Spillover Effect of Islamic Stock Markets in Asia

Silvia, Ani dan Zulpahmi, Zulpahmi dan Sumardi, Sumardi (2019) Spillover Effect of Islamic Stock Markets in Asia. European Research Studies Journal, XXII (2).

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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.

Item Type: Article
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HF Commerce
H Social Sciences > HF Commerce > HF5601 Accounting
Q Science > Q Science (General)
Depositing User: ST Bahar Sobari
Date Deposited: 30 Apr 2019 06:17
Last Modified: 30 Apr 2019 06:17
URI: http://repository.uhamka.ac.id/id/eprint/695

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