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The Islamic Capital Market Volatility: A Comparative Study Between In Indonesia And Malaysia

Author

Listed:
  • Muhammad Syafii Antonio
  • Hafidhoh Hafidhoh
  • Hilman Fauzi

Abstract

This paper investigates the relationship between central bank This study attempts to examine the short-term and long-term relationship among selected global and domestic macroeconomic variables from each country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selected macroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII.

Suggested Citation

  • Muhammad Syafii Antonio & Hafidhoh Hafidhoh & Hilman Fauzi, 2013. "The Islamic Capital Market Volatility: A Comparative Study Between In Indonesia And Malaysia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 15(4), pages 377-400, April.
    • Handle: RePEc:idn:journl:v:15:y:2013:i:4h:p:377-400
    DOI: https://doi.org/10.21098/bemp.v15i4.432
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    References listed on IDEAS

    as
    1. Rosylin Mohd. Yusof & Shabri Abd. Majid, 2007. "Stock Market Volatility Transmission in Malaysia: Islamic Versus Conventional Stock Market تأثير التقلبات في البورصة الماليزية: مقارنة سوق البورصة التقليدية بالإسلامية," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 20(2), pages 17-35, January.
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    More about this item

    Keywords

    Islamic Stock Market; Jakarta Islamic Index; FTSE Hijrah Shariah Index; VAR/VECM;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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