relation: http://repository.uhamka.ac.id/id/eprint/9296/
title: Spillover Effect of Islamic Stock Markets in Asia
creator: ani silvia, ani silvia
creator: Zulpahmi, Zulpahmi
creator: Sumardi, Sumardi
subject: HB Economic Theory
description: Purpose: The aim of this study is to investigate correlation and the spillover effect between  the Islamic stock index in Indonesia and other Asian emerging markets including Malaysia,  Thailand, India, China and Taiwan.  Design/Methodology/Approach: The time series data used is from daily returns from May  13, 2011 to October 17, 2017 with 1395 observations. Using Pearson Correlation, the  multivariate VAR model and the Granger Causality test, the study found low correlation  across markets.  Findings: The fluctuation of the Indonesian Islamic stock index is substantially dominated  by local information and creates a spillover effect in all markets in Asia. It also reveals a  bidirectional relationship between the Indonesian market and the Thailand, Indian and  Taiwanese markets, but only a unidirectional relationship between Indonesian market and  Malaysian and Chinese markets.  Practical Implications: The research is able to examine the integration of conventional stock  markets between Indonesian and Asian markets quite well to investigate the spillover effect  in the region.  Originality/Value: The Indonesian market creates an essentially dominant spillover effect on  all Asian market investigated. Using Islamic stock market, this study complements studies  conducted by other researchers.
publisher: International Strategic Management Association, EU
type: Article
type: PeerReviewed
format: text
language: en
identifier: http://repository.uhamka.ac.id/id/eprint/9296/1/Spillover%20Effect%20of%20Islamic%20Stock%20Markets%20in%20Asia.pdf
identifier:   ani silvia, ani silvia dan Zulpahmi, Zulpahmi dan Sumardi, Sumardi   Spillover Effect of Islamic Stock Markets in Asia.  EUROPEAN RESEARCH STUDIES JOURNAL, XXII (2).  pp. 28-40.  ISSN 1108-2976     
relation: https://www.ersj.eu/journal/1424
relation: 10.35808/ersj/1424
identifier: 10.35808/ersj/1424
doi: 10.35808/ersj/1424