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

摘要

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 (SIIJ 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.