Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia

This study aims to investigate whether the conventional and Islamic stock returns are subject to different calendar anomalies by testing the monthly calendar effects on stock returns in both markets. Focusing on the Indonesian and Malaysian Stock Markets, the closing monthly prices of the Jakarta S...

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Main Authors:	Abd. Majid, M. Shabri, Vakhira, Zulfa Alvi, Kassim, Salina
Format:	Article
Language:	English English
Published:	European Research Center of Managerial Studies in Business Administration 2016
Subjects:	HG Finance HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/55537/ http://irep.iium.edu.my/55537/ http://irep.iium.edu.my/55537/1/55537_%20do%20conventional_complete.pdf http://irep.iium.edu.my/55537/2/55537_Do%20conventional%20and%20Islamic%20stock%20markets_scopus.pdf

id	iium-55537
recordtype	eprints
spelling	iium-555372017-03-06T19:18:40Z http://irep.iium.edu.my/55537/ Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia Abd. Majid, M. Shabri Vakhira, Zulfa Alvi Kassim, Salina HG Finance HG4501 Stocks, investment, speculation This study aims to investigate whether the conventional and Islamic stock returns are subject to different calendar anomalies by testing the monthly calendar effects on stock returns in both markets. Focusing on the Indonesian and Malaysian Stock Markets, the closing monthly prices of the Jakarta Stock Exchange Index (JKSE), Kuala Lumpur Stock Exchange Index (KLSE), Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FBMHS) were considered covering the period from 2004 to 2015. An independent sample of t-test is adopted to explore the differences between the conventional and Islamic stock returns in both countries, while the calendar effects of the stock returns are then tested using the multiple regression. The study finds that there were no differences between the conventional and Islamic stock returns, and the calendar anomaly is only existed in the Indonesian stock markets. This implies that although both the conventional and Islamic stock markets have been well integrated in both markets, the stock markets of Malaysia have been more efficient than the Indonesian counterpart. European Research Center of Managerial Studies in Business Administration 2016 Article PeerReviewed application/pdf en http://irep.iium.edu.my/55537/1/55537_%20do%20conventional_complete.pdf application/pdf en http://irep.iium.edu.my/55537/2/55537_Do%20conventional%20and%20Islamic%20stock%20markets_scopus.pdf Abd. Majid, M. Shabri and Vakhira, Zulfa Alvi and Kassim, Salina (2016) Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia. Journal of Applied Economic Sciences, Volume XI (5(43)). pp. 45-57. ISSN 1843-6110 E-ISSN 2393-5162 https://www.islamicbanker.com/publications/do-conventional-and-islamic-stock-markets-subject-to-different-market
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG Finance HG4501 Stocks, investment, speculation
spellingShingle	HG Finance HG4501 Stocks, investment, speculation Abd. Majid, M. Shabri Vakhira, Zulfa Alvi Kassim, Salina Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia
description	This study aims to investigate whether the conventional and Islamic stock returns are subject to different calendar anomalies by testing the monthly calendar effects on stock returns in both markets. Focusing on the Indonesian and Malaysian Stock Markets, the closing monthly prices of the Jakarta Stock Exchange Index (JKSE), Kuala Lumpur Stock Exchange Index (KLSE), Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FBMHS) were considered covering the period from 2004 to 2015. An independent sample of t-test is adopted to explore the differences between the conventional and Islamic stock returns in both countries, while the calendar effects of the stock returns are then tested using the multiple regression. The study finds that there were no differences between the conventional and Islamic stock returns, and the calendar anomaly is only existed in the Indonesian stock markets. This implies that although both the conventional and Islamic stock markets have been well integrated in both markets, the stock markets of Malaysia have been more efficient than the Indonesian counterpart.
format	Article
author	Abd. Majid, M. Shabri Vakhira, Zulfa Alvi Kassim, Salina
author_facet	Abd. Majid, M. Shabri Vakhira, Zulfa Alvi Kassim, Salina
author_sort	Abd. Majid, M. Shabri
title	Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia
title_short	Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia
title_full	Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia
title_fullStr	Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia
title_full_unstemmed	Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia
title_sort	do conventional and islamic stock markets subject to different market anomalies? empirical evidences from indonesia and malaysia
publisher	European Research Center of Managerial Studies in Business Administration
publishDate	2016
url	http://irep.iium.edu.my/55537/ http://irep.iium.edu.my/55537/ http://irep.iium.edu.my/55537/1/55537_%20do%20conventional_complete.pdf http://irep.iium.edu.my/55537/2/55537_Do%20conventional%20and%20Islamic%20stock%20markets_scopus.pdf
first_indexed	2023-09-18T21:18:30Z
last_indexed	2023-09-18T21:18:30Z
_version_	1777411723231232000

Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia

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