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Lead-lag relationship between islamic ETF price and strategic commodities: evidence from Malaysia

Author

Listed:
  • Farouk, Faizal
  • Masih, Mansur

Abstract

This paper investigates the lead-lag relationship between Islamic ETF price and strategic commodities such as, oil and gold price. Standard time-series techniques are employed. Malaysia is used as a case study. The findings tend to indicate that Islamic ETF price is co-integrated with the strategic commodities and the selected macroeconomic variables. Based on the cointegration analysis, the Islamic ETF price is positively related to exchange rate of Malaysian Ringgit (MYR)-United States Dollar (USD), gold price and FTSE Bursa Malaysia KLCI ETF price (FBM3), while negatively related to crude oil price. The findings discern the lead-lag relationship and evidence that the gold price (GOLDBLN) is the most exogenous variable whereas the oil price is the most endogenous variable. The findings are plausible and have strong policy implications

Suggested Citation

  • Farouk, Faizal & Masih, Mansur, 2017. "Lead-lag relationship between islamic ETF price and strategic commodities: evidence from Malaysia," MPRA Paper 104977, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:104977
    as

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    File URL: https://mpra.ub.uni-muenchen.de/104977/1/MPRA_paper_104977.pdf
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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. 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.
    3. James M. Poterba & John B. Shoven, 2002. "Exchange-Traded Funds: A New Investment Option for Taxable Investors," American Economic Review, American Economic Association, vol. 92(2), pages 422-427, May.
    4. Diaw, Abdou & Hassan, Salwana & Ng Boon Ka, Adam, 2010. "Performance of Islamic and conventional exchange traded funds in Malaysia," MPRA Paper 32601, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Islamic exchange traded fund (ETF) price; oil price; gold price; lead-lag; 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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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