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The Impact of Macroeconomic Factors on US Islamic and Conventional Equity تأثير العوامل الاقتصادية الكلية على الأسهم الإسلامية والتقليدية الأمريكية

Author

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  • Mazhar Hallak Kantakji

    (Lecturer, Business School, Universiti Kuala Lumpur (UniKL), Malaysia)

Abstract

This study explores the influence of economic fundamentals on both Islamic and conventional equity in the US stock market by applying various methods of time series techniques focusing on the period from January 1996 to September 2013. The empirical results show that the exogenous variables are industrial production (IP), interest rate (T3), and consumer production index (CPI); whereas Islamic stock index (IS), conventional stock index (CS), and money supply (M2) are endogenous variables. When IP, T3, or CPI receives a shock, it will deviate from the equilibrium and will transmit the shock to other variables whereas if IS, CS, or M2 undergoes a shock, the long-run combination will correct it through the short-run adjustment to the equilibrium. The empirical findings also reveal a higher impact of industrial production and lower impact of interest rate on Islamic equity, as compared to conventional equity. Our results are consistent with the theory that Islamic finance, due to its effective Sharīʿah screening process, is more prevalent in the real economic sector and less associated with interest-based activities. يقوم هذا البحث بدراسة تأثير العوامل الاقتصادية الكلية على كل من الأسهم الإسلامية والتقليدية في سوق الأوراق المالية في الولايات المتحدة الأمريكية من خلال تطبيق طرق مختلفة لتقنيات السلاسل الزمنية التي تشمل الفترة من يناير 1996م إلى سبتمبر 2013م. وتظهر النتائج التجريبية أن المتغيرات الخارجية هي الإنتاج الصناعي، ومعدل الفائدة ومؤشر الإنتاج الاستهلاكي؛ في حين أن مؤشر الأسهم الإسلامية ومؤشر الأسهم التقليدي وعرض النقود هي متغيرات داخلية. وبناءً على ذلك، فإنه عندما يتلقى الإنتاج الصناعي أو معدل الفائدة أو مؤشر الإنتاج الاستهلاكي صدمة خارجية، فإنه ينحرف عن التوازن وينقل الصدمة إلى متغيرات أخرى ، بينما لا ينطبق ذلك على مؤشر الأسهم الإسلامية أو مؤشر الأسهم التقليدي أو عرض النقود. كما تكشف النتائج التجريبية عن تأثير أكبر للإنتاج الصناعي وتأثير أصغر لسعر الفائدة على الأسهم الإسلامية مقارنةً بالأسهم التقليدية. وتتفق نتائج هذا البحث مع النظرية المبنية على أن التمويل الإسلامي أكثر انتشارًا في القطاع الاقتصادي الحقيقي وأقل ارتباطًا بالأنشطة القائمة على الفائدة بسبب عملية الرقابة الشرعية الفعالة.

Suggested Citation

  • Mazhar Hallak Kantakji, 2019. "The Impact of Macroeconomic Factors on US Islamic and Conventional Equity تأثير العوامل الاقتصادية الكلية على الأسهم الإسلامية والتقليدية الأمريكية," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 32(2), pages 43-58, January.
    • Handle: RePEc:abd:kauiea:v:32:y:2019:i:2:no:3:p:43-58
    DOI: 10.4197/Islec.32-2.3
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    More about this item

    Keywords

    Islamic equity; US stock market; Macroeconomics; Industrial production. الأسهم الإسلامية، سوق الأوراق المالية الأمريكية، الاقتصاد الكلي، الإنتاج الصناعي.;
    All these keywords.

    JEL classification:

    • Z12 - Other Special Topics - - Cultural Economics - - - Religion
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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