scholarly journals DO ISLAMIC EQUITY STYLE INDICES CONTAIN ECONOMIC INFORMATION?

2020 ◽  
Vol 6 (4) ◽  
Author(s):  
Shahrin Saaid Shaharuddin ◽  
Wee-Yeap Lau ◽  
Tien-Ming Yip
Keyword(s):  
Composite Index ◽  
Economic Indicator ◽  
Var Model ◽  
Kuala Lumpur ◽  
Monthly Data ◽  
Fund Managers ◽  
Unidirectional Flow ◽  
Short Run ◽  
Style Indices ◽  
Flow Of Information

This study aims to investigate whether the Islamic equity style index containseconomic information which is useful for investors and financial practitioners. Thestudy fills the gap in the previous literature by investigating the relationshipbetween Islamic equity style indices and macroeconomic variables. Using aVector Autoregressive (VAR) model with monthly data from June 2006 to May2017, our results show that first, there is unidirectional flow of information fromLarge Growth (LG) to the Leading Economic Indicator (LEI); second, LargeGrowth (LG) Granger-causes the Kuala Lumpur Composite Index (KLCI); third,Large Value (LV) also Granger-causes KLCI. A robustness check with anAugmented VAR model obtained similar results to the short-run model. Ourresults imply that equity style indices have prior information which is faster thanLEI and KLCI. This knowledge is certainly useful for fund managers whendesigning Shariah-compliant portfolio investments. For policymakers, Islamicequity style indices are useful for predicting the direction of other macroeconomicvariables such as business cycles, and hence help to predict the future directionand turning points in the economy.

scholarly journals Capital Market And The Transmission Channel Of The Monetary Policy: An Empirical Evidence On The Money View

2010 ◽  
Vol 9 (9) ◽  
Author(s):  
Caroline Geetha
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Monetary Transmission ◽  
Kuala Lumpur ◽  
Monthly Bulletin ◽  
Monthly Data ◽  
Long Run ◽  
Short Run ◽  
The Relationship

The aim of this study is to find the relationship between the monetary transmission channels with the stock prices.  The study utilizes the monthly data from 1990 to 2001 obtained from the Kuala Lumpur Stock Exchange Report and the monthly bulletin of the Central Bank of Malaysia.  The result revealed that all the variables are non-stationary at the level form and stationary at the first difference.  The Johansen Cointegration revealed that a long-run relationship does exist for the unanticipated changes in money supply, unlike the anticipated changes in money supply that only established a short-run relationship with stock prices.  This is due to the level of monetization that is unable to eliminate the excess in the money market in the long run. 

The money market sensitivity on the stock market

2006 ◽  
Vol 3 (2) ◽  
pp. 85
Author(s):  
Wan Mansor Wan Mahmood ◽  
Zetty Zahureen Mohd Yusoff
Keyword(s):  
Stock Returns ◽  
Composite Index ◽  
Asian Financial Crisis ◽  
Money Market ◽  
Kuala Lumpur ◽  
Correction Model ◽  
Monthly Data ◽  
Cointegration Tests ◽  
The Impact

This paper employs the cointegration tests and error correction model to investigate the impact ofeasing money market on stock returns in Malaysia following the Asian financial crisis during 1997 to 2000. The monthly data on Kuala Lumpur Interbank Offer Rates (KLIBOR), the monthly closing of Kuala Lumpur Composite Index (KLCI) andthe sector indexes - construction, consumer product, finance, industrial product, plantation, properties, mining, andtrading andservices, from January I, 1997 to December 31,2000 are used. The results suggest that there is long-term relationship between KLlBOR andsub sample 2, KLlBOR and constructions, KLlBOR and properties, and KLlBOR and mining.

scholarly journals Pengaruh Berbagai Indeks Saham Asia terhadap Indeks Harga Saham Gabungan Tahun 2015-2019

2020 ◽  
Vol 2 (4) ◽  
pp. 1096
Author(s):  
Vincent Hartantio ◽  
Yusbardini Yusbardini
Keyword(s):  
Regression Analysis ◽  
Unit Root ◽  
Stock Price ◽  
Price Index ◽  
Composite Index ◽  
Unit Root Test ◽  
Kuala Lumpur ◽  
Monthly Data ◽  
Integration Test ◽  
Stock Price Index

