Does Integration Superpower Stock Market for Index of Sharia Stock in Indonesia

Author(s)

Nur Rachmat Arifin , Abd. Aziz , Abu Yazid Adnan Quthny , Muhammad Hifdil Islam ,

Download Full PDF Pages: 170-177 | Views: 654 | Downloads: 202 | DOI: 10.5281/zenodo.4990792

Volume 9 - October 2020 (10)

Abstract

This reseach was to examine the integration of stock markets and the dynamic interaction between the long and short term Islamic Indonesian stock market, and the stock market of Indonesia's main trading partners (US, Japan, China and Korea, Hongkong). Investors Ownership Indonesian stock market in 2012 foreign dominated lokal45.46% and 54.54%, but Increased in 2018, 54.89% owned by local investors and foreign investors 45.11%, this research method VECM method to analyze and measure the stock market (The US, Japan, China and Korea, Hongkong) Affecting the Islamic stocks in Indonesia, withMonthly stock index from January 2013 to December 2019, The results of this reseach Showed that the stock market index, the US, Japan, China and Korea, Hong Kong, does not Affect the Indonesian Islamic stock index. To A Certain extent, it was found that regional trade integration is essential to the national stock market, so the Indonesian Islamic stock index is more influenced by Reviews their own regional stock indexes, and the geographical proximity and close relations between countries Contribute more towards integrationexplained that in the long term there are two variables that influence the Indonesian Islamic stock indexes variable Significantly Hong Kong stock index and stock index Korea, and in the short there is only one variable that Chinese stock indexes affecting Significantly Indonesian sharia stock index.

Keywords

The stock market, Integration, Indonesia Trade.

References

i.                    Chambet 2008 Financial integration, economic instability and trade structure in emerging markets. J. Int. Money Finance 27, 654–675.

ii.                  Cheung, Y.L. and Mak, S.C. (1992), “A study of the international transmission of stock market D. Samaratunga, Stock market efficiency and integration: a study of eight economies in the Asia-Pacific region, Staff Stud. 38 (1&2) (2008) 95–117.

iii.                Devi Lusyana, Mohamed Sherif, (2017) "Shariah-compliant investments and stock returns: evidence from the Indonesian stock market", J. of Islamic Accounting and Business Research, Vol. 8

iv.                 Evans, M.D.D, Hnatkovska, V.V., 2014. “International capital flows, returns and world financial integration”. J. Int. Econ. 92, 14–33.

v.                   Fuctuation between the developed markets and the Asian-Pacific markets”, Applied Financial Economics, Vol. 2, pp. 1-5.

vi.                 Ibrahim, M.H. (2005), “International linkages of stock prices: the case of Indonesia”, Management Research News, Vol. 28 No. 4, pp. 93-115.

vii.               International Journal of Finance & Economics, Vol. 10 No. 2, pp. 133-42.

viii.             Jurgen H. Waworundeng & Paulina Van Rate (2018) “Analysis of the asean capital market relationship with indonesian capital market on the indonesian stock exchange”, Jurnal EMBA, Vol.6 No.1 Januari 2018, Hal.271-280

ix.                 Kumarasinghe, Sriyalatha & Vithessonthi Chaiporn, (2016) “Financial  development, international  trade  integration,  and stock  market  integration:  Evidence  from  Asia”, Journal of Multinational Financial Management.

x.                   Laurenceson, J. (2003), “Economic integration between China and the ASEAN-5”, ASEAN Economic Bulletin, Vol. 20 No. 2, pp. 103-111.

xi.                 Md. Saifur Rahman, Anwar Hasan Abdullah Othman, Farihana Shahari, (2017) "Testing the validatio of the financial cooperation agreement among ASEAN+3 stock markets", International Journal of Emerging Markets, Vol. 12 Issue: 3.

xii.               O. Aydemir, E. Demirhan, The relationship between stock prices and exchange rates: Evidence from Turkey, Int. Res. J. Financ. Econ. (23) (2009) 207–215.

xiii.             Omar  M.  Al  Nasser,  Massomeh  Hajilee, (2015), “Integration  of  emerging  stock  markets  with  global  stock markets”, Research  in International Businessand  Finance

xiv.             Plummer, M.G. and Click, R. (2005), “Bond market development and integration in ASEAN”,

xv.               R. Johnson, L. Soenen, Asian economic integration and stock market comovement, J. Financ. Res. 25 (1) (2002) 141–157.

xvi.             R. Maderitsch, (2014), “Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence”, Pacific-Basin Finance Journal. 

xvii.           Syed Aun R. Rizvi & Shaista Arshad (2016) “Analysis of the efficiency–integration nexus of Japanese stock market”, Physica A.

xviii.         Vithessonthi,  C.,  2014.  The  effect  of  financial  markets  development  on  bank  risk:  evidence  from  Southeast Asian  countries.  Int.  Rev.  Financial  Anal.  35, 249–260.

Cite this Article: