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Sulistiyah
Universitas Bina Sarana Informatika
Aerospace Engineering Agriculture, Biological Sciences & Forestry Automotive Engineering Biochemistry, Genetics & Molecular Biology Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Dentistry Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Health Professions Immunology & microbiology Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Medicine & Pharmacology Neuroscience Nursing Physics Public Health Social Sciences Transportation Veterinary Other

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Dynamic Causality Relationship between Bitcoin and Global Islamic Equity Markets: A Pre- and Post-COVID-19 VECM Analysis Dhani, Rifqi Rama; Oktaviana, Helmalia; Sulistiyah, Sulistiyah; Subagiyo, Rokhmat; Aswad, Muhammad
Indonesian Interdisciplinary Journal of Sharia Economics (IIJSE) Vol 9 No 1 (2026): Sharia Economics
Publisher : Universitas KH. Abdul Chalim Mojokerto

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Abstract

This study explores the dynamic interactions between Bitcoin (BTC), the Dow Jones Islamic Market Index (DJIMI), and the FTSE SGX Shariah 100 Index (FTSGS100) from 2015 to 2025, employing the Vector Error Correction Model (VECM) to analyze both short- and long-term relationships. The Johansen cointegration test indicates a long-term equilibrium among the three variables, with DJIMI showing a stronger connection to Bitcoin compared to FTSGS100. In the short run, Bitcoin exhibits a strong response to its own shocks, whereas the Sharia indices are more stable and less responsive to short-term fluctuations in Bitcoin’s volatility. The findings underscore the weak integration between global Sharia equity markets and digital assets, positioning Bitcoin as a speculative asset largely independent of Sharia-compliant markets. These results suggest the importance of enhanced risk management and portfolio diversification strategies for investors navigating the rapidly changing financial landscape. Additionally, this research enhances our understanding of the interactions between cryptocurrency markets and traditional financial markets, particularly Sharia-compliant indices, during times of global financial uncertainty.
Co-Authors Agus Junaidi Ahmad Sinnun, Ahmad Aina Izzati Zuhria Aisyah Fatma Elhartin Alfia, Siti Nur Alim, Zainal Ancella Impe Anik Sri Purwanti Anik Sri Purwanti Asep Sayfulloh Deisylia Karim Dhani, Rifqi Rama Dhea Nazlyta Rusman Dimas Hogie Sei Naga Djalinalbun Kalunalr Eka Lestari Duwila Erdi Yani Estetika, Estetika Esti Pravitasari Isak Fadholi , Arief Fadila Mubin Fanimah Hi Yusup Faroha, Kuni Fatmawati Fatmawati Febrina Idas Wara Halwani, Horidatul Haryanto Haryanto Haryanto Haryanto Hilmiy, Silviana Wahidah Ifyan, Rhenda Ainkarisma Iif Wahyu Kusumawati Ika Yuniva Ikhwan Abdullah Imron Imron Indriani Hippy Jannah, Siti Nurul Jenie Sundari Keswara, Nila Widya Lestari Ayu Lina Trisnawati Maharani, Anggrelia Devina Maulina, Rifzul Mauludiah, Putri Meta Aquarista Syamsi Miftah Nur Afidah Mudhofir, Luthfi Mutiara Fitri Mufidah, Afidatus Titik Zahrotul Muhammad Aswad Mukti Rahajeng Nila Nafisatul Bashiroh Novia Denada Manopo Noviani Polohoon Novlany Ayuba Novy Angelina Christyolivia Nunik Suhartyny Nur Ali Farabi Nurhayati, M Sinta Nurningsih S.A Karim Nurul Laili Purnomo Nurwijayanti Oktaviana, Helmalia Pratiwi, Nanda Anastasya Purwoko, Agus Putri, Yofa Hemalia Rachmat Hidayat Rachmat Hidayat Rachmawati, Wardah Raden Maria Veronika Widiatrilupi Reny Retnaningsih Rizkiya Pratiwi Musa Rokhmat Subagiyo Rosmiati, Mia Rosyidah Alfitri Ryan Juska Pratama Saffrilia, Rieza Junava Sari Dewi Siwi, Clairine Limpad Rosa Soleha, Lailatul Badriatus Sri Maryati Ahmad Sulima, Sulima Sunarya Sunarya Susanti Susanti tut rayani aksohini Tut Rayani Aksohini Wijayanti Widia Shofa Ilmiah Widia, Raden Maria Veronika Yanasein, Yanasein Zangga, Mardiana Ina