The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets
This study aims to investigate the impact of the movement of macroeconomic variables upon the Indonesia stock markets, both Islamic and conventional stock markets, by using vector error correction model. The macroeconomic variables employed in the study are exchange rate, economic growth, and inflat...
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| Format: | Article |
| Language: | English |
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International Association of Islamic Banks
2013
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/32261/ http://irep.iium.edu.my/32261/1/JIBF-July-Sept_13.25-33.pdf |
| _version_ | 1848780529244045312 |
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| author | Abduh, Muhamad Surur, Miftaskhus |
| author_facet | Abduh, Muhamad Surur, Miftaskhus |
| author_sort | Abduh, Muhamad |
| building | IIUM Repository |
| collection | Online Access |
| description | This study aims to investigate the impact of the movement of macroeconomic variables upon the Indonesia stock markets, both Islamic and conventional stock markets, by using vector error correction model. The macroeconomic variables employed in the study are exchange rate, economic growth, and inflation within the period of January 2003 to December 2010. The result shows that in the long run, the performance of the stock markets is negatively influenced by exchange rate and positively influenced by industrial production index. Interestingly, inflation is found to be significant only for conventional stock markets with negative relationship. |
| first_indexed | 2025-11-14T15:35:07Z |
| format | Article |
| id | iium-32261 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T15:35:07Z |
| publishDate | 2013 |
| publisher | International Association of Islamic Banks |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-322612013-10-11T06:12:23Z http://irep.iium.edu.my/32261/ The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets Abduh, Muhamad Surur, Miftaskhus BP173.75 Islam and economics HG4501 Stocks, investment, speculation This study aims to investigate the impact of the movement of macroeconomic variables upon the Indonesia stock markets, both Islamic and conventional stock markets, by using vector error correction model. The macroeconomic variables employed in the study are exchange rate, economic growth, and inflation within the period of January 2003 to December 2010. The result shows that in the long run, the performance of the stock markets is negatively influenced by exchange rate and positively influenced by industrial production index. Interestingly, inflation is found to be significant only for conventional stock markets with negative relationship. International Association of Islamic Banks 2013-07-01 Article PeerReviewed application/pdf en http://irep.iium.edu.my/32261/1/JIBF-July-Sept_13.25-33.pdf Abduh, Muhamad and Surur, Miftaskhus (2013) The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets. Journal of Islamic Banking and Finance, 30 (3). pp. 25-33. ISSN 1814-8042 https://www.facebook.com/JIBFK |
| spellingShingle | BP173.75 Islam and economics HG4501 Stocks, investment, speculation Abduh, Muhamad Surur, Miftaskhus The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets |
| title | The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets |
| title_full | The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets |
| title_fullStr | The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets |
| title_full_unstemmed | The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets |
| title_short | The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets |
| title_sort | dynamics of macroeconomics variables and the volatility of indonesia stock markets: evidence from islamic and conventional stock markets |
| topic | BP173.75 Islam and economics HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/32261/ http://irep.iium.edu.my/32261/ http://irep.iium.edu.my/32261/1/JIBF-July-Sept_13.25-33.pdf |