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Does inflation impact shariah (islamic) equity index and conventional equity index differently?the case of Malaysia

Author

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  • Omar, Abdullah
  • Masih, Mansur

Abstract

There have been a lot of works done on the impact of inflation on the conventional equity index. However, not much work has been done on the impact of inflation on Islamic equity index. This paper is an attempt at investigating whether the impact of inflation on Shariah (islamic) equity and conventional equity is similar or different. The standard time series techniques have been employed for the analysis. The finding tends to indicate that the impact of inflation on Shariah (islamic) equity index and conventional equity index is not significantly different but similar. This finding has an important implication for the policy makers, practitiners and investers in that they would be aware of whether an investment in islamic equity is any better or worse (than conventional equity) as a hedge against inflation at least in the context of Malaysia.

Suggested Citation

  • Omar, Abdullah & Masih, Mansur, 2017. "Does inflation impact shariah (islamic) equity index and conventional equity index differently?the case of Malaysia," MPRA Paper 102576, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:102576
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    References listed on IDEAS

    as
    1. Paul Alagidede & Theodore Panagiotidis, 2010. "Can common stocks provide a hedge against inflation? Evidence from African countries," Review of Financial Economics, John Wiley & Sons, vol. 19(3), pages 91-100, August.
    2. Gulnur Muradog Lu & Kivilcim Metin & Reha Argac, 2001. "Is there a long run relationship between stock returns and monetary variables: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 641-649.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    4. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
    5. Ali Anari & James Kolari, 2001. "Stock Prices And Inflation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(4), pages 587-602, December.
    6. Mansur Masih & Ali Al-Elg & Haider Madani, 2009. "Causality between financial development and economic growth: an application of vector error correction and variance decomposition methods to Saudi Arabia," Applied Economics, Taylor & Francis Journals, vol. 41(13), pages 1691-1699.
    7. Shakil Quayes & A. Jamal, 2008. "Does inflation affect stock prices?," Applied Economics Letters, Taylor & Francis Journals, vol. 15(10), pages 767-769.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Shariah (Islamic) equity; conventional equity; inflation; 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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