IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/104973.html

The lead-lag relationship among select regional islamic equity markets

Author

Listed:
  • al Bdiwy, Feras
  • Masih, Mansur

Abstract

This study investigates the issue of integration in regional Islamic equity markets. For this purpose, four of the Dow Jones Islamic indexes, namely USA, UK, Euro Zone, and Asia Pacific have been selected for analysis. The issue is approached from two perspectives: (i) whether these markets move together (ii) and the dynamic linkages from the lead-lag relationships. Our analysis finds one significant cointegrating relationship among the selected Islamic equity markets, with the U.K Islamic equity market being the follower and the U.S Islamic equity market being the most leading one. These findings may suggest that Islamic equity markets also have a strong long-run equilibrium relationship mostly driven by fundamental element of the economy. In addition, the strong leading role of the U.S. Islamic equity index means that the U.S. market has a strong influence over the other regional markets even within the context of Islamic finance. The global bullish financial market driven by the U.S. market, which was followed by the subprime crisis, may explain this evidence.

Suggested Citation

  • al Bdiwy, Feras & Masih, Mansur, 2017. "The lead-lag relationship among select regional islamic equity markets," MPRA Paper 104973, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:104973
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/104973/1/MPRA_paper_104973.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Söhnke M. Bartram & Gunter Dufey, 2001. "International Portfolio Investment: Theory, Evidence, and Institutional Framework," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 10(3), pages 85-155, August.
    2. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2011. "Financial Openness and Productivity," World Development, Elsevier, vol. 39(1), pages 1-19, January.
    3. Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245.
    4. Robert Engle & Clive Granger, 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.
    5. Niklas Ahlgren & Jan Antell, 2002. "Testing for cointegration between international stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 12(12), pages 851-861.
    6. Masih, Rumi & Masih, Abul M. M., 1996. "Macroeconomic activity dynamics and Granger causality: New evidence from a small developing economy based on a vector error-correction modelling analysis," Economic Modelling, Elsevier, vol. 13(3), pages 407-426, July.
    7. Mr. Tamim Bayoumi & Mr. Trung T Bui, 2012. "Global Bonding: Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?," IMF Working Papers 2012/298, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ditimi Amassoma & O. Adeleke, 2018. "Testing for the Causality between Interest Rate and Stock Market Performance in Nigeria," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 109-124.
    2. Phengpis, Chanwit, 2006. "Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises," Journal of Economics and Business, Elsevier, vol. 58(4), pages 323-342.
    3. Mansor Ibrahim & Abdullahi Ahmed, 2013. "Stock Market and Aggregate Investment Behavior in Malaysia: An Empirical Analysis," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 20(2), pages 265-284, October.
    4. Andreas Humpe & Peter Macmillan, 2009. "Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan," Applied Financial Economics, Taylor & Francis Journals, vol. 19(2), pages 111-119.
    5. R. Gopinathan & S. Raja Sethu Durai, 2019. "Stock market and macroeconomic variables: new evidence from India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-17, December.
    6. Mohammed B. Yusoff & Ruslee Nuh, 2015. "Foreign Direct Investment, Trade Openness and Economic Growth," Foreign Trade Review, , vol. 50(2), pages 73-84, May.
    7. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2005. "Estimation of the common and country-specific shock to stock prices," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 322-337, September.
    8. Kezhong Chen & Constantinos Alexiou, 2025. "Cointegration-based pairs trading: identifying and exploiting similar exchange-traded funds," Journal of Asset Management, Palgrave Macmillan, vol. 26(5), pages 464-488, September.
    9. Katrakilidis Constantinos & Zafeiriou Eleni & Sariannidis Nikolaos & Dimitris Bantis, 2019. "Greenhouse gas emissions–crude oil prices: an empirical investigation in a nonlinear framework," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 21(6), pages 2835-2856, December.
    10. Aristeidis G. Samitas & Dimitris F. Kenourgios, 2007. "Macroeconomic factors' influence on 'new' European countries' stock returns: the case of four transition economies," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 2(1/2), pages 34-49.
    11. Binswanger, Mathias, 2004. "Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 237-252, May.
    12. Andreas Humpe & Peter Macmillan, 2007. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 200720, Centre for Dynamic Macroeconomic Analysis.
    13. Chee Loong, Lee & Chun Hao, Laiu & Nur Hidayah, Ramli & Nur Sabrina, Mohd Palel, 2018. "Dynamic Interactions in Macroeconomic Activities," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 26(3), pages 1651-1672.
    14. Matthew Serfling & Dragan Miljkovic, 2011. "Time series analysis of the relationships among (macro) economic variables, the dividend yield and the price level of the S&P 500 Index," Applied Financial Economics, Taylor & Francis Journals, vol. 21(15), pages 1117-1134.
    15. Alexeeva-Talebi, Victoria, 2011. "Cost pass-through of the EU emissions allowances: Examining the European petroleum markets," Energy Economics, Elsevier, vol. 33(S1), pages 75-83.
    16. Chu, Patrick Kuok-Kun, 2011. "Relationship between macroeconomic variables and net asset values (NAV) of equity funds: Cointegration evidence and vector error correction model of the Hong Kong Mandatory Provident Funds (MPFs)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 792-810.
    17. Hosseini, Seyed Mehdi & Ahmad, Zamri & Lai, Yew Wah, 2011. "The Role of Macroeconomic Variables on Stock Market Index in China and India," MPRA Paper 112215, University Library of Munich, Germany.
    18. Sulaiman, Nadzri & Masih, Mansur, 2017. "Macroeconomic variables and stock markets (domestic and foreign): evidence from Malaysia," MPRA Paper 110154, University Library of Munich, Germany.
    19. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.
    20. Ghosh, Sajal & Kanjilal, Kakali, 2016. "Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests," Energy Economics, Elsevier, vol. 53(C), pages 111-117.

    More about this item

    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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:104973. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.