Cover Image

The relationship between oil price, exchange rate and Islamic stock market in Malaysia

This research discusses the relationship between oil price, macroeconomic variables and Islamic stock market in Malaysia. The objective of this research is to analyze the dynamic effects of oil price and macroeconomic variables changes on Islamic stock market in Malaysia using an estimation of Vecto...

Full description

Saved in:
Bibliographic Details
Main Authors: Abu @ Hussin, Mohd. Fauzi, Mohd. Hussin, Mohd. Yahya, Muhammad, Fidlizan, Abdul Razak, Azila
Format: Article
Published: IISTE.Org 2012
Subjects:
H Social Sciences
Online Access:http://eprints.utm.my/id/eprint/33612/
http://www.iiste.org/Journals/index.php/RJFA/article/view/2127
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.utm.33612
record_format eprints
spelling my.utm.336122019-01-28T06:52:05Z http://eprints.utm.my/id/eprint/33612/ The relationship between oil price, exchange rate and Islamic stock market in Malaysia Abu @ Hussin, Mohd. Fauzi Mohd. Hussin, Mohd. Yahya Muhammad, Fidlizan Abdul Razak, Azila H Social Sciences This research discusses the relationship between oil price, macroeconomic variables and Islamic stock market in Malaysia. The objective of this research is to analyze the dynamic effects of oil price and macroeconomic variables changes on Islamic stock market in Malaysia using an estimation of Vector Auto Regression (VAR) method. The variables involved in this research are Crude Oil Price (COP), Foreign exchange rates of Ringgit Malaysia - United States Dollar (MYR) and FTSE Bursa Malaysia Emas Shariah Index (FBMES). Using monthly data over the period January 2007 - December 2011, the study applies the co-integration analysis, multivariate Granger causality test, Impulse Response Function (IRF) and Variance Decomposition (VDC) analysis. The findings showed that Islamic stock prices are co-integrated with oil price and exchange rate variables. Based on cointegration relationship analysis, the Islamic stock price is positively and significantly related to the oil price variable but inversely and not significantly related to the exchange rate variable. Using Granger causality test, only oil price variable is Granger-caused by the Islamic stock return in Malaysia. Therefore, oil price shock will affect the Islamic stock return in the short and long run in Malaysia. IISTE.Org 2012 Article PeerReviewed Abu @ Hussin, Mohd. Fauzi and Mohd. Hussin, Mohd. Yahya and Muhammad, Fidlizan and Abdul Razak, Azila (2012) The relationship between oil price, exchange rate and Islamic stock market in Malaysia. Research Journal of Finance and Accounting, 3 (5). pp. 83-92. ISSN 2222-2847 http://www.iiste.org/Journals/index.php/RJFA/article/view/2127
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
topic H Social Sciences
spellingShingle H Social Sciences
Abu @ Hussin, Mohd. Fauzi
Mohd. Hussin, Mohd. Yahya
Muhammad, Fidlizan
Abdul Razak, Azila
The relationship between oil price, exchange rate and Islamic stock market in Malaysia
description This research discusses the relationship between oil price, macroeconomic variables and Islamic stock market in Malaysia. The objective of this research is to analyze the dynamic effects of oil price and macroeconomic variables changes on Islamic stock market in Malaysia using an estimation of Vector Auto Regression (VAR) method. The variables involved in this research are Crude Oil Price (COP), Foreign exchange rates of Ringgit Malaysia - United States Dollar (MYR) and FTSE Bursa Malaysia Emas Shariah Index (FBMES). Using monthly data over the period January 2007 - December 2011, the study applies the co-integration analysis, multivariate Granger causality test, Impulse Response Function (IRF) and Variance Decomposition (VDC) analysis. The findings showed that Islamic stock prices are co-integrated with oil price and exchange rate variables. Based on cointegration relationship analysis, the Islamic stock price is positively and significantly related to the oil price variable but inversely and not significantly related to the exchange rate variable. Using Granger causality test, only oil price variable is Granger-caused by the Islamic stock return in Malaysia. Therefore, oil price shock will affect the Islamic stock return in the short and long run in Malaysia.
format Article
author Abu @ Hussin, Mohd. Fauzi
Mohd. Hussin, Mohd. Yahya
Muhammad, Fidlizan
Abdul Razak, Azila
author_facet Abu @ Hussin, Mohd. Fauzi
Mohd. Hussin, Mohd. Yahya
Muhammad, Fidlizan
Abdul Razak, Azila
author_sort Abu @ Hussin, Mohd. Fauzi
title The relationship between oil price, exchange rate and Islamic stock market in Malaysia
title_short The relationship between oil price, exchange rate and Islamic stock market in Malaysia
title_full The relationship between oil price, exchange rate and Islamic stock market in Malaysia
title_fullStr The relationship between oil price, exchange rate and Islamic stock market in Malaysia
title_full_unstemmed The relationship between oil price, exchange rate and Islamic stock market in Malaysia
title_sort relationship between oil price, exchange rate and islamic stock market in malaysia
publisher IISTE.Org
publishDate 2012
url http://eprints.utm.my/id/eprint/33612/
http://www.iiste.org/Journals/index.php/RJFA/article/view/2127
_version_ 1643649380382670848
score 13.211869

Similar Items