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Does islamic stock index lead or lag conventional stock index ? Malaysian case

Author

Listed:
  • Khan, Aftab
  • Masih, Mansur

Abstract

The main purpose of this paper is to investigate whether the Islamic stock index leads or lags the conventional stock index. The standard time series techniques are used for the analysis and Malaysia is taken as a case study. The interest rate and industrial production variables are used as control variables. All the variables appear to be bound together by a long run theoretical relationship as evidenced in their being cointegrated. The variance decomposition analysis tends to indicate that the Islamic index has relatively an edge over the conventional index in terms of being the leader in the Malaysian context. This is an interesting finding and contains important implications for the policy makers.

Suggested Citation

  • Khan, Aftab & Masih, Mansur, 2016. "Does islamic stock index lead or lag conventional stock index ? Malaysian case," MPRA Paper 110274, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:110274
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    References listed on IDEAS

    as
    1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    2. Fama, Eugene F, 1990. "Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Islamic stock; conventional stock; lead-lag; VECM; VDC; Malaysia;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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