Co-movements between Islamic and Conventional Stock Markets: An Empirical Evidence. Jurnal Ekonomi Malaysia, 54 (3). pp. 27-40. ISSN 2716-6058 (2020)
Abstract
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.
| Item Type: | Article |
|---|---|
| Keywords: | Co-movement, Islamic, conventional, stock markets, Bangladesh and Malaysia |
| Taxonomy: | By Subject > Business & Management > Finance |
| Local Content Hub: | Subjects > Business & Management |
| Depositing User: | Eza Eliana Abdul Wahid |
| Date Deposited: | 01 Aug 2021 13:48 |
| Last Modified: | 01 Aug 2021 13:48 |
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