research product . 2018

Movements of Islamic Stock Indices in Selected OIC Countries

Nurrachmi, Rininta;
Open Access English
  • Published: 01 Jan 2018
  • Publisher: Bogor Agricultural University
This study reviews the movement of Islamic stock indices in selected countries in the Organization of Islamic Cooperation (OIC) with high number of muslim population namely Indonesia, Malaysia, Turkey, Qatar, Bahrain, and Oman. The objectives are to examine the changes in cross market linkage among six selected OIC countries during crisis and after 2007 crisis and to analyze whether the International investor can gain benefit when allocating their funds across these markets. The set of relationship for each pair of Islamic stock index is analyzed using Engel-Granger (1987) and Autoregressive Distribution Lagged (ARDL) bound testing approach. The analysis is made...
free text keywords: Indonesia, OIC countries, market integration, Islamic stock index, Islamic finance, Financial crisis, C1 - Econometric and Statistical Methods and Methodology: General, C3 - Multiple or Simultaneous Equation Models ; Multiple Variables, C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models, C5 - Econometric Modeling, Z0 - General
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