Commenced in January 2007
Paper Count: 30101
A Study of Islamic Stock Indices and Macroeconomic Variables
Authors: Mohammad Irfan
Abstract:The purpose of this paper is to investigate the relationship among the key macroeconomic variables and Islamic stock market in India. This study is based on the time series data of financial years 2009-2015 to explore the consistency of relationship between macroeconomic variables and Shariah Indices. The ADF (Augmented Dickey–Fuller Test Statistic) and PP (Phillips–Perron Test Statistic) tests are employed to check stationarity of the data. The study depicts the long run relationship between Shariah indices and macroeconomic variables by using the Johansen Co-integration test. BSE Shariah and Nifty Shariah have uni-direct Granger causality. The outcome of VECM is significantly confirming the applicability of best fitted model. Thus, Islamic stock indices are proficiently working for the development of Indian economy. It suggests that by keeping eyes on Islamic stock market which will be more interactive in the future with other macroeconomic variables.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1128161Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 627
 Co-integration and Causality between Macroeconomic Variables and Stock Market Returns. Kwon, C S and Shin, T S. 1, s.l.: Global Finance Journal, 1999, Vol. 10. 71-81.
 Macroeconomic Variables and the Malaysian Equity Market: A View Through Rolling Subsamples. Ibrahim, M and Aziz, P. 1, s.l.: Journal of Economic Studies, 2003, Vol. 30. 6-27.
 Standard & Poor's. S&P CNX Shariah Indices. London: The McGraw Hill, 2008.
 Asia Index Ltd. S&P BSE 500 Shariah Methodology. London: Mcgraw Hill, 2016.
 Asia Index Private Limited: Index Methodology. S&P BSE India Manufacturing Index Methodology. India: S&P Dow Johes indices, McGraw Hill Financial, 2015.
 India index Services and Products Ltd. Methodology Document of Nifty Shariah. Mumbai: India index Services and Products Ltd.(IISL), 2016.
 PWC. The World in 2050 will the shift in global economic power continue? UK: PWC's Research Network, 2015. 150128-085441-DC-OS.
 Macroeconomics, Investors Sentiment, Islamic Stock Price Index in Malaysia. Mamunur, Rashid. 4, s.l.: Journal of Economic Corporation and development, 2014, Vol. 35. 221-236.
 Causal Relationship between Macroeconomic Variables and Shariah Index in Emerging Economies: An Empirical Study of India. Irfan, M. Surat: Auro University, 2014. 22-35.
 Causality between Malaysian Islamic Stock Market and Macroeconomic Variables. Naseri, M and Masih, N. s.l.: Munich Personal RePEc Archive, 2013, Vol. 23.
 Ethical investment revisited: Evidence from Dow Jones Islamic Indexes. Hussein, K and Omran, M. s.l.: The Journal of Investing, 2005, Vol. 14. 105-124.
 Impact of monetary policy instrument on Islamic stock market index return. Albaity, Mohammed Shikh. s.l.: Discussion paper, 2001, Vol. 26. 1-28.
 Stock Market and Economic Activity: An Application of Toda-Yamamoto Long-Run Causality Tes. Habibullah, M S, Baharumshah, A Z and Azali, M. Aldershot: M.S. Ashgate Publishing Com, 2000.
 A Vector Error Correction Model of the Singapore Stock Market. Maysami, R C and Koh, T S. s.l.: International Review of Economics and Finance, 2000, Vol. 9. 79-156.
 Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error- Correction Model. Mukherjee, T K and Naka, A. s.l.: Journal of Empirical Research, 1995, Vol. 18. 223-237.
 Equanimity of Risk and Return Relationship between Shariah Index and General Index in India. Dhanani, M and Natarajan, P. 2011, Journal of Economics and Behavioral Studies, pp. 213-222.
 A Study of the Movement of BSE-TASIS Shariah 50 Index in accordance with Sensex. Rizwan, Mohd. and Kumar, Anuj tyagi. 2012, International Journal of Emerging Research in Management &Technology, pp. 5-13.
 Financial Performance of Shariah-Compliant Investment: Evidence from Malaysian Stock Market. Sadeghi, Mehdi. 2008, International Research Journal of Finance and Economics, pp. 15-26.
 Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries. Khil, J and Lee, B S. 3-4, s.l.: Pacific-Basin Finance Journal, 2000, Vol. 8. 457-482.