The purpose of this study is to analyze the effect of Nikkei 225 Index, Strait Times Index, Kuala Lumpur Composite Index, Hang Seng Index and Korean Composite Stock Price Index against Jakarta Composite Index (JCI) during the observed period from 2015-2019. The analytical method used in this study are unit root test, classic assumption test ,co-integration test and multiple regression analysis performed with E-views 9.0. This research used monthly data from 2015 – 2019 for each variable. This research analyzing the influence of Nikkei 225 Index, Strait Times Index, Kuala Lumpur Composite Index, Hang Seng Index and Korean Composite Stock Price Index toward Jakarta Composite Index simultaneously and partially. The result of the study shows that simultaneously Nikkei 225 Index, Strait Times Index, Kuala Lumpur Composite Index, Hang Seng Index and Korean Composite Stock Price Index has significant effect on Jakarta Composite Index. Tujuan penelitian ini adalah untuk mengetahui pengaruh dari Indeks Nikkei 225, Strait Times Index, Kuala Lumpur Composite Index (KLCI), Indeks Hang Seng, Korean Composite Stock Price Index (KOSPI) terhadap Indeks Harga Saham Gabungan pada periode 2015-2019. Metode analisis yang digunakan dalam penelitian ini adalah uji akar unit, uji asumsi klasik, uji kointegrasi, dan uji analisis regresi berganda yang menggunakan program E-views 9.0. Penelitian ini menggunakan data bulanan pada periode tahun 2015-2019 untuk setiap variabelnya. Penelitian ini menganalisi pengaruh Indeks Nikkei 225, Strait Times Index, Kuala Lumpur Composite Index (KLCI), Indeks Hang Seng, Korean Composite Stock Price Index (KOSPI) terhadap Indeks Harga Saham Gabungan secara bersama-sama dan sebagian. Hasil dari penelitian ini menunjukan bahwa pengaruh Indeks Nikkei 225, Strait Times Index, Kuala Lumpur Composite Index (KLCI), Indeks Hang Seng, Korean Composite Stock Price Index (KOSPI) saling mempengaruhi secara signifikan.

A Downside Risk Analysis of Inflation Hedging Capabilities of Individual Assets and Optimal Asset Allocation

2021 ◽  
Vol 8 (1) ◽  
pp. 80
Author(s):  
Aftab Hussain Tabassam ◽  
Zafar Iqbal ◽  
Arshad Ali Bhatti ◽  
Amna Mushtaq
Keyword(s):  
World Bank ◽  
Asset Allocation ◽  
Foreign Currency ◽  
Investment Horizon ◽  
Medium Term ◽  
Optimal Portfolios ◽  
Monthly Data ◽  
Short Run ◽  
Asset Classes ◽  
Inflation Hedging

The objective of this study is to examine the inflation hedging capabilities of most widely used asset classes in Pakistan. It also attempts to find out the possibility of creating an inflation protected optimal asset mix. The sample consists of monthly data of cash, gold, stocks, foreign currency, real estate and inflation from 2005 to 2015. The major sources of data are SBP, World Bank and Pakistan Statistics Bureau. The downside analysis of these assets concludes that cash act as an inflation hedge for all the investment horizons. The findings showed that the Gold and stocks also have inflation hedging abilities in short run which extend to medium term investment horizon for gold only, while stocks appear to be a good inflation hedge for longer investment horizons. This study also suggests that investors can strategically create optimal portfolios that are hedged against inflation.

MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA

2009 ◽  
Vol 54 (04) ◽  
pp. 605-619 ◽  
Author(s):  
MOHD TAHIR ISMAIL ◽  
ZAIDI BIN ISA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Composite Index ◽  
Regime Shifts ◽  
Var Model ◽  
Vector Autoregressive ◽  
Stock Price Index

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange rate in Malaysia using a two regimes multivariate Markov switching vector autoregression (MS-VAR) model with regime shifts in both the mean and the variance. In the study, the Kuala Lumpur Composite Index (KLCI) and the exchange rates of Malaysia ringgit against four other countries namely the Singapore dollar, the Japanese yen, the British pound sterling and the Australian dollar between 1990 and 2005 are used. The empirical results show that all the series are not cointegrated but the MS-VAR model with two regimes manage to detect common regime shifts behavior in all the series. The estimated MS-VAR model reveals that as the stock price index falls the exchange rates depreciate and when the stock price index gains the exchange rates appreciate. In addition, the MS-VAR model fitted the data better than the linear vector autoregressive model (VAR).

scholarly journals Investigating Gold Investment as an Inflationary Hedge

2018 ◽  
Vol 7 (1) ◽  
pp. 30-41 ◽  
Author(s):  
Narinder Pal Singh ◽  
Navneet Joshi
Keyword(s):  
Consumer Price Index ◽  
Wald Test ◽  
Indian Culture ◽  
Vector Error Correction ◽  
Fund Managers ◽  
Vector Error ◽  
Long Run ◽  
Short Run ◽  
Portfolio Managers ◽  
Long Run Equilibrium

Gold and Indian culture have been sharing an age-old association. India is one of the top two consumers of gold. Gold is the most popular investment avenue because of its ability to provide liquidity. The average monthly price however has grown by 1,588 percent over the whole period from 1979 to 2017 (June). In this article, we intend to investigate gold as an investment to hedge against inflation. The sample period to study the relationship between gold and inflation is 2011–2017 (March). To analyze long-run equilibrium between gold and inflation (consumer price index [CPI]), Johansen’s cointegration approach has been used. The short- and long-run causality between gold and inflation has been studied using vector error correction model (VECM) and Wald test. The results of cointegration indicate that gold and CPI series are cointegrated and bear long-run equilibrium. Both VECM and Wald test results indicate that there is only long-run causality between CPI and gold prices. However, in short run these variables do not show any causality. Thus, we infer that gold investment can be used as hedge against Inflation. The findings of this research have got direct implications for retail investors, portfolio managers, treasury and fund managers, government, and commercial traders.

