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Dynamic Lingkages among BMSI, EMAS Index and T-Bills

The Bursa Malaysia Syariah Index (BMSI) tracks all Syariah approved counter listed on the Bursa Malaysia Main Board. The Syariah approved counters have to undergo a screening process by The Syariah Advisory Council (SAC) of Securities Commission to ensure that all companies comply to the Syariah La...

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Main Author: Shahrol Azman, Ahmad
Format: Thesis
Language:English
English
Published: 2005
Subjects:
BP Islam. Bahaism. Theosophy, etc
Online Access:http://etd.uum.edu.my/1348/1/SHAHROL_AZMAN_B._AHMAD.pdf
http://etd.uum.edu.my/1348/2/1.SHAHROL_AZMAN_B._AHMAD.pdf
http://etd.uum.edu.my/1348/
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spelling my.uum.etd.13482013-07-24T12:11:33Z http://etd.uum.edu.my/1348/ Dynamic Lingkages among BMSI, EMAS Index and T-Bills Shahrol Azman, Ahmad BP Islam. Bahaism. Theosophy, etc The Bursa Malaysia Syariah Index (BMSI) tracks all Syariah approved counter listed on the Bursa Malaysia Main Board. The Syariah approved counters have to undergo a screening process by The Syariah Advisory Council (SAC) of Securities Commission to ensure that all companies comply to the Syariah Laws. This study examines the effect of the screening activities by investigating the performance of BMSI as compared to its conventional counterpart, the EMAS Index and Malaysian three months Treasury Bills (T-bills) as a proxy for the risk free rate. In this study, cointegration analysis which is commonly used for studying investment diversification between stock markets, have been applied in examining whether the selection restriction affected the performance of BMSI and the investment diversification benefits between BMSI, and EMAS index to investors. Johansen cointegration test and vector error correction model (VECM) test are applied to check on the dynamic relationship between the BMSI, EMAS index and Malaysian three months T-Bills. This study find that in the long run all variables are significantly linked. However, in the short run, only EMAS index and BMSI have significant relationship. The results indicate that the existence of cointegration has hindered out the possibility of portfolio diversification. On the other hand, filtering criteria imposed by SAC have not adversely affect the performance of BMSI as compared to broad equity market. 2005-05-04 Thesis NonPeerReviewed application/pdf en http://etd.uum.edu.my/1348/1/SHAHROL_AZMAN_B._AHMAD.pdf application/pdf en http://etd.uum.edu.my/1348/2/1.SHAHROL_AZMAN_B._AHMAD.pdf Shahrol Azman, Ahmad (2005) Dynamic Lingkages among BMSI, EMAS Index and T-Bills. Masters thesis, Universiti Utara Malaysia.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
English
topic BP Islam. Bahaism. Theosophy, etc
spellingShingle BP Islam. Bahaism. Theosophy, etc
Shahrol Azman, Ahmad
Dynamic Lingkages among BMSI, EMAS Index and T-Bills
description The Bursa Malaysia Syariah