거시경제위험에 따른 이슬람시장 vs 서구 전통 주식시장

This study investigates the relationship between macroeconomic risk and low-frequency volatility of stock markets, albeit, making a comparison between conventional and Islamic stock markets from around the world. The study uses the novel approach of Rangel and Engle(2012) to extract ‘low-frequency’ volatility from aggregate volatility shocks and then investigates whether this low frequency volatility can be explained by macroeconomic risk. Using a panel of 36 countries, representing developed, emerging and Islamic countries for the period from 2000 to 2016, the study finds that low-frequency market volatility is lower for Islamic countries (and) markets with more number of listed companies, (and) higher market capitalization relative to GDP and larger variability in industrial production. The study also finds that low-frequency component of volatility is greater when the macroeconomic factors of GDP, unemployment, short-term interest rates, inflation, money supply and foreign exchange rates are more volatile. The empirical results are robust to various alternative specifications and split sample analyses. Our findings imply that religiosity has an influence on the correction of market volatility.