The Impact of U.S Monetary Policy and Macroeconomics Factors on Asia Emerging Islamic Stock Market During Covid-19

DOI

10.2991/aebmr.k.210628.011How to use a DOI?

Keywords

Islamic stock markets, monetary policy, macroeconomic

Abstract

This study explores the volatility spillover in six Asia emerging Islamic stock markets (China, India, Indonesia, Malaysia, Taiwan, and Thailand) affected by the US monetary policy and macroeconomic factors during the COVID-19 pandemic period. It is found that most Islamic stock markets in Asia are more susceptible to VIX and US 10-month T-bill yield volatility than UCT and monetary policy (US 3-month T-bill rate). However, the Taiwan Islamic stock market provides diversification benefits because it is not affected by monetary policy and global stock market uncertainty. This study also explores a novel Asia Islamic stock market causality relationship. GARCH-BEKK is employed for variance analysis.

Copyright

© 2021, 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  - Annisa Sekar Kasih
AU  - Viverita
PY  - 2021
DA  - 2021/06/29
TI  - The Impact of U.S Monetary Policy and Macroeconomics Factors on Asia Emerging Islamic Stock Market During Covid-19
BT  - Proceedings of the 18th International Symposium on Management (INSYMA 2021)
PB  - Atlantis Press
SP  - 59
EP  - 64
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210628.011
DO  - 10.2991/aebmr.k.210628.011
ID  - Kasih2021
ER  -