The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China?

The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China?

This paper investigates the dynamic causal linkages in the daily returns among four conventional and three Shariah compliant indices (such as, Financial Times Stock Exchange Shariah China Index, Asia Shariah Index, Malaysia EMAS Shariah Index, China Shanghai Stock Exchange [SSE] Composite Index, H...

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Bibliographic Details
Main Authors: Saiti, Buerhan, Masih, Mansur
Format: Article
Language:English
English
Published: EconJournals 2016
Subjects:
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/52540/
http://irep.iium.edu.my/52540/
http://irep.iium.edu.my/52540/1/52540-co-movement%20of%20selective%20conventional%20and%20Islamic%20stock%20indices-scopus.pdf
http://irep.iium.edu.my/52540/7/52540_the%20co-movement%20of%20selective%20conventional.pdf
id iium-52540
recordtype eprints
spelling iium-525402017-10-16T02:17:16Z http://irep.iium.edu.my/52540/ The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China? Saiti, Buerhan Masih, Mansur HG4501 Stocks, investment, speculation This paper investigates the dynamic causal linkages in the daily returns among four conventional and three Shariah compliant indices (such as, Financial Times Stock Exchange Shariah China Index, Asia Shariah Index, Malaysia EMAS Shariah Index, China Shanghai Stock Exchange [SSE] Composite Index, Hang Seng Index, Nikkei 225 and KOSPI) in Asia region through the application of the standard time series techniques. Essentially, the purpose of this research is to identify the extent of infl uence of conventional and Islamic, regional and international equity markets on Shariah compliant equity investment in China. Our study is focused on investigating the following empirical questions: (i) Which indices do the Shariah China Index commove with? (ii) Which indices is the Shariah China Index Granger-causally related with? and (iii) Which major stock index was driving the selective conventional and Shariah compliant stock indices? Our fi ndings tend to suggest: (i) The Shariah China Index appears to have a theoretical and long-run comovement with all the select conventional and Shariah compliant stock indices (as evidenced in the Cointegration and LRSM tests) (ii) The Shariah China Index is Granger-caused by all the conventional and Shariah compliant stock indices (as evidenced in the vector error correction modelling tests) (iii) Finally, what stands out is the leadership of the China conventional SSE market followed by the Malaysia Shariah market in driving all indices including the Shariah China Index (as evidenced in the VDCs tests). EconJournals 2016 Article PeerReviewed application/pdf en http://irep.iium.edu.my/52540/1/52540-co-movement%20of%20selective%20conventional%20and%20Islamic%20stock%20indices-scopus.pdf application/pdf en http://irep.iium.edu.my/52540/7/52540_the%20co-movement%20of%20selective%20conventional.pdf Saiti, Buerhan and Masih, Mansur (2016) The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China? International Journal of Economics and Financial Issues, 6 (4). pp. 1895-1905. ISSN 2146-4138 http://www.econjournals.com/index.php/ijefi/article/view/3351/pdf
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
English
topic HG4501 Stocks, investment, speculation
spellingShingle HG4501 Stocks, investment, speculation
Saiti, Buerhan
Masih, Mansur
The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China?
description This paper investigates the dynamic causal linkages in the daily returns among four conventional and three Shariah compliant indices (such as, Financial Times Stock Exchange Shariah China Index, Asia Shariah Index, Malaysia EMAS Shariah Index, China Shanghai Stock Exchange [SSE] Composite Index, Hang Seng Index, Nikkei 225 and KOSPI) in Asia region through the application of the standard time series techniques. Essentially, the purpose of this research is to identify the extent of infl uence of conventional and Islamic, regional and international equity markets on Shariah compliant equity investment in China. Our study is focused on investigating the following empirical questions: (i) Which indices do the Shariah China Index commove with? (ii) Which indices is the Shariah China Index Granger-causally related with? and (iii) Which major stock index was driving the selective conventional and Shariah compliant stock indices? Our fi ndings tend to suggest: (i) The Shariah China Index appears to have a theoretical and long-run comovement with all the select conventional and Shariah compliant stock indices (as evidenced in the Cointegration and LRSM tests) (ii) The Shariah China Index is Granger-caused by all the conventional and Shariah compliant stock indices (as evidenced in the vector error correction modelling tests) (iii) Finally, what stands out is the leadership of the China conventional SSE market followed by the Malaysia Shariah market in driving all indices including the Shariah China Index (as evidenced in the VDCs tests).
format Article
author Saiti, Buerhan
Masih, Mansur
author_facet Saiti, Buerhan
Masih, Mansur
author_sort Saiti, Buerhan
title The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China?
title_short The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China?
title_full The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China?
title_fullStr The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China?
title_full_unstemmed The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China?
title_sort co-movement of selective conventional and islamic stock indices: is there any impact on shariah compliant equity investment in china?
publisher EconJournals
publishDate 2016
url http://irep.iium.edu.my/52540/
http://irep.iium.edu.my/52540/
http://irep.iium.edu.my/52540/1/52540-co-movement%20of%20selective%20conventional%20and%20Islamic%20stock%20indices-scopus.pdf
http://irep.iium.edu.my/52540/7/52540_the%20co-movement%20of%20selective%20conventional.pdf
first_indexed 2023-09-18T21:14:26Z
last_indexed 2023-09-18T21:14:26Z
_version_ 1777411467304239104

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