THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA
This study attempts to examine the short-term and long-term relationship among selected global and domestic macroeconomic variables from each country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Is...
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doaj-f25a5f7d52a34d66aa55a904e75695982020-11-24T21:20:51ZindBank IndonesiaBulletin Ekonomi Moneter dan Perbankan1410-80462460-91962013-09-0115437740010.21098/bemp.v15i4.432432THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIAMuhammad Syafii AntonioHafidhoh HafidhohHilman FauziThis study attempts to examine the short-term and long-term relationship among selected global and domestic macroeconomic variables from each country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selected macroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECM JEL Classification: E52, E44https://www.bmeb-bi.org/index.php/BEMP/article/view/432 |
collection |
DOAJ |
language |
Indonesian |
format |
Article |
sources |
DOAJ |
author |
Muhammad Syafii Antonio Hafidhoh Hafidhoh Hilman Fauzi |
spellingShingle |
Muhammad Syafii Antonio Hafidhoh Hafidhoh Hilman Fauzi THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA Bulletin Ekonomi Moneter dan Perbankan |
author_facet |
Muhammad Syafii Antonio Hafidhoh Hafidhoh Hilman Fauzi |
author_sort |
Muhammad Syafii Antonio |
title |
THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA |
title_short |
THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA |
title_full |
THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA |
title_fullStr |
THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA |
title_full_unstemmed |
THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA |
title_sort |
islamic capital market volatility: a comparative study between in indonesia and malaysia |
publisher |
Bank Indonesia |
series |
Bulletin Ekonomi Moneter dan Perbankan |
issn |
1410-8046 2460-9196 |
publishDate |
2013-09-01 |
description |
This study attempts to examine the short-term and long-term relationship among selected global and domestic macroeconomic variables from each country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selected macroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII.
Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECM
JEL Classification: E52, E44 |
url |
https://www.bmeb-bi.org/index.php/BEMP/article/view/432 |
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