The impact of macroeconomic variables towards the Islamic stock market in Malaysia / Siti Rahimah Abdu Raji

Many studies have been conducted in determining the variables that could influence
the stock market. Few literatures are considering the relationships between returns in
Islamic stock market in regional level, which in this case, Malaysia with the
macroeconomic variables. The relationships of the variables are to be observed by
using the Ordinary Least Square (OLS) method. The current study is reinvestigating
the relationship and the determinant of dominant variables towards the returns of
stocks traded in Malaysian Islamic stock market which is known as FTSE Bursa
Malaysia EMAS Shariah Index (FBEMS). The examined period is post global crisis in
2007 which is between 2010 until 2015 as according to the availability of data. For
diagnostic checking, there are no multicollinearity and heteroscedasticity problem
although there is an autocorrelation problem. The findings showed that M3 and L TR
are both significantly positive towards Pl while CPI and XR are negatively related. It
is also shown that IP/ and STR are insignificant towards the return of the Islamic
market. Moreover, it shows only CPI, M3 and STR Granger cause for Pl in a
unidirectional causality relationships while XR is in bidirectional relationships towards
Pl.