Causality among stock market and macroeconomic factors : a comparison of conventional and Islamic stocks

Joint Authors

Bhatti, Arshad Ali
Hanif, Muhammad

Source

Journal of Islamic Business and Management

Issue

Vol. 8, Issue 2 (31 Dec. 2018), pp.423-449, 27 p.

Publisher

Riphah International University Riphah Centre of Islamic Business

Publication Date

2018-12-31

Country of Publication

Pakistan

No. of Pages

27

Main Subjects

Economics & Business Administration

Abstract EN

A recent development in financial markets is the creation of Shar¯ı‘ah compliant stock universes.

Shar¯ı‘ah compliant stock universe is featured as socially responsible investments, less levered, and more reflective of the real sector.

This study is conducted to understand and document the short-run equilibrium among important macroeconomic indicators and Equity indexesIslamic and conventionalin the post-Shar¯ı‘ah-screening era in Pakistan.

Comparative study of linkages among stock indexes and macroeconomic variables is of great interest to i) identify the important macroeconomic factors; and ii) document whether Shar¯ı‘ah screening of stocks has created any difference (in macro risk factors).

We have included eight macroeconomic variables to study integration with stocks for 64 Months’ period (07/2011-10/2016).

Evidence has been obtained by application of correlation, unit root, OLS-regression and Granger causality tests.

Findings suggest that both markets Islamic & conventional are integrated with selected macroeconomic indicators.

However, evidence lacks the integration of markets themselves.

We identify a set of two variables from real economy exports and workers’ remittances-linked with both markets, while the third variable is different for Islamic (industrial production) and conventional (Money Supply (MS)) markets.

Important monetary variables interest rate and inflation have shown an insignificant association.

Movements of Islamic index are in-line with the theory i.e., disassociation from interest and reflection of the real economy.

Movements of conventional index cover both real and monetary sectors.

American Psychological Association (APA)

Hanif, Muhammad& Bhatti, Arshad Ali. 2018. Causality among stock market and macroeconomic factors : a comparison of conventional and Islamic stocks. Journal of Islamic Business and Management،Vol. 8, no. 2, pp.423-449.
https://search.emarefa.net/detail/BIM-880801

Modern Language Association (MLA)

Hanif, Muhammad& Bhatti, Arshad Ali. Causality among stock market and macroeconomic factors : a comparison of conventional and Islamic stocks. Journal of Islamic Business and Management Vol. 8, no. 2 (2018), pp.423-449.
https://search.emarefa.net/detail/BIM-880801

American Medical Association (AMA)

Hanif, Muhammad& Bhatti, Arshad Ali. Causality among stock market and macroeconomic factors : a comparison of conventional and Islamic stocks. Journal of Islamic Business and Management. 2018. Vol. 8, no. 2, pp.423-449.
https://search.emarefa.net/detail/BIM-880801

Data Type

Journal Articles

Language

English

Notes

Includes appendices : p. 445-449

Record ID

BIM-880801