Stock market volatility transmission in Malaysia: Islamic versus conventional stock market

This study attempts to explore the extent to which the conditional volatilities of both conventional and Islamic stock markets in Malaysia are related to the conditional volatility of monetary policy variables.Among the monetary policy variables tested in the study are the narrow money supply (M1),...

全面介紹

Saved in:
書目詳細資料
Main Authors: Mohd Yusof, Rosylin, Abd. Majid, M. Shabri
格式: Article
語言:English
出版: King Abdulaziz University 2007
主題:
在線閱讀:http://repo.uum.edu.my/9270/1/5.pdf
http://repo.uum.edu.my/9270/
http://iei.kau.edu.sa/Pages-VOL-20-02.aspx
標簽: 添加標簽
沒有標簽, 成為第一個標記此記錄!
id my.uum.repo.9270
record_format eprints
spelling my.uum.repo.92702016-04-07T07:09:25Z http://repo.uum.edu.my/9270/ Stock market volatility transmission in Malaysia: Islamic versus conventional stock market Mohd Yusof, Rosylin Abd. Majid, M. Shabri HB Economic Theory This study attempts to explore the extent to which the conditional volatilities of both conventional and Islamic stock markets in Malaysia are related to the conditional volatility of monetary policy variables.Among the monetary policy variables tested in the study are the narrow money supply (M1), the broad money supply (M2), interest rates (TBR), exchange rate (MYR), and Industrial Production Index (IPI), while the Kuala Lumpur Composite Index (KLCI) and Rashid Hussain Berhad Islamic Index (RHBII) are used as measures for conventional and Islamic stock markets, respectively.In order to capture the international influence on both stock markets, the volatility in the U.S. monetary policy variable measured by the Federal Funds Rate (FFR) is incorporated into the study.Unlike our earlier study (Mohd.Yusof and Abd. Majid, 2006) that employed the Generalized Autoregressive Conditional Heteroskedasticity (GARCH)-M, GARCH (1,1) framework together with Vector Autoregressive (VAR) analysis are employed for the monthly data starting from January 1992 to December 2000 in this study.The study finds that interest rate volatility affects the conventional stock market volatility but not the Islamic stock market volatility.This highlights the tenet of Islamic principles that the interest rate is not a significant variable in explaining stock market volatility. Our finding provides further support that stabilizing interest rate would have insignificant impact on the volatility of the Islamic stock markets. King Abdulaziz University 2007 Article PeerReviewed application/pdf en http://repo.uum.edu.my/9270/1/5.pdf Mohd Yusof, Rosylin and Abd. Majid, M. Shabri (2007) Stock market volatility transmission in Malaysia: Islamic versus conventional stock market. Journal of King Abdulaziz University: Islamic Economics, 20 (2). pp. 17-35. ISSN 7383-1018 http://iei.kau.edu.sa/Pages-VOL-20-02.aspx
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Mohd Yusof, Rosylin
Abd. Majid, M. Shabri
Stock market volatility transmission in Malaysia: Islamic versus conventional stock market
description This study attempts to explore the extent to which the conditional volatilities of both conventional and Islamic stock markets in Malaysia are related to the conditional volatility of monetary policy variables.Among the monetary policy variables tested in the study are the narrow money supply (M1), the broad money supply (M2), interest rates (TBR), exchange rate (MYR), and Industrial Production Index (IPI), while the Kuala Lumpur Composite Index (KLCI) and Rashid Hussain Berhad Islamic Index (RHBII) are used as measures for conventional and Islamic stock markets, respectively.In order to capture the international influence on both stock markets, the volatility in the U.S. monetary policy variable measured by the Federal Funds Rate (FFR) is incorporated into the study.Unlike our earlier study (Mohd.Yusof and Abd. Majid, 2006) that employed the Generalized Autoregressive Conditional Heteroskedasticity (GARCH)-M, GARCH (1,1) framework together with Vector Autoregressive (VAR) analysis are employed for the monthly data starting from January 1992 to December 2000 in this study.The study finds that interest rate volatility affects the conventional stock market volatility but not the Islamic stock market volatility.This highlights the tenet of Islamic principles that the interest rate is not a significant variable in explaining stock market volatility. Our finding provides further support that stabilizing interest rate would have insignificant impact on the volatility of the Islamic stock markets.
format Article
author Mohd Yusof, Rosylin
Abd. Majid, M. Shabri
author_facet Mohd Yusof, Rosylin
Abd. Majid, M. Shabri
author_sort Mohd Yusof, Rosylin
title Stock market volatility transmission in Malaysia: Islamic versus conventional stock market
title_short Stock market volatility transmission in Malaysia: Islamic versus conventional stock market
title_full Stock market volatility transmission in Malaysia: Islamic versus conventional stock market
title_fullStr Stock market volatility transmission in Malaysia: Islamic versus conventional stock market
title_full_unstemmed Stock market volatility transmission in Malaysia: Islamic versus conventional stock market
title_sort stock market volatility transmission in malaysia: islamic versus conventional stock market
publisher King Abdulaziz University
publishDate 2007
url http://repo.uum.edu.my/9270/1/5.pdf
http://repo.uum.edu.my/9270/
http://iei.kau.edu.sa/Pages-VOL-20-02.aspx
_version_ 1644280063327207424