Cointegration of Islamic stock indices: evidence from five ASEAN countries
This paper investigates the dynamic causal linkages in the daily returns among five ASEAN Shariahcompliant indices (such as, FTSEMY index, MSSNGIL index, JAKSEIS index, MSTHFIL index and MSPHISL index) through the application of the standard time series techniques. Essentially, the purpose of this...
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| Format: | Article |
| Language: | English |
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IJSER
2015
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| Online Access: | http://irep.iium.edu.my/44696/ http://irep.iium.edu.my/44696/1/44696.pdf |
| _version_ | 1848782650148388864 |
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| author | Saiti, Buerhan |
| author_facet | Saiti, Buerhan |
| author_sort | Saiti, Buerhan |
| building | IIUM Repository |
| collection | Online Access |
| description | This paper investigates the dynamic causal linkages in the daily returns among five ASEAN Shariahcompliant
indices (such as, FTSEMY index, MSSNGIL index, JAKSEIS index, MSTHFIL index and MSPHISL index)
through the application of the standard time series techniques. Essentially, the purpose of this research is to identify
the extent of linkages of Islamic stock indices in five ASEAN countries. Our study is focused on investigating the
following empirical questions: (i) are these selected five Shariah-compliant stock indices cointegrated? and (ii) which
major stock index was driving the selective Shariah-compliant stock indices?
Our findings tend to suggest: (i) the selected Islamic stock indices appear to have a theoretical and long-run
comovement (as evidenced in the Cointegration and LRSM tests) (ii) Finally, what stands out is the leadership of the
Malaysia Shariah stock index in driving all Islamic stock indices (as evidenced in the VDCs tests). |
| first_indexed | 2025-11-14T16:08:50Z |
| format | Article |
| id | iium-44696 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T16:08:50Z |
| publishDate | 2015 |
| publisher | IJSER |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-446962017-08-07T02:48:47Z http://irep.iium.edu.my/44696/ Cointegration of Islamic stock indices: evidence from five ASEAN countries Saiti, Buerhan HG4501 Stocks, investment, speculation This paper investigates the dynamic causal linkages in the daily returns among five ASEAN Shariahcompliant indices (such as, FTSEMY index, MSSNGIL index, JAKSEIS index, MSTHFIL index and MSPHISL index) through the application of the standard time series techniques. Essentially, the purpose of this research is to identify the extent of linkages of Islamic stock indices in five ASEAN countries. Our study is focused on investigating the following empirical questions: (i) are these selected five Shariah-compliant stock indices cointegrated? and (ii) which major stock index was driving the selective Shariah-compliant stock indices? Our findings tend to suggest: (i) the selected Islamic stock indices appear to have a theoretical and long-run comovement (as evidenced in the Cointegration and LRSM tests) (ii) Finally, what stands out is the leadership of the Malaysia Shariah stock index in driving all Islamic stock indices (as evidenced in the VDCs tests). IJSER 2015-07 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44696/1/44696.pdf Saiti, Buerhan (2015) Cointegration of Islamic stock indices: evidence from five ASEAN countries. International Journal of Scientific & Engineering Research, 6 (7). pp. 1392-1405. ISSN 2229-5518 http://www.ijser.org/researchpaper%5CCointegration-of-Islamic-Stock-Indices-Evidence-from-Five-ASEAN-Countries.pdf |
| spellingShingle | HG4501 Stocks, investment, speculation Saiti, Buerhan Cointegration of Islamic stock indices: evidence from five ASEAN countries |
| title | Cointegration of Islamic stock indices: evidence from five ASEAN countries |
| title_full | Cointegration of Islamic stock indices: evidence from five ASEAN countries |
| title_fullStr | Cointegration of Islamic stock indices: evidence from five ASEAN countries |
| title_full_unstemmed | Cointegration of Islamic stock indices: evidence from five ASEAN countries |
| title_short | Cointegration of Islamic stock indices: evidence from five ASEAN countries |
| title_sort | cointegration of islamic stock indices: evidence from five asean countries |
| topic | HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/44696/ http://irep.iium.edu.my/44696/ http://irep.iium.edu.my/44696/1/44696.pdf |