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International transmission of stock market movement: evidence from the Islamic Equity Markets

This study examines whether the widely accepted conclusion from the generic equity markets, that the emerging equity markets remain segmented from the world markets but exhibit strong intra-regionalleaderships. is also supported from Islamic equity market viewpoint. The new evidence is ,sought throu...

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Main Authors: Ruzita Abdul Rahim,, Mohammed Zain Yusof,, Ros Zam Zam Sapian,, Hawati Janor,
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2008
Online Access:http://journalarticle.ukm.my/8079/1/847-1617-1-SM.pdf
http://journalarticle.ukm.my/8079/
http://ejournal.ukm.my/pengurusan/issue/view/209
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spelling my-ukm.journal.80792016-12-14T06:46:08Z http://journalarticle.ukm.my/8079/ International transmission of stock market movement: evidence from the Islamic Equity Markets Ruzita Abdul Rahim, Mohammed Zain Yusof, Ros Zam Zam Sapian, Hawati Janor, This study examines whether the widely accepted conclusion from the generic equity markets, that the emerging equity markets remain segmented from the world markets but exhibit strong intra-regionalleaderships. is also supported from Islamic equity market viewpoint. The new evidence is ,sought through investigating the relationships between Malaysia and most important players in world equity markets, namely the US, the UK, Japan, and Canada as well as the Asia Pacific and several world equity markets. This study utilizes macro levels data of daily closing price index of the Dow Jones Islamic Market (DJIM) indexes from the most recent period of 1999:06 to 2007:06. Using Granger-causality and multiple time series regression tests, it investigates the chain of information leadership within the universe of Malaysia and the rest of the selected markets. The results indicate that the stock prices at time t in Malaysian Islamic equity markets can be better predicted by incorporating information transmitted from the Asia Pacific region (excluding Japan) and World Emerging markets at time t-I and from World Developed markets including the us at time t-5. As for Japan, this market consistently fails to show any significant role in explaining returns on stocks traded in Malaysian Islamic markets. Penerbit Universiti Kebangsaan Malaysia 2008 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/8079/1/847-1617-1-SM.pdf Ruzita Abdul Rahim, and Mohammed Zain Yusof, and Ros Zam Zam Sapian, and Hawati Janor, (2008) International transmission of stock market movement: evidence from the Islamic Equity Markets. Jurnal Pengurusan, 27 . pp. 49-68. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/issue/view/209
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description This study examines whether the widely accepted conclusion from the generic equity markets, that the emerging equity markets remain segmented from the world markets but exhibit strong intra-regionalleaderships. is also supported from Islamic equity market viewpoint. The new evidence is ,sought through investigating the relationships between Malaysia and most important players in world equity markets, namely the US, the UK, Japan, and Canada as well as the Asia Pacific and several world equity markets. This study utilizes macro levels data of daily closing price index of the Dow Jones Islamic Market (DJIM) indexes from the most recent period of 1999:06 to 2007:06. Using Granger-causality and multiple time series regression tests, it investigates the chain of information leadership within the universe of Malaysia and the rest of the selected markets. The results indicate that the stock prices at time t in Malaysian Islamic equity markets can be better predicted by incorporating information transmitted from the Asia Pacific region (excluding Japan) and World Emerging markets at time t-I and from World Developed markets including the us at time t-5. As for Japan, this market consistently fails to show any significant role in explaining returns on stocks traded in Malaysian Islamic markets.
format Article
author Ruzita Abdul Rahim,
Mohammed Zain Yusof,
Ros Zam Zam Sapian,
Hawati Janor,
spellingShingle Ruzita Abdul Rahim,
Mohammed Zain Yusof,
Ros Zam Zam Sapian,
Hawati Janor,
International transmission of stock market movement: evidence from the Islamic Equity Markets
author_facet Ruzita Abdul Rahim,
Mohammed Zain Yusof,
Ros Zam Zam Sapian,
Hawati Janor,
author_sort Ruzita Abdul Rahim,
title International transmission of stock market movement: evidence from the Islamic Equity Markets
title_short International transmission of stock market movement: evidence from the Islamic Equity Markets
title_full International transmission of stock market movement: evidence from the Islamic Equity Markets
title_fullStr International transmission of stock market movement: evidence from the Islamic Equity Markets
title_full_unstemmed International transmission of stock market movement: evidence from the Islamic Equity Markets
title_sort international transmission of stock market movement: evidence from the islamic equity markets
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2008
url http://journalarticle.ukm.my/8079/1/847-1617-1-SM.pdf
http://journalarticle.ukm.my/8079/
http://ejournal.ukm.my/pengurusan/issue/view/209
_version_ 1643737356975472640
score 13.211869

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