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22.7.09

Stock Market Volatility Transmission in Malaysia: Islamic Versus Conventional Stock Market

Another empirical study from KAU's Islamic Economics Research Centre, which delves not just on a comparison between conventional and Islamic equities, but also on the impact that interest rate fluctuations have on either one.

Stock Market Volatility Transmission in Malaysia: Islamic Versus Conventional Stock Market
Rosylin Mohd. Yusof and M. Shabri Abd. Majid
Islamic Economics Research Centre
King Abdul Aziz University, Jeddah, Saudi Arabia


Abstract: "This study attempts to explore the extent to which the conditional volatilities of both conventional and Islamic stock markets in Malaysia are related to the conditional volatility of monetary policy variables."

"The study finds that interest rate volatility affects the conventional stock market volatility but not the Islamic stock market volatility. This highlights the tenet of Islamic principles that the interest rate is not a significant variable in explaining stock market volatility."

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1 comment:

  1. Apologies if the link is broken, KAU has revamped the website of the Islamic Economics Research Centre - will endeavour to sort this out soon!

    ReplyDelete