The Integration of Islamic Stock Markets of OIC Countries in China Stock Market Crisis and US-China Trade War - Deri Siswara; Jaenal Effendi; Marhamah Muthoharroh (Faculty of Shariah and Law, UIN Syarif Hidayatullah Jakarta, 2021)
Abstract. The purpose of this study is to analyze the integration and response of the Islamic stock market of the OIC countries before the crisis and during the China stock market crisis, also during the United States-China trade war with the ARDL method. The results showed that there was no cointegration in the period before the China stock market crisis. However, during the period of the China stock market crisis and the United States-China trade war, the cointegration was more common. The Indonesia Islamic stock market in the two crisis periods had a long-term relationship with the US and China stock markets. In terms of the benefits of portfolio diversification for investors, there is relevance of dominant economic, geographical, and trade relations in influencing the integration of the Islamic stock market.Keywords: Market Integration, Islamic Stock, China Stock Market Crisis, US-China Trade War, ARDL. Abstrak. Tujuan penelitian ini menganalisis integrasi dan respon pasar saham syariah negara-negara OKI sebelum dan saat terjadi krisis pasar saham Tiongkok, serta saat terjadi perang dagang Amerika Serikat-Tiongkok dengan metode ARDL. Hasil penelitian menunjukan bahwa tidak terdapat kointegrasi atau hubungan jangka panjang pada semua pasar saham syariah negara-negara anggota OKI pada periode sebelum krisis pasar saham Tiongkok. Akan tetapi, pada perode krisis pasar saham Tiongkok dan perang dagang Amerika Serikat-Tiongkok, integrasi antar pasar saham syariah di negara OKI lebih banyak ditemukan. Pasar saham syariah Indonesia dalam dua periode krisis memiliki hubungan jangka panjang dengan pasar saham Amerika Serikat dan Tiongkok. Dalam hal manfaat diversifikasi portofolio bagi investor, terdapat relevansi kekuatan ekonomi yang dominan, faktor geografis, dan hubungan perdagangan dalam mempengaruhi integrasi pasar saham syariah.Kata kunci: Integrasi Pasar, Saham Syariah, Krisis Pasar Saham Tiongkok, Perang Dagang AS-Tiongkok, ARDL.