International transmission of stock market movement: evidence from the Islamic Equity Markets

This study examines whether the widely accepted conclusion from the generic equity markets, that the emerging equity markets remain segmented from the world markets but exhibit strong intra-regionalleaderships. is also supported from Islamic equity market viewpoint. The new evidence is ,sought throu...

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Main Authors:	Ruzita Abdul Rahim, Mohammed Zain Yusof, Ros Zam Zam Sapian, Hawati Janor
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2008
Online Access:	http://journalarticle.ukm.my/8079/ http://journalarticle.ukm.my/8079/ http://journalarticle.ukm.my/8079/1/847-1617-1-SM.pdf

id	ukm-8079
recordtype	eprints
spelling	ukm-80792016-12-14T06:46:08Z http://journalarticle.ukm.my/8079/ International transmission of stock market movement: evidence from the Islamic Equity Markets Ruzita Abdul Rahim, Mohammed Zain Yusof, Ros Zam Zam Sapian, Hawati Janor, This study examines whether the widely accepted conclusion from the generic equity markets, that the emerging equity markets remain segmented from the world markets but exhibit strong intra-regionalleaderships. is also supported from Islamic equity market viewpoint. The new evidence is ,sought through investigating the relationships between Malaysia and most important players in world equity markets, namely the US, the UK, Japan, and Canada as well as the Asia Pacific and several world equity markets. This study utilizes macro levels data of daily closing price index of the Dow Jones Islamic Market (DJIM) indexes from the most recent period of 1999:06 to 2007:06. Using Granger-causality and multiple time series regression tests, it investigates the chain of information leadership within the universe of Malaysia and the rest of the selected markets. The results indicate that the stock prices at time t in Malaysian Islamic equity markets can be better predicted by incorporating information transmitted from the Asia Pacific region (excluding Japan) and World Emerging markets at time t-I and from World Developed markets including the us at time t-5. As for Japan, this market consistently fails to show any significant role in explaining returns on stocks traded in Malaysian Islamic markets. Penerbit Universiti Kebangsaan Malaysia 2008 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/8079/1/847-1617-1-SM.pdf Ruzita Abdul Rahim, and Mohammed Zain Yusof, and Ros Zam Zam Sapian, and Hawati Janor, (2008) International transmission of stock market movement: evidence from the Islamic Equity Markets. Jurnal Pengurusan, 27 . pp. 49-68. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/issue/view/209
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
description	This study examines whether the widely accepted conclusion from the generic equity markets, that the emerging equity markets remain segmented from the world markets but exhibit strong intra-regionalleaderships. is also supported from Islamic equity market viewpoint. The new evidence is ,sought through investigating the relationships between Malaysia and most important players in world equity markets, namely the US, the UK, Japan, and Canada as well as the Asia Pacific and several world equity markets. This study utilizes macro levels data of daily closing price index of the Dow Jones Islamic Market (DJIM) indexes from the most recent period of 1999:06 to 2007:06. Using Granger-causality and multiple time series regression tests, it investigates the chain of information leadership within the universe of Malaysia and the rest of the selected markets. The results indicate that the stock prices at time t in Malaysian Islamic equity markets can be better predicted by incorporating information transmitted from the Asia Pacific region (excluding Japan) and World Emerging markets at time t-I and from World Developed markets including the us at time t-5. As for Japan, this market consistently fails to show any significant role in explaining returns on stocks traded in Malaysian Islamic markets.
format	Article
author	Ruzita Abdul Rahim, Mohammed Zain Yusof, Ros Zam Zam Sapian, Hawati Janor,
spellingShingle	Ruzita Abdul Rahim, Mohammed Zain Yusof, Ros Zam Zam Sapian, Hawati Janor, International transmission of stock market movement: evidence from the Islamic Equity Markets
author_facet	Ruzita Abdul Rahim, Mohammed Zain Yusof, Ros Zam Zam Sapian, Hawati Janor,
author_sort	Ruzita Abdul Rahim,
title	International transmission of stock market movement: evidence from the Islamic Equity Markets
title_short	International transmission of stock market movement: evidence from the Islamic Equity Markets
title_full	International transmission of stock market movement: evidence from the Islamic Equity Markets
title_fullStr	International transmission of stock market movement: evidence from the Islamic Equity Markets
title_full_unstemmed	International transmission of stock market movement: evidence from the Islamic Equity Markets
title_sort	international transmission of stock market movement: evidence from the islamic equity markets
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	2008
url	http://journalarticle.ukm.my/8079/ http://journalarticle.ukm.my/8079/ http://journalarticle.ukm.my/8079/1/847-1617-1-SM.pdf
first_indexed	2023-09-18T19:51:28Z
last_indexed	2023-09-18T19:51:28Z
_version_	1777406247955333120

International transmission of stock market movement: evidence from the Islamic Equity Markets

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