Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood

This study investigates VAR Toda-Yamamoto’s causality test between Islamic capital market (FBMESI) and money market (I1MMR) with macroeconomic variables (BLR, M2, ER, IPI, GDP, CPI, WOP, GDPC, VIX, and FRR). The purpose of this study is to analyze the information content of Islamic capital market an...

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Main Author:	Mahmood, Che’ Khalilah
Format:	Thesis
Language:	English
Published:	2014
Online Access:	https://ir.uitm.edu.my/id/eprint/16368/1/TM_CHE%27%20KHALILAH%20MAHMOOD%20BM%2014_5.pdf
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spelling	my-uitm-ir.163682022-03-29T08:07:39Z Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood 2014-12 Mahmood, Che’ Khalilah This study investigates VAR Toda-Yamamoto’s causality test between Islamic capital market (FBMESI) and money market (I1MMR) with macroeconomic variables (BLR, M2, ER, IPI, GDP, CPI, WOP, GDPC, VIX, and FRR). The purpose of this study is to analyze the information content of Islamic capital market and Islamic money market with respect to several macroeconomic indicators. The Toda-Yamamoto bivariate and multivariate causality test was employed. The findings from the bivariate and multivariate causality test show that the IIMMR either a one-way or two-way causality relationship with all macroeconomic variables employed (BLR, M2, ER, IPI, GDP, CPI, WOP, GDPC, VIX, and FRR). FBMESI have only one-way or two-way causal relationship with (BLR, M2, IPI, GDP, CPI, WOP, GDPC, and FRR). ER, IPI, and FRR and a two-way causal relationship with GDPM in a bivariate and multivariate causality test. It can be conclude that from the Toda-Yamamoto’s bivariate and multivariate causality test, IIMMR have more information content related to macroeconomic variables compared to FBMESI, thus more suitable to be the indicator for monetary policies for regulator (BNM) 2014-12 Thesis https://ir.uitm.edu.my/id/eprint/16368/ https://ir.uitm.edu.my/id/eprint/16368/1/TM_CHE%27%20KHALILAH%20MAHMOOD%20BM%2014_5.pdf text en public mphil masters Universiti Teknologi MARA Arshad Ayub Graduate Business School
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
description	This study investigates VAR Toda-Yamamoto’s causality test between Islamic capital market (FBMESI) and money market (I1MMR) with macroeconomic variables (BLR, M2, ER, IPI, GDP, CPI, WOP, GDPC, VIX, and FRR). The purpose of this study is to analyze the information content of Islamic capital market and Islamic money market with respect to several macroeconomic indicators. The Toda-Yamamoto bivariate and multivariate causality test was employed. The findings from the bivariate and multivariate causality test show that the IIMMR either a one-way or two-way causality relationship with all macroeconomic variables employed (BLR, M2, ER, IPI, GDP, CPI, WOP, GDPC, VIX, and FRR). FBMESI have only one-way or two-way causal relationship with (BLR, M2, IPI, GDP, CPI, WOP, GDPC, and FRR). ER, IPI, and FRR and a two-way causal relationship with GDPM in a bivariate and multivariate causality test. It can be conclude that from the Toda-Yamamoto’s bivariate and multivariate causality test, IIMMR have more information content related to macroeconomic variables compared to FBMESI, thus more suitable to be the indicator for monetary policies for regulator (BNM)
format	Thesis
qualification_name	Master of Philosophy (M.Phil.)
qualification_level	Master's degree
author	Mahmood, Che’ Khalilah
spellingShingle	Mahmood, Che’ Khalilah Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
author_facet	Mahmood, Che’ Khalilah
author_sort	Mahmood, Che’ Khalilah
title	Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
title_short	Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
title_full	Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
title_fullStr	Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
title_full_unstemmed	Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood
title_sort	interdependence between islamic capital market and money market in malaysia / che’ khalilah mahmood
granting_institution	Universiti Teknologi MARA
granting_department	Arshad Ayub Graduate Business School
publishDate	2014
url	https://ir.uitm.edu.my/id/eprint/16368/1/TM_CHE%27%20KHALILAH%20MAHMOOD%20BM%2014_5.pdf
_version_	1783733513678225408

Interdependence between Islamic capital market and money market in Malaysia / Che’ Khalilah Mahmood

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