scholarly journals Relationship between inflation and inflation uncertainty: The case of Serbia

2009 ◽  
Vol 19 (1) ◽  
pp. 171-183 ◽  
Author(s):  
Zorica Mladenovic
Keyword(s):  
Transition Period ◽  
Inflation Uncertainty ◽  
Monthly Data ◽  
High Inflation ◽  
Short Run ◽  
Permanent And Transitory Components ◽  
Uncertainty Models ◽  
The Relationship ◽  
Uncertainty Relationship ◽  
High Uncertainty

The purpose of this paper is to examine the relationship between inflation and inflation uncertainty in the Serbian economy, being particularly vulnerable to shocks in inflation rate, during transition period 2001 - 2007. Based on monthly data several GARCH specifications are estimated to provide the measure for inflation uncertainty. Derived variables are then included into VAR model to test for Granger-causality between inflation and its uncertainty. Models that consider only permanent and transitory components of prices are also estimated to investigate the inflation-uncertainty relationship in the long and in the short run. The main conclusion of the paper is that high inflation invokes high uncertainty, while high uncertainty negatively affects the level of inflation at long horizon.

scholarly journals Transmission mechanisms in Japan’s quantitative easing policy (2001–2006)

2017 ◽  
Vol 6 (2) ◽  
pp. 35 ◽  
Author(s):  
Hiroyuki Ijiri
Keyword(s):  
Bank Lending ◽  
Var Model ◽  
Quantitative Easing ◽  
Time Varying ◽  
Transmission Channel ◽  
Bank Lending Channel ◽  
Monthly Data ◽  
Lending Channel ◽  
Transmission Mechanisms ◽  
Time Varying Parameter

This study investigates exchange rates and bank lending as the transmission channels for Japan’s Quantitative Easing Policy (QEP) during 2001–2006. Using a Time Varying Parameter-VAR model and monthly data to analyze the dynamism of the QEP, this study is the first to show that the exchange rate channel was the effective QEP transmission channel after around 2005, while the bank lending channel was inactive.

scholarly journals ANALISIS PENGARUH INDEKS HARGA SAHAM GABUNGAN REGIONAL ASIA TERHADAP INDEKS HARGA SAHAM GABUNGAN INDONESIA

2018 ◽  
Vol 1 (2) ◽  
pp. 148
Author(s):  
Widodo Widodo
Keyword(s):  
South Korea ◽  
Significant Influence ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Index ◽  
Kuala Lumpur ◽  
Korea Strait ◽  
Independent Variables

ABSTRACTThe aims of this research is to analyze the influence of NIKKEI 225 Index (^N225), HANG SENG Index (^HSI), KOSPI Index (^KS11), Strait Times Index (^STI), and Kuala Lumpur Stock Exchange (^KLSE) simultaneously and partially in Jakarta Composite Index (^JKSE) during 2009 to 2017. Method of multiple linier regression with significant level 0,05 using STATA 10 program. The populations and samples was used this research is stock index on ASIA regional (NIKKEI 225 (Japan), HANG SENG Index (Hongkong), KOSPI (South Korea), Strait Times Index (Singapore), Kuala Lumpur Stock Exchange (Malaysia), and Jakarta Composite Index (Indonesia)) was conducted during January 2009 to May 2017. Results of this research simultaneously model for all independent variables are influence to dependent variable. However, parcially model ^N225, ^KS11 and ^KLSE variables positive and significant influence to ^JKSE variable. Whereas ^HSI and ^STI variable are not effect to ^JKSE variable during January 2009 to May 2017.Keywords: JKSE; N225; HSI; KS11; STI; KLSE.

scholarly journals International Real Estate Review

2007 ◽  
Vol 10 (2) ◽  
pp. 1-22
Author(s):  
Lawrence Kryzanowski ◽  
◽  
Margarita Tcherednitchenko ◽  
Keyword(s):  
Interest Rate ◽  
Real Estate ◽  
Composite Index ◽  
Market Risk ◽  
Real Estate Investment Trusts ◽  
Common Stock ◽  
Real Estate Investment ◽  
Short Run ◽  
Equity Investments ◽  
Stock Portfolio

The return performance and factor sensitivities of Canadian equity real estate investment trusts (E-REITs) are examined. Today, typical and average Canadian E-REIT IPOs are correctly priced based on first- day and subsequent short-run returns. The overpricing evident earlier in the 1993-96 period for typical and average E-REIT IPOs has corrected. E-REITs are equity investments with about one-half the market risk, and greater ensitivity to interest-rate changes, than the S&P/TSX Composite Index. E-REITs outperformed the S&P/TSX Composite over the 1996-2004 period on a return, risk, and market- and/or risk-adjusted basis. Thus, E-REITs provided material diversification benefits with no sacrifice in return, when added to a common stock portfolio during the studied period.

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