Analysis of the Integration between Islamic and Conventional Stocks Market in Malaysia

Mohd Yahya Mohd Hussin

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Type :	article
Subject :	HG Finance
Main Author :	Mohd Yahya Mohd Hussin
Additional Authors :	Ahmad Tarmizi Al Shaari
Title :	Analysis of the Integration between Islamic and Conventional Stocks Market in Malaysia

Place of Production :	Tanjong Malim
Publisher :	Fakulti Pengurusan dan Ekonomi
Year of Publication :	2019
Corporate Name :	Universiti Pendidikan Sultan Idris

Abstract : Universiti Pendidikan Sultan Idris

This paper investigates the integration between Islamic and Conventional Stock Markets in Malaysia. The study focuses on three key indices to represent the stock markets in Bursa Malaysia which is FTSE Emas Syariah Index (FBMESI), FTSE Kuala Lumpur Composite Index (FBMKLCI) and FTSE Ace Index (FBMAI). This study uses monthly data from January 2009 to December 2015 and applies the Johansen and Juselius co-integration tests as well as Vector Error Correction Model (VECM) in order to determine the form of relationship between this three indices. The findings show that there is a positive and significant long-term relationship between the Islamic stock market and the conventional stock market in Bursa Malaysia. In addition, there is also have integration between stocks in Main markets and the Ace market. While for short-term causal relationships, FBMKLCI is the cause of granger to FBMESI but not to FBMAI while FBMESI is the cause of short-term granger to FBMAI.

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