Document Details

Document Type : Article In Journal 
Document Title :
Stock Market Volatility Transmission in Malaysia: Islamic Versus Conventional Stock Market
تأثير التقلبات في البورصة الماليزية: مقارنة سوق البورصة التقليدية بالإسلامية
 
Subject : Stock Market Volatility Transmission 
Document Language : English 
Abstract : 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 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. 
ISSN : 1018-7383 
Journal Name : Islamic Economics Journal 
Volume : 20 
Issue Number : 2 
Publishing Year : 1428 AH
2007 AD 
Article Type : Article 
Added Date : Friday, July 2, 2010 

Researchers

Researcher Name (Arabic)Researcher Name (English)Researcher TypeDr GradeEmail
روزلين محمد يوسفYusof, Rosylin M.ResearcherDoctorate 
صبري عبدالمجيدAbdulMajid, Shabri ResearcherDoctorate 

Files

File NameTypeDescription
 27281.pdf pdfتأثير النقلبات في البورصة الماليزية

Back To Researches Page