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dc.contributor.authorAlbaity, Mohamed Shikhen_US
dc.date.accessioned2011-07-20en_US
dc.date.accessioned2011-07-25T14:52:51Z-
dc.date.available2011-07-25T14:52:51Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/48586-
dc.description.abstractPrevious studies found that Islamic stock market index in Malaysia (KLSI), does not react, or react negatively to interest rate, although one of the main criteria of Islamic finance is to avoid business and activities that yield interest because of its prohibition in Islamic laws. On the other hand, studies of Islamic stock market index in the US (DJIMI) found that there is no impact of interest rate on DJIMI. These two stock market indices have different screening criteria and different composite of securities. This study aims at investigating the monetary policy variables impact, the effect of interest rate, and the use of stock market indices as a hedge against inflation. It also examines the volatilities of monetary variables, interest rates, and inflation rate on two Islamic stock market indices. Using time series analysis such as GARCH the results are as follows. It is found that in the variance univariate models of the conventional indices that M1, M3, inflation rate, and real growth in GDP are significant in influencing KLCI volatility, while M2, M3, inflation rate and interest rate affected DJINA volatility. On the other hand, in the Islamic indices, KLSI and DJIMI variance is influenced by M2, M3, and inflation rate. In addition, in the multivariate model, DJIMI is influenced by the interest rate and the inflation rate in the mean and variance equations. In contrast, KLSI is influenced commonly in the mean and variance equations by M3, and the inflation rate.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesEconomics Discussion Papers 2011-26en_US
dc.subject.jelE4en_US
dc.subject.jelE6en_US
dc.subject.jelF4en_US
dc.subject.ddc330en_US
dc.subject.keywordMacroeconomic volatilityen_US
dc.subject.keywordGARCHen_US
dc.subject.keywordIslamic indexen_US
dc.subject.stwAktienindexen_US
dc.subject.stwIslamen_US
dc.subject.stwMakroökonomischer Einflussen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwZinsen_US
dc.subject.stwSchätzungen_US
dc.subject.stwVergleichen_US
dc.subject.stwMalaysiaen_US
dc.subject.stwUSAen_US
dc.titleImpact of the monetary policy instruments on Islamic stock market index returnen_US
dc.typeWorking Paperen_US
dc.identifier.ppn664505562en_US
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen_US
dc.identifier.repecRePEc:zbw:ifwedp:201126-
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