The Co-Movement between Shariah Compliant and Sectorial Stock Indexes Performance in Bursa Malaysia

Asian Economic and Financial Review

Mohammad Sahabuddin^1¹ 

[1] PhD Student, Faculty of Economics and Management, Universiti Putra Malaysia, Malaysia Senior Lecturer, Faculty of Economics and Management, Universiti Putra Malaysia, Malaysia Senior Lecturer, Faculty of Economics and Management, Universiti Putra Malaysia, Malaysia Senior Lecturer, Faculty of Economics and Management, Universiti Putra Malaysia, Malaysia PhD Student, Faculty of Economics and Management, Universiti Putra Malaysia, Malaysia^1

关键词: Co-movement;    Shariah compliant stock index;    Sectorial stock indices;    Co-integration approach;    Portfolio diversification Strategies.;   

DOI  :  10.18488/journal.aefr.2018.84.515.524

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

Islamic financial market is the growing innovation of global financial market which moves together with conventional and sectorial counterpart in many countries. As the fastest growing investment component, Shariah compliant stock index in Bursa Malaysia has picked up positive momentum and attracted more attention to the investors, policy makers, issuers and researchers. The main objective of this study is to investigate the co-movement between Shariah compliant stock and sectorial stocks indexes performance in Bursa Malaysia using a standard time series techniques. For understanding a long run and short run co-movement among the Shariah compliant stock index, composite stock index and sectorial stock indexes, a co-integration approach, Vector Error Correction Model (VECM) have been applied respectively in this study. In addition, Granger causality test have been adopted to determine the lead-lag relationship. The findings show that in the long run, Shariah compliant index stock price and sectorial indexes stock price move together but in short run, speed of adjustment varies among the variables. Ganger causality test shows that there are bidirectional, unidirectional and no causality relationships between Shariah compliant and sectorial indexes.

【 授权许可】

CC BY