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Foreign Interest Ratesand the IslamicStock Market Integration between Indonesia and Malaysia

Author

Listed:
  • Pasrun Adam

    (Department of Mathematics, Universitas Halu Oleo, Kendari, Indonesia.)

  • Ambo Wonua Nusantara

    (Department of Economics, Universitas Halu Oleo, Kendari, Indonesia.)

  • Abd AzisMuthalib

    (Department of Economics, Universitas Halu Oleo, Kendari, Indonesia.)

Abstract

This study aimed to examine the Islamic stock market integration between Indonesia and Malaysia, and the effect of foreign interest ratesonboth stockmarkets.Thisstudy used the monthly time series of Jakarta Islamic Index, Hijrah Syariah Index, and foreign interest rates within a period from August 2000 to January 2016. Result of cointegration test demonstrates that while there is a cointegration between Jakarta IslamicIndex and Hijrah Shariah Index, no cointegration occurred between Jakarta Islamic Index, Hijrah Shariah Index,and foreign interest rates. Estimation result of the VAR model indicates that there is a long-run relationship between Jakarta Islamic Index and Hijrah Shariah Index, and that there is integration between Indonesian and Malaysian Islamic stock markets. Furthermore,estimation result of the VARX model reveals that foreign interest ratesonly affected Malaysian Islamic stock price index.

Suggested Citation

  • Pasrun Adam & Ambo Wonua Nusantara & Abd AzisMuthalib, 2017. "Foreign Interest Ratesand the IslamicStock Market Integration between Indonesia and Malaysia," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 21(3), pages 639-659, Summer.
    • Handle: RePEc:eut:journl:v:21:y:2017:i:3:p:639
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    References listed on IDEAS

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    Cited by:

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    2. Heppi Millia & Pasrun Adam & Zainuddin Saenong & Muh. Yani Balaka & Yuwanda Purnamasari Pasrun & La Ode Saidi & Wali Aya Rumbia, 2020. "The Influence of Crude Oil Prices Volatility, the Internet and Exchange Rate on the Number of Foreign Tourist Arrivals in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 280-287.

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