Integration of Islamic capital market in ASEAN-5 countries

Ibnu Qizam, Misnen Ardiansyah and Abdul Qoyum

Journal of Islamic Accounting and Business Research, 2020, vol. 11, issue 4, 811-825

Abstract: Purpose - The purpose of this study is to investigate the nature and integration of Islamic stock markets across the Association of Southeast Asian Nations (ASEAN-5) countries for economic community (AEC) development. Design/methodology/approach - Using samples of daily closing prices from 2009 to 2014 across ASEAN-5 countries, co-integration and Granger-causality tests were applied. Findings - This research finds that Islamic capital markets across ASEAN-5 countries remain highly integrated despite the global financial crisis of 2008, and it also finds the integration strength between Jakarta Islamic Index -Indonesia and Bursa Malaysia Emas Sharia-Malaysia Islamic capital markets to be the most influential across ASEAN-5 countries, while MSCI-Philippine Islamic capital market is the most vulnerable across ASEAN-5 Islamic capital markets. Research limitations/implications - The overwhelming benefit of Islamic stock market integration across ASEAN-5 countries, and, even in a broader context, awaits further inquiry. Originality/value - Islamic capital markets across ASEAN-5 countries are integrated regardless of the post-global financial crisis. This contributes to confirming cross-border integration policies, especially for AEC development.

Keywords: Cointegration-Granger causality; Islamic capital market integration; Global financial crisis; G10; G11; G14; G15; M40 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jiabrp:jiabr-08-2019-0149

DOI: 10.1108/JIABR-08-2019-0149

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