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All Journal Indonesian Capital Market Review
Jais, Mohammad
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Economics, Econometrics & Finance

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Month of the Year and Pre- Holiday Effects In Indonesia and Malaysia Shari’ah Compliance Malini, Helma; Jais, Mohammad
The Indonesian Capital Market Review Vol. 6, No. 1
Publisher : UI Scholars Hub

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Abstract

This paper investigates the existence of two anomalies in Indonesia and Malaysia Shari’ah compliance; the month of the year and pre-holiday effect, and their implication for stock market efficiency. Investing in Shari’ah compliant is different from investing in conventional stock. Conventional stock market followed the capital market set of rules and law, while Shari’ah follows not only followed the capital market set of laws but also the Islamic principles. Most of the previous studies investigated issues related to the conventional stock market, this study take one step further by investigating issue related to Shari’ah compliant instrument and make comparison between both Shari’ah compliance stock market in Indonesia and Malaysia. We document high and significant returns in month and pre-holiday in Indonesia and Malaysia stock market that represent by the Shari’ah compliance. Our result indicate that the month of the year effect is prevalent in Indonesia and Malaysia Shari’ah compliance.
The Volatility of Indonesia Shari’ah Capital Market Stock Price Toward Macro Economics Variable Malini, Helma; Jais, Mohammad
The Indonesian Capital Market Review Vol. 6, No. 2
Publisher : UI Scholars Hub

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Abstract

Shari’ah stock market is also affected by many highly interrelated economic, social, political and other factor, same as the conventional stock market, the interaction between macroeconomic variables and Shari’ah stock market creating volatility in the stock price as a response towards several shocks. The sensitivity of Shari’ah stock market towards shocks happened related with the future expectation of micro and macro factor in one country which can be predict or unpredictable. There are six macroeconomic variables that used in this research; inflation, exchange rate, interest rate, dow jones index, crude oil palm price, and FED rate. Using vector error correction model (VECM), the result shows that domestic macroeconomic variables that significantly affect Indonesia Shari’ah compliance for long term, while for international macroeconomic variables the selected variable such as FED rate and Dow Jones Index are not significantly affected Indonesia Shari’ah compliance both in short term and long term.
Co-Authors Helma Malini, Helma