The Co-Movement between Shariah Compliant and Sectorial Stock Indexes Performance in Bursa Malaysia

Mohammad Sahabuddin (), Junaina Muhammad, Mohamed Hisham Dato' hjYahya, Sabarina Mohammed Shah and Mohammad Mizanur Rahman

Asian Economic and Financial Review, 2018, vol. 8, issue 4, 515-524

Abstract: Islamic financial market is the growing innovation of global financial market which moves together with conventional and sectorial counterpart in many countries. As the fastest growing investment component, Shariah compliant stock index in Bursa Malaysia has picked up positive momentum and attracted more attention to the investors, policy makers, issuers and researchers. The main objective of this study is to investigate the co-movement between Shariah compliant stock and sectorial stocks indexes performance in Bursa Malaysia using a standard time series techniques. For understanding a long run and short run co-movement among the Shariah compliant stock index, composite stock index and sectorial stock indexes, a co-integration approach, Vector Error Correction Model (VECM) have been applied respectively in this study. In addition, Granger causality test have been adopted to determine the lead-lag relationship. The findings show that in the long run, Shariah compliant index stock price and sectorial indexes stock price move together but in short run, speed of adjustment varies among the variables. Ganger causality test shows that there are bidirectional, unidirectional and no causality relationships between Shariah compliant and sectorial indexes.

Keywords: Co-movement; Shariah compliant stock index; Sectorial stock indices; Co-integration approach; Portfolio diversification Strategies. (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://archive.aessweb.com/index.php/5002/article/view/1691/2491 (application/pdf)
https://archive.aessweb.com/index.php/5002/article/view/1691/3188 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:asi:aeafrj:v:8:y:2018:i:4:p:515-524:id:1691

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().