The integration of Islamic stock markets does a problem for investors?

Mohd Hussin Mohd Yahya, Yusof Yusni Anis, Muhammad Fidlizan, Abdul Razak Azila, Hashim Emilda, Marwan Nur Fakhzan,

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Type :	article
Subject :	HB Economic Theory
Main Author :	Mohd Hussin Mohd Yahya, Yusof Yusni Anis, Muhammad Fidlizan, Abdul Razak Azila, Hashim Emilda, Marwan Nur Fakhzan,
Title :	The integration of Islamic stock markets does a problem for investors?

Year of Publication :

2013

Abstract :

This paper empirically investigates co-integration between Islamic stock market in Malaysia, Indonesia and the world by applying the Vector Auto Regression (VAR) method. This research used monthly data from January 2007 to May 2012 taken from authorized sources. The finding shows that there is no long-run or equilibrium relationship exists between FTSE Bursa Malaysia Emas Shariah (FBMES), Jakarta Islamic Index (JAKISL), and Dow Jones Islamic Market index (DJIM). Based on the result, hence, it can be concluded that the Islamic stock markets of Malaysia does not integrate with Indonesia’s, as well as with the world markets in the long run. This will create rooms for investors to diversify their investment portfolios, which puts Malaysia as one of their favoured investment destinations. From the Granger causality view, the return of JAKISL and DJIM is driven by the return of FBMES in the short run.

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