Long‐run relationship between Islamic stock returns and macroeconomic variables

摘要: Purpose – The purpose of this paper is to explore the extent which macroeconomic variables affect Islamic stock market behavior in Malaysia post 1997 financial crisis period.Design/methodology/approach employs latest estimation technique autoregressive distributed lag (ARDL) model approach cointegration.Findings results suggest that real effective exchange rate, money supply M3, treasury bill rate (TBR) and federal fund (FFR) seem be suitable targets for government focus on, order stabilize encourage more capital flows into market. As interest rates returns relationship, finds when rise either domestically or internationally (FFR), Muslim investors will buy Shari'ah compliant stocks; thereby escalating prices.Research limitations/implications study are limited period until ...