文章基本信息

标题：THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA
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作者：Muhammad Syafii Antonio ; Hafidhoh Hafidhoh ; Hilman Fauzi 等
期刊名称：Bulletin Ekonomi Moneter dan Perbankan
印刷版ISSN：1410-8046
电子版ISSN：2460-9196
出版年度：2013
卷号：15
期号：4
页码：377-400
DOI：10.21098/bemp.v15i4.432
出版社：Bank Indonesia
摘要：This study attempts to examine the short-term and long-term relationship among selected global and domestic macroeconomic variables from each country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selected macroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII.