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THE SHORT-RUN AND LONG-RUN RELATIONSHIP IN INDONESIAN ISLAMIC STOCK RETURNS

Aziz, Jamal Abdul
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Aziz, Jamal Abdul
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Keywords
ECM
Exchange Rate
Money Supply
Islamic Stock Market
GE Subjects
Economic ethics
Ethics of economic systems
Trade ethics
Cultural ethics
Methods of ethics
General and historical
Philosophical ethics
Community ethics
Collections
Islamic Ethics
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http://hdl.handle.net/20.500.12424/235005
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Abstract
This paper aims at empirically examining the short-run and long-run causal relationship between the Indonesian Islamic stock returns and selected macroeconomic variables namely inflation, money supply and exchange rate during the pre- and post- 2008 global financial turmoil period from 2002 until 2007 and from 2008 until 2013 by using monthly data. The methodology used in this study is time series econometric techniques i.e. the unit root test, co-integration test, error correction model (ECM) and variance decompositions (VDCs). The findings showed that there is co-integration between Islamic stock prices and macroeconomic variables. The results suggest that inflation, money supply, and exchange rate significantly affected the Islamic stock returns in Indonesia. These variables should be taken into account by the policy makers as the important policy instruments in stabilizing Islamic stock markets in the country.
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Date
2016-01
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With permission of the license/copyright holder
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