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Journal : journal of international conference proceedings

The Vector Error Correction Model Analysis on The Dow Jones Islamic Market Index of Malaysia, Japan, China and The Jakarta Islamic Index Ali, Andi Nurhidayati; Syariati, Alim; Rusnawati, Rusnawati
Journal of International Conference Proceedings Vol 7, No 2 (2024): 2024 ICSM Thailand & AIC Proceeding
Publisher : AIBPM Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32535/jicp.v7i2.3448

Abstract

The development of the Islamic capital market in Indonesia cannot be separated from the influence of foreign capital markets, especially in the Asian region. Fluctuations occuring in the JII indicate the existence of a contagious effect caused by stock price movements in a country that can affect stock price movements in other countries or sectors. This study aims to determine the relationship between DJIMI Malaysia, Japan, China and the JII. This research uses the Vector Error Correction Model (VECM) method using monthly data on the stock price index from January 2021 to December 2023. The results showed that in the long term, DJIJP has a positive significant relationship with the JII, DJICHK has a negative significant relationship with the JII, while DJIMY has no statistically significant relationship with the JII. While in the short term DJIMY, DJIJP and DJICHK do not have a significant relationship with the JII. This research provides information for investors and academics in understanding the dynamics of Islamic stock markets in Malaysia, Japan, China and Indonesia.
Co-Authors A. Asharil Kahar Abbas, Djamila Abdul Rahmat Abdullah Abdullah Abimayu, Muhammad Erikko Adawiah, Arabiatul Agus Adria Ahmad Efendi Al Zuhri Alamulhuda H, Agha Ali, Andi Nurhidayati Ali, Mukti Alim Syariati Amalia, Wirda Anuan F, Maisan Arham M Armylani, Kurnia Nur Asri Gani Awalia, Iski Cayati, Cayati Chanifudin Chanifudin Dasrul Dasrul Edy Fradinata Efendi, Widya Fajriah, Fadillah Fatia, Dara fatimah Fatimah Firmansyah Firmansyah Gagarin, Yuri Hannani, Alaiyya Haslianti Haslianti, Haslianti Husen Ismail, Faisal Bin Ibnu Khaldun Ibnu Phonna Nurdin, Ibnu Phonna Idris Idris Iklila H, Khansa Indradewa, Rhian Indriyani, Eka Karollah, Banta Keumalawati, Cut Lathifa, Zhafiratul Mahlil, Mahlil Maisarah, Siti Maria Ulfa Marini Kristina Situmeang Masyhuri Mauidhah, Cut Ayu Melia Melia Miftha Farild Muh. Ferils Muhammad Luthfi Murtiadi Awaluddin Mustaqim Mustaqim Nana Sumarna Nurmiati Nurmiati Perawati Bte Abustang Puan Shabrina, Cut Rahmadani, Aini Rahmawati, Ice Raida Fuadi Rakata F, Suha Ramadhani, Desi Raprayoga, Rusdi Rasyidah Rasyidah Rifa’i Q, Muhammad Rika Dwi Ayu Parmitasari Rusdi Raprayogha Sa'diyah, Sa'diyah Sakdiyah, Sakdiyah Saputra, Hijrah Saputri, Intan Sari, Delvita Sarini Sarini Sijal, Mutakallim Simanjuntak, Asnika Putri Siregar, Khairunnisa St. Mu'asyarah Suwarjoyowirayatno, Suwarjoyowirayatno Syamsul Alam, Syamsul T. Aris Munandar T. Lembong Misbah Tesa Ramadani Veithzal Rivai Zainal Wahid, Ikhlas Wahyudi, Rifki Wahyuni, Tika Agus Zarman, Nasri Zurnila MK