Islamic Capital Market Interconnection : An Evidence From Jakarta Islamic Index To The Regional Islamic Market And Global Islamic Market

Siskawati, Eka (2011) Islamic Capital Market Interconnection : An Evidence From Jakarta Islamic Index To The Regional Islamic Market And Global Islamic Market. JURNAL AKUNTANSI & MANAJEMEN, 6 (2). pp. 75-85. ISSN 1858-3687

[img]
Preview
PDF
130Kb

Official URL: http://www.polinpdg.ac.id

Abstract

The paper empirically investigates market cointegration among Jakarta Islamic capital market (Jakisl), Kuala Lumpur Syariah Index (KLSI) and Dow Jones Islamic Market index (DJIM). This paper is using Johansen methodology to test cointegration among the markets, period of study from 2005 until 2007. The result shows that there is cointegration (long term equilibrium) between Jakisl, KLSI and DJIM. Granger causality test shows that there is a bidirectional result between Jakisl and KLSI (we call it regional Islamic market), and a unidirectional result between DJIM and Jakisl, DJIM and KLSI (we call it global market), it implies that DJIM affects both Jakisl. This paper also found that both Jakisl and KLSI have significant coefficient of ec t(error correction term), which implies that there is an adjustment for every disequilibrium in the short run.

Item Type:Article
Subjects:C Social Sciences > CF Commerce > CF1 Accounting
Divisions:Jurusan Akuntansi > Prog.Studi Akuntansi-D3 > Jurnal/Karya Ilmiah
ID Code:437
Deposited By:Mr. OP Repo-2 Puskom
Deposited On:01 Nov 2016 08:13
Last Modified:08 Nov 2016 15:36

Repository Staff Only: item control page