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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Main Authors:	Abduh, Muhamad, Surur, Miftaskhus
Format:	Article
Language:	English
Published:	International Association of Islamic Banks 2013
Subjects:	BP173.75 Islam and economics HG4501 Stocks, investment, speculation
Online Access:	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

id	iium-32261
recordtype	eprints
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
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	BP173.75 Islam and economics HG4501 Stocks, investment, speculation
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
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.
format	Article
author	Abduh, Muhamad Surur, Miftaskhus
author_facet	Abduh, Muhamad Surur, Miftaskhus
author_sort	Abduh, Muhamad
title	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_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_sort	dynamics of macroeconomics variables and the volatility of indonesia stock markets: evidence from islamic and conventional stock markets
publisher	International Association of Islamic Banks
publishDate	2013
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
first_indexed	2023-09-18T20:46:34Z
last_indexed	2023-09-18T20:46:34Z
_version_	1777409714114527232

The dynamics of macroeconomics variables and the volatility of Indonesia stock markets: evidence from Islamic and conventional stock markets

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