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Jurnal Ekonomi Malaysia

54 (3) 2020 27 – 40

Co-movements between Islamic and Conventional Stock Markets: An Empirical Evidence
Pergerakan bersama antara Pasaran Saham Islamik dan Konvensional: Bukti Empirikal

Department of Accounting and Finance
Universiti Putra Malaysia
43400 UPM Serdang, Selangor
MALAYSIA.

sahabuddingme@gmail.com

Department of Accounting and Finance
Universiti Putra Malaysia
43400 UPM Serdang, Selangor
MALAYSIA.

junaina@upm.edu.my

Department of Accounting and Finance
Universiti Putra Malaysia
43400 UPM Serdang, Selangor
MALAYSIA.

mohdhisham@upm.edu.my

Department of Accounting and Finance
Universiti Putra Malaysia
43400 UPM Serdang, Selangor
MALAYSIA

sabarina@upm.edu.my

Abstract

This paper examines the co-movement between the Islamic (Shariah compliant) and conventional stock indices. Using data from Bangladesh and Malaysia from 25 January, 2011 to 31 May, 2018, the study employs the co-integration approach and Vector Error Correction Model (VECM). The results reveal that there is a significant co-integration relationship among the variables. The analysis of the Variance Decomposition indicates that there are weak (strong) influences for predating the forecast errors of the respective indexes in the short run and long run while the impulse response function (IRF) shows negatively (positively) to the shocks with each other in the Islamic and conventional stock indexes. These findings provide useful insights to investors and policy makers in reducing risks and achieving the optimum level of return.

Keywords

Bangladesh and Malaysia; Co-movement; conventional; Islamic; stock markets
http://dx.doi.org/10.17576/JEM-2020-5403-3
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Sahabuddin, , Muhammad, , Yahya, , & Mohammed Shah, (2020). Co-movements between Islamic and Conventional Stock Markets: An Empirical Evidence. Jurnal Ekonomi Malaysia, 54(3), 27–40. http://dx.doi.org/10.17576/JEM-2020-5403-3

@article{sahabudin2020comovements,
  title={Co-movements between Islamic and Conventional Stock Markets: An Empirical Evidence},
  author={Sahabuddin, Mohammad and Muhammad, Junaina and Yahya, Mohamed Hisham and Mohammed Shah, Sabarina},
  journal={Jurnal Ekonomi Malaysia},
  volume={54},
  number={3},
  pages={27—40},
 

year={2020},
}

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