Impact of Economic Policy Uncertainty and Macroeconomic Factors on Stock Market Volatility: Evidence from Islamic Indices

• 발행기관: 한국유통과학회
• 저자명: Tariq AZIZ Jahanzeb MARWAT Sheraz MUSTAFA Vikesh KUMAR
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.12, 683~692쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.12.30

영문 초록

The primary purpose of the study is to investigate the volatility spillovers from global economic policy uncertainty and macroeconomic factors to the Islamic stock market returns. The study focuses on the Islamic stock indices of emerging economies including Indonesia, Malaysia, and Turkey. The Macroeconomic factors are industrial production, consumer price index, exchange rate. EGARCH model is employed for investigation of volatility spillovers. The results show that the global economic policy uncertainty has a significant spillover effect only on the returns of Turkish Islamic stock index. Similarly, the shocks in macroeconomic factors have little influence on the volatility of Islamic indices returns. The volatility of Indonesian and the Turkish Islamic stock indices returns is not influenced from the fluctuations in macroeconomic factors. However, there is significant volatility spillover only from industrial production to the returns of Malaysian Islamic index. The results suggest that the Islamic stock markets are less likely to influence from the global economic policies and macroeconomic factors. The stability of Islamic stocks provide opportunity for diversification of portfolios, particularly in stressed market conditions. The major price factors of Islamic markets could be firms’ specific factors or investors’ behaviors. The findings are helpful for policy makers and investors in formulating policies and portfolios.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Results and Discussion

5. Conclusion

References

키워드

Islamic Stocks Market Returns Volatility Spillovers Macroeconomic Variables