IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/96539.html
   My bibliography  Save this paper

Movements of Islamic Stock Indices in Selected OIC Countries

Author

Listed:
  • Nurrachmi, Rininta

Abstract

This study reviews the movement of Islamic stock indices in selected countries in the Organization of Islamic Cooperation (OIC) with high number of muslim population namely Indonesia, Malaysia, Turkey, Qatar, Bahrain, and Oman. The objectives are to examine the changes in cross market linkage among six selected OIC countries during crisis and after 2007 crisis and to analyze whether the international investor can gain benefit when allocating their funds across these markets. The set of relationship for each pair of Islamic stock index is analyzed using Engel-Granger (1987) and Autoregressive Distribution Lagged (ARDL) bound testing approach. The analysis is made for the sub period during crisis is 3 September 2007 – 11 January 2010 and post crisis is 18 January 2010 – 30 April 2013. The result depicts that there are evidences of cointegration among the Islamic stock markets after crisis but not during crisis. The long-run relationship indicates that investors can gain portfolio diversification benefit across these six countries

Suggested Citation

  • Nurrachmi, Rininta, 2018. "Movements of Islamic Stock Indices in Selected OIC Countries," MPRA Paper 96539, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:96539
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/96539/1/MPRA_paper_96539.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    2. Ali F. Darrat & Khaled Elkhal & Sam R. Hakim, 2000. "On the Integration of Emerging Stock Markets in the Middle East," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 25(2), pages 119-129, December.
    3. Mohamed Ali Trabelsi, 2011. "The impact of the financial crisis on the global economy: can the Islamic financial system help?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 12(1), pages 15-25, January.
    4. Salina H. Kassim, 2013. "The Global Financial Crisis and The Integration of Islamic Stock Markets in Developed and Developing Countries," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 9(2), pages 75-94.
    5. Neaime Simon, 2005. "Financial Market Integration and Macroeconomic Volatility in the MENA Region: An Empirical Investigation," Review of Middle East Economics and Finance, De Gruyter, vol. 3(3), pages 59-83, December.
    6. Marashdeh, Hazem, 2005. "Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Testing Approach," Economics Working Papers wp05-27, School of Economics, University of Wollongong, NSW, Australia.
    7. Bakri Abdul Karim & Zulkefly Abdul Karim, 2012. "Integration of Asean-5 Stock Markets: A Revisit," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 8(2), pages 21-41.
    8. Mohamed Ali Trabelsi, 2011. "The impact of the financial crisis on the global economy: can the Islamic financial system help?," Journal of Risk Finance, Emerald Group Publishing, vol. 12(1), pages 15-25, January.
    9. M. Kabir Hassan & Jung Suk-Yu, 2007. "Stock Exchange Alliances in Organization of Islamic Conferences (OIC) Countries," NFI Working Papers 2007-WP-18, Indiana State University, Scott College of Business, Networks Financial Institute.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sulaiman, Saidu & Masih, Mansur, 2017. "Is liberalizing finance the game in town for Nigeria ?," MPRA Paper 95569, University Library of Munich, Germany.
    2. Trad, Naama & Trabelsi, Mohamed Ali & Goux, Jean François, 2017. "Risk And Profi Tability Of Islamic Banks: A Religious Deception Or An Alternative Solution?," European Research on Management and Business Economics (ERMBE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), vol. 23(1), pages 40-45.
    3. Ascarya & Ugi Suharto, 2021. "Integrated Islamic Social and Commercial Finance to Achieve SDGs," Springer Books, in: Mohd Ma'Sum Billah (ed.), Islamic Wealth and the SDGs, chapter 0, pages 105-127, Springer.
    4. Rashidah Abdul Rahman & Siti Balqis Noor & Tariq Ismail, 2013. "Governance and Risk Management: Empirical Evidence from Malaysia and Egypt," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(3), pages 21-33, July.
    5. Elsayed, Ahmed H. & Sohag, Kazi & Sousa, Ricardo M., 2024. "Oil shocks and financial stability in MENA countries," Resources Policy, Elsevier, vol. 89(C).
    6. Ascarya Ascarya & Ugi Suharto & Jardine A. Husman, 2022. "Proposed model of integrated Islamic commercial and social finance for Islamic bank in Indonesia," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 115-138, March.
    7. Trabelsi, Mohamed Ali, 2013. "L’islamisme Politique : Echec de Gouvernance et Chute Inévitable [Political Islamism: Failure of Governance and Inevitable Fall]," MPRA Paper 80347, University Library of Munich, Germany, revised 2013.
    8. Mohamed Trabelsi, 2013. "Post-Political Transitions in Arab Spring Countries: The Challenges," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 20(2), pages 253-263, October.
    9. Maghyereh, Aktham I. & Awartani, Basel & Hilu, Khalil Al, 2015. "Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 123-138.
    10. Bakri Abdul Karim & M. Shabri Abd. Majid, 2010. "Does trade matter for stock market integration?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(1), pages 47-66, March.
    11. Faris Alshubiri, 2021. "Portfolio Returns of Islamic Indices and Stock Prices in GCC Countries: Empirical Evidence From the ARDL Model," SAGE Open, , vol. 11(2), pages 21582440211, May.
    12. Mohamed Ali Trabelsi & Naama Trad, 2017. "Profitability and risk in interest-free banking industries: a dynamic panel data analysis," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 10(4), pages 454-469, October.
    13. Mohamed Ali Trabelsi & Naoufel Liouane, 2013. "Trade Liberalization and Fight Against Poverty," International Journal of Economics and Financial Issues, Econjournals, vol. 3(2), pages 370-375.
    14. Qin, Meng & Su, Chi-Wei & Hao, Lin-Na & Tao, Ran, 2020. "The stability of U.S. economic policy: Does it really matter for oil price?," Energy, Elsevier, vol. 198(C).
    15. Somar Almohamad & Anil V. Mishra & Xiao Yu, 2018. "Mena Stock Markets Integration: Pre and Post Global Financial Crisis," Australian Economic Papers, Wiley Blackwell, vol. 57(2), pages 107-141, June.
    16. Ahmed H. Elsayed & Gareth Downing & Chi Keung Marco Lau & Xin Sheng, 2024. "Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1804-1819, April.
    17. Mohammad Monjurul Hoque & Zulkornain Yusop, 2012. "Impacts of Trade Liberalization on Export Performance in Bangladesh: An Empirical Investigation," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 13(2), pages 207-239, September.
    18. Prasert Chaitip & Chukiat Chaiboonsri, 2009. "Thailand’s International Tourism Demand: The ARDL Approach to Cointegration," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(3), pages 163-184.
    19. Rachdi Houssem & Trabelsi Mohamed Ali & Trad Naama, 2013. "Banking Governance and Risk: The Case of Tunisian Conventional Banks," Review of Economic Perspectives, Sciendo, vol. 13(4), pages 195-206, December.
    20. Trabelsi, Mohamed Ali, 2012. "The Impact of The Sovereign Debt Crisis on The Eurozone Countries," MPRA Paper 76974, University Library of Munich, Germany, revised 2012.

    More about this item

    Keywords

    Financial crisis; Islamic finance; Islamic stock index; market integration; OIC countries;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • Z0 - Other Special Topics - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:96539. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.