Co-movements between Islamic and conventional stock markets: an empirical evidence
This paper examines the co-movement between the Islamic (Shariah compliant) and conventional stock indices. Using data from Bangladesh and Malaysia from 25 January, 2011 to 31 May, 2018, the study employs the co-integration approach and Vector Error Correction Model (VECM). The results reveal th...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2020
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| Online Access: | http://journalarticle.ukm.my/17078/ http://journalarticle.ukm.my/17078/1/jeko_54%283%29-3.pdf |
| _version_ | 1848814221444251648 |
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| author | Mohammad Sahabuddin, Junaina Muhammad, Mohamed Hisham Yahya, Sabarina Mohammed Shah, |
| author_facet | Mohammad Sahabuddin, Junaina Muhammad, Mohamed Hisham Yahya, Sabarina Mohammed Shah, |
| author_sort | Mohammad Sahabuddin, |
| building | UKM Institutional Repository |
| collection | Online Access |
| description | This paper examines the co-movement between the Islamic (Shariah compliant) and conventional stock indices. Using
data from Bangladesh and Malaysia from 25 January, 2011 to 31 May, 2018, the study employs the co-integration
approach and Vector Error Correction Model (VECM). The results reveal that there is a significant co-integration
relationship among the variables. The analysis of the Variance Decomposition indicates that there are weak (strong)
influences for predating the forecast errors of the respective indexes in the short run and long run while the impulse
response function (IRF) shows negatively (positively) to the shocks with each other in the Islamic and conventional
stock indexes. These findings provide useful insights to investors and policy makers in reducing risks and achieving
the optimum level of return. |
| first_indexed | 2025-11-15T00:30:38Z |
| format | Article |
| id | oai:generic.eprints.org:17078 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T00:30:38Z |
| publishDate | 2020 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | oai:generic.eprints.org:170782021-07-16T02:06:22Z http://journalarticle.ukm.my/17078/ Co-movements between Islamic and conventional stock markets: an empirical evidence Mohammad Sahabuddin, Junaina Muhammad, Mohamed Hisham Yahya, Sabarina Mohammed Shah, This paper examines the co-movement between the Islamic (Shariah compliant) and conventional stock indices. Using data from Bangladesh and Malaysia from 25 January, 2011 to 31 May, 2018, the study employs the co-integration approach and Vector Error Correction Model (VECM). The results reveal that there is a significant co-integration relationship among the variables. The analysis of the Variance Decomposition indicates that there are weak (strong) influences for predating the forecast errors of the respective indexes in the short run and long run while the impulse response function (IRF) shows negatively (positively) to the shocks with each other in the Islamic and conventional stock indexes. These findings provide useful insights to investors and policy makers in reducing risks and achieving the optimum level of return. Penerbit Universiti Kebangsaan Malaysia 2020 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/17078/1/jeko_54%283%29-3.pdf Mohammad Sahabuddin, and Junaina Muhammad, and Mohamed Hisham Yahya, and Sabarina Mohammed Shah, (2020) Co-movements between Islamic and conventional stock markets: an empirical evidence. Jurnal Ekonomi Malaysia, 54 (3). pp. 27-40. ISSN 0127-1962 https://www.ukm.my/fep/jem/content/2020-3.html |
| spellingShingle | Mohammad Sahabuddin, Junaina Muhammad, Mohamed Hisham Yahya, Sabarina Mohammed Shah, Co-movements between Islamic and conventional stock markets: an empirical evidence |
| title | Co-movements between Islamic and conventional stock markets: an empirical evidence |
| title_full | Co-movements between Islamic and conventional stock markets: an empirical evidence |
| title_fullStr | Co-movements between Islamic and conventional stock markets: an empirical evidence |
| title_full_unstemmed | Co-movements between Islamic and conventional stock markets: an empirical evidence |
| title_short | Co-movements between Islamic and conventional stock markets: an empirical evidence |
| title_sort | co-movements between islamic and conventional stock markets: an empirical evidence |
| url | http://journalarticle.ukm.my/17078/ http://journalarticle.ukm.my/17078/ http://journalarticle.ukm.my/17078/1/jeko_54%283%29-3.pdf |