Global uncertainty, gold price and macroeconomic dynamics: a comparative study of Islamic stock indices in Indonesia and Malaysia
Darya Fitriayu, Juliana - Juliana, Muhammad Wafi Dhiya'ulhaq, Muhammad Hafizh Shidqi, Asep Miftahuddin, Muhamad AbduhPurpose
This study aims to examine the short-run and long-run relationships between global uncertainty indicators, namely the Volatility Index, Global Economic Policy Uncertainty and Geopolitical Risk, gold prices and domestic macroeconomic variables on Islamic stock indices in Indonesia and Malaysia.
Design/methodology/approach
Using monthly data from August 2017 to August 2025, the study employs the Autoregressive Distributed Lag and Error Correction Model framework. Structural break tests, diagnostic checks and robustness analyses are conducted to ensure model validity.
Findings
The results indicate cross-country heterogeneity. The Indonesian Islamic stock market is more strongly driven by domestic fundamentals, particularly exchange rate movements, while the Malaysian Islamic stock market is more sensitive to global uncertainty indicators and gold prices. Significant and negative error correction terms confirm rapid adjustment toward long-run equilibrium in both markets.
Practical implications
The study offers important implications for policymakers, investors and researchers. Policymakers can strengthen Islamic capital market resilience through targeted risk mitigation and sukuk market development, while investors may optimize portfolio strategies based on varying exposure to global uncertainty. Academically, the study advances the Islamic finance literature by providing a theoretically grounded and empirically robust analysis of uncertainty transmission in ASEAN Islamic stock markets.
Originality/value
These findings suggest that Islamic stock markets in ASEAN are neither fully insulated from nor fully integrated with global financial dynamics. Instead, they exhibit a pattern of selective integration, where sensitivity to global and domestic shocks depends on market structure and the degree of financial openness.