Cointegration of Islamic stock indices: evidence from five ASEAN countries

Cointegration of Islamic stock indices: evidence from five ASEAN countries

This paper investigates the dynamic causal linkages in the daily returns among five ASEAN Shariahcompliant indices (such as, FTSEMY index, MSSNGIL index, JAKSEIS index, MSTHFIL index and MSPHISL index) through the application of the standard time series techniques. Essentially, the purpose of this...

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Main Author: Saiti, Buerhan
Format: Article
Language:English
Published: IJSER 2015
Subjects:
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/44696/
http://irep.iium.edu.my/44696/
http://irep.iium.edu.my/44696/1/44696.pdf
id iium-44696
recordtype eprints
spelling iium-446962017-08-07T02:48:47Z http://irep.iium.edu.my/44696/ Cointegration of Islamic stock indices: evidence from five ASEAN countries Saiti, Buerhan HG4501 Stocks, investment, speculation This paper investigates the dynamic causal linkages in the daily returns among five ASEAN Shariahcompliant indices (such as, FTSEMY index, MSSNGIL index, JAKSEIS index, MSTHFIL index and MSPHISL index) through the application of the standard time series techniques. Essentially, the purpose of this research is to identify the extent of linkages of Islamic stock indices in five ASEAN countries. Our study is focused on investigating the following empirical questions: (i) are these selected five Shariah-compliant stock indices cointegrated? and (ii) which major stock index was driving the selective Shariah-compliant stock indices? Our findings tend to suggest: (i) the selected Islamic stock indices appear to have a theoretical and long-run comovement (as evidenced in the Cointegration and LRSM tests) (ii) Finally, what stands out is the leadership of the Malaysia Shariah stock index in driving all Islamic stock indices (as evidenced in the VDCs tests). IJSER 2015-07 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44696/1/44696.pdf Saiti, Buerhan (2015) Cointegration of Islamic stock indices: evidence from five ASEAN countries. International Journal of Scientific & Engineering Research, 6 (7). pp. 1392-1405. ISSN 2229-5518 http://www.ijser.org/researchpaper%5CCointegration-of-Islamic-Stock-Indices-Evidence-from-Five-ASEAN-Countries.pdf
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HG4501 Stocks, investment, speculation
spellingShingle HG4501 Stocks, investment, speculation
Saiti, Buerhan
Cointegration of Islamic stock indices: evidence from five ASEAN countries
description This paper investigates the dynamic causal linkages in the daily returns among five ASEAN Shariahcompliant indices (such as, FTSEMY index, MSSNGIL index, JAKSEIS index, MSTHFIL index and MSPHISL index) through the application of the standard time series techniques. Essentially, the purpose of this research is to identify the extent of linkages of Islamic stock indices in five ASEAN countries. Our study is focused on investigating the following empirical questions: (i) are these selected five Shariah-compliant stock indices cointegrated? and (ii) which major stock index was driving the selective Shariah-compliant stock indices? Our findings tend to suggest: (i) the selected Islamic stock indices appear to have a theoretical and long-run comovement (as evidenced in the Cointegration and LRSM tests) (ii) Finally, what stands out is the leadership of the Malaysia Shariah stock index in driving all Islamic stock indices (as evidenced in the VDCs tests).
format Article
author Saiti, Buerhan
author_facet Saiti, Buerhan
author_sort Saiti, Buerhan
title Cointegration of Islamic stock indices: evidence from five ASEAN countries
title_short Cointegration of Islamic stock indices: evidence from five ASEAN countries
title_full Cointegration of Islamic stock indices: evidence from five ASEAN countries
title_fullStr Cointegration of Islamic stock indices: evidence from five ASEAN countries
title_full_unstemmed Cointegration of Islamic stock indices: evidence from five ASEAN countries
title_sort cointegration of islamic stock indices: evidence from five asean countries
publisher IJSER
publishDate 2015
url http://irep.iium.edu.my/44696/
http://irep.iium.edu.my/44696/
http://irep.iium.edu.my/44696/1/44696.pdf
first_indexed 2023-09-18T21:03:32Z
last_indexed 2023-09-18T21:03:32Z
_version_ 1777410782290509824

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