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Study Of Determinant Factors Of Islamic Stock Market Volatility: Evidence From Malaysia, Saudi Arabia, And Indonesia

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Objectives : This study aim to identify the response, influence,
contribution scale and transmission effect time-span of
macroeconomic and global economic uncertainty on the
volatility of Islamic stock market indices, namely Jakarta
Islamic Index (JII), FTSE BM Emas Malaysia Syariah, and
Tadawul All-Share Index (TASI).
Methodology : Vector Auto Regression (VAR)/ Vector Error Correlation
Model (VECM)
Result : Despite Indonesia, Malaysia, and Saudi Arabia being the
prominent of Islamic Financial Development Countries, their
respective indices were found to reacts to all the respective
indicators of their own macroeconomic variables and global
financial uncertainties. Although, most of the responses were
insignificant in the short-run, for the long-run, most of the
indicators were found significantly affected the volatility of
each representatives Islamic stock indices. Jakarta Islamic
Index (JII) was found to have the shorter transmission effect
time-span which less than a year compared to another
respective Islamic Indices which has to bear the transmission
effect for more than two years. The influence contribution
level of each indicators toward JII volatility were found
below 2%, while the influence contribution level of
respective variables toward TASI and FTSE BM Emas
Malaysia Syariah Volatilities were found above the 10%
level.

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Availability

Detail Information

Series Title

Manajemen Bisnis Syariah

Call Number

REF 332.632 SAR s

Publisher

Bogor : IAI Tazkia., 2023

Collation

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Language

English

ISBN/ISSN

NIM.19101147

Classification

332.632

Content Type

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Media Type

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Carrier Type

-

Edition

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Subject(s)

Macroeconomic
Jakarta Islamic Index (JII)
FTSE BM Emas Malaysia
Tadawul All-Share Index (TASI)
\nGlobal Financial Uncertainties
VAR/VECM Model

Specific Detail Info

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Statement of Responsibility

Windy Puspita Sari

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