style indices
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Author(s):  
Shahrin Saaid Shaharuddin ◽  
Wee-Yeap Lau ◽  
Tien-Ming Yip

This study aims to investigate whether the Islamic equity style index containseconomic information which is useful for investors and financial practitioners. Thestudy fills the gap in the previous literature by investigating the relationshipbetween Islamic equity style indices and macroeconomic variables. Using aVector Autoregressive (VAR) model with monthly data from June 2006 to May2017, our results show that first, there is unidirectional flow of information fromLarge Growth (LG) to the Leading Economic Indicator (LEI); second, LargeGrowth (LG) Granger-causes the Kuala Lumpur Composite Index (KLCI); third,Large Value (LV) also Granger-causes KLCI. A robustness check with anAugmented VAR model obtained similar results to the short-run model. Ourresults imply that equity style indices have prior information which is faster thanLEI and KLCI. This knowledge is certainly useful for fund managers whendesigning Shariah-compliant portfolio investments. For policymakers, Islamicequity style indices are useful for predicting the direction of other macroeconomicvariables such as business cycles, and hence help to predict the future directionand turning points in the economy.


2017 ◽  
Vol 53 (7) ◽  
pp. 1563-1572 ◽  
Author(s):  
Shahrin Saaid Shaharuddin ◽  
Wee-Yeap Lau ◽  
Rubi Ahmad

2017 ◽  
Vol 5 (1) ◽  
pp. 1363355 ◽  
Author(s):  
Shahrin Saaid Shaharuddin ◽  
Wee-Yeap Lau ◽  
Rubi Ahmad ◽  
David McMillan

2012 ◽  
Author(s):  
Peter Tsui K Tsui ◽  
Frank Luo ◽  
Philip Murphy
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