MACRO-ECONOMIC DETERMINANTS OF STOCK MARKET INTERDEPENDENCE BETWEEN CHINA & ISLAMIC EMERGING ECONOMIES

Abstract

The purpose of this paper is to examine the interdependence between stock markets of Islamic Asian Emerging economies & the Chinese stock market. This study uses monthly time series data and to examine the interdependence. First, co-integration technique is used to measure long run relationship. Second, to measure time varying relationship FEVD technique is used. Finally, a time series pairwise regression employed to examine the impact of macro-economic determinant on time varying relationship measured through FEVD. The findings support that there is interdependence between Islamic Asian Emerging Economies Stock markets and the Chinese stock markets and this interdependence is also time varying, and macro-economic determinants significantly affect this time varying relationships. It is therefore, concluded that there is long run interdependence exist between Islamic Asian Emerging stock markets and the Chinese stock market and macro-economic determinants are significantly affect this relationship. Originality/value: This paper adds to the literature by providing important information regarding the interdependence between Islamic Asian Emerging Stock markets & the Chinese stock market.