Integration Analysis of Sharia Stock in Malaysia and Indonesia

Authors

  • Innaniar Kultsum  Economics, IPB University, Bogor, Indonesia
  • Dedi Budiman Hakim  Economics, IPB University, Bogor, Indonesia
  • Syamsul Hidayat Pasaribu  Economics, IPB University, Bogor, Indonesia

DOI:

https://doi.org/10.32628/IJSRSET218476

Keywords:

Integration, Capital Market, Nonlinearity, Sharia Stock and TVAR

Abstract

The linkage of the Indonesian capital market with foreign capital markets began after foreign investors were allowed to participate in buying shares listed on the IDX where Indonesia is an emerging market. According to Mobius (1996), from the external side, countries including emerging markets can develop rapidly on the grounds that investors are willing to invest in international markets, investors use investment management services, and the need for diversification to avoid sudden turmoil in one market. Model nonlinear in economic and finance riset are often found. One model that can be used to capture nonlinear relationships in data is Threshold Vector Autoregressive (TVAR) model. TVAR model is generalization of VAR model, it divides the time series into different regimes that are separated by a different threshold. The purpose of this research are to see the effects between sharia stock index in Malaysia (DJMY) and Indonesia (JII), and to know the performance with TVAR model. DJMY and JII produce TVAR on lag one with two threshold and three regimes. Each regimes shows different effects.

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International Journal of Scientific Research in Science, Engineering and Technology

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Published

2021-10-30

Issue

Volume 8, Issue 5, September-October-2021

Section

Research Articles

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How to Cite

[1]
Innaniar Kultsum, Dedi Budiman Hakim, Syamsul Hidayat Pasaribu "Integration Analysis of Sharia Stock in Malaysia and Indonesia" International Journal of Scientific Research in Science, Engineering and Technology (IJSRSET), Print ISSN : 2395-1990, Online ISSN : 2394-4099, Volume 8, Issue 5, pp.01-06, September-October-2021. Available at doi : https://doi.org/10.32628/IJSRSET218476