Time varying intra/inter quantile developing relationship of Islamic stock returns: empirical evidence from Indonesia using QBARDL
Journal of Modelling in Management
ISSN: 1746-5664
Article publication date: 17 October 2022
Issue publication date: 1 November 2023
Abstract
Purpose
This study aims to investigate the determinants of Islamic stock returns listed on Jakarta Islamic Index (Indonesia) between 2008 and 2018.
Design/methodology/approach
This study uses a quantile bounded autoregressive distributed lag (QBARDL) model to uncover relevant relationships.
Findings
This study finds that the Dow Jones Islamic Market Index, gold returns, world oil prices and exchange rates are the determinants of the Indonesia’s Islamic stock returns. However, the relationship is time varying developing intra-/inter-quantile bounded.
Practical implications
Integration of the Islamic stock returns with the real economic indicators changes over time. The findings have important implications for the policymakers, the fund managers and the investors to anticipate consequences when considering the macroeconomic conditions before participating in the Indonesian Islamic stock market.
Originality/value
Using a QBARDL, this study finds that the Islamic stock returns have on net and “time-varying intra-/inter-quantile developing” relationship with its determinants as data quantiles progressed from 25% to 75%.
Keywords
Acknowledgements
The authors acknowledge the huge contributions of Miss Devi Rahmiyanti, Mr Imran Harymawan, Mrs Tika Widiastuti, Mrs Nisful Laila and Miss Rafiatul Adlin Hj Mohd Ruslan in the writing, review and up-gradation of the manuscript. The authors also acknowledge the unknown reviewers for their feedback and contribution to bring the manuscript in its final form.
Citation
Fianto, B.A., Shah, S.A.A. and Sukmana, R. (2023), "Time varying intra/inter quantile developing relationship of Islamic stock returns: empirical evidence from Indonesia using QBARDL", Journal of Modelling in Management, Vol. 18 No. 6, pp. 1696-1716. https://doi.org/10.1108/JM2-12-2021-0310
Publisher
:Emerald Publishing Limited
Copyright © 2022, Emerald Publishing Limited