The Effect of the Commodity Price on Sharia Stock Markets Volatility in Developed and Developing Countries

DOI

10.2991/aicmar-18.2019.19How to use a DOI?

Keywords

the world oil price; the gold price; Sharia stock markets; volatility

Abstract

This research examines the effect of commodity price on Sharia stock markets volatility in both the developed and developing countries. The current study explores the time series as analysis of economic variables and Sharia stock markets by applying the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. The commodity price include world oil price and gold price. For representation of Sharia stock markets are Indonesia Sharia Index (ISSI), FTSE Bursa Malaysia Hijrah Sharia Index (FBMHS Index), S&P Japan 500 Sharia Index (SHJ Index), and S&P 500 Sharia Index (SHX Index). The daily data of the variables for the time period from 1st July 2011 to 31th May 2016 is used for the current study analysis. The ADF test is used to check the stationary in the data respectively. The results show that commodity price have substantial influence on the stock prices volatility. The commodity price on Sharia stock markets volatility in developed and developing countries and are consider as the best indicators for future prediction of the market and economy as well. The movement of commodity prices in the market can affect the movement of stock prices in the capital market.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Dian Surya Sampurna
AU  - Ridwan Maronrong
PY  - 2019/02
DA  - 2019/02
TI  - The Effect of the Commodity Price on Sharia Stock Markets Volatility in Developed and Developing Countries
BT  - Proceedings of the 5th Annual International Conference on Management Research (AICMaR 2018)
PB  - Atlantis Press
SP  - 83
EP  - 86
SN  - 2352-5428
UR  - https://doi.org/10.2991/aicmar-18.2019.19
DO  - 10.2991/aicmar-18.2019.19
ID  - Sampurna2019/02
ER  -