shariah Index / Siti Nurulhuda Ibrahim … [et al.]. In: 2nd International Islamic Heritage Conference (ISHEC 2017), 14-15 November 2017, Avillion Hotel Melaka.

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Abstract

This research will focus on the relationship between selected macroeconomic variables and Islamic stock market in Malaysia. The objective of this research is to examine the impact of Aggregate Money Supply (M3), Kuala Lumpur Interbank Offer Rate (KLIBOR), Exchange Rate of Malaysian Ringgit-United States Dollar (EXRATE), Industrial Production Index (IPI), Consumer Price Index (CPI), Gold Price (GOLD) and Crude Oil Price (COP), which is combination of monetary, production and commodity toward FTSE Bursa Malaysia Emas Shariah Index (FBMES). In order to achieve the objective, this study applies the Ordinary Least Square using heteroskedasticity robust variance-covariance estimator (VCE robust) and used monthly data over the period of April 2007 - April 2016 from authorized sources which is DataStream (Thompson Reuters). The study revealed that there is a significant relationship between FTSE Bursa Malaysia Emas Shariah Index and the selected variables, namely EXRATE, IPI, CPI, GOLD and COP. However, FTSE Bursa Malaysia Emas Index is found negative, and not significantly affected by KLIBOR. Besides that, we need to exclude M3 due to high correlation with the CPI. This study is important for those market participants, especially for investors and fund manager who need to understand the behavior of the stock market in order to make a right decision in making an investment.

Item Type: Conference or Workshop Item (Paper)
Creators:
CreatorsEmail
Ibrahim, Siti Nurulhudasitinur304@bdrmelaka.uitm.edu.my
Abdul Hamid, ZurainiUNSPECIFIED
Mohd Nor, AmirudinUNSPECIFIED
Abd Razak, NorazniraUNSPECIFIED
Subjects: H Social Sciences > HJ Public Finance > Finance, Islamic
Divisions: Universiti Teknologi MARA, Melaka > Alor Gajah Campus
Event Title: 2nd International Islamic Heritage Conference (ISHEC 2017)
Event Dates: 14-15 November 2017
Page Range: pp. 469-488
Item ID: 20127
Uncontrolled Keywords: Macroeconomic variables; FTSE Bursa Malaysia; Emas Shariah Index
Last Modified: 15 Aug 2018 01:08
Depositing User: Staf Pendigitalan 7
URI: http://ir.uitm.edu.my/id/eprint/20127

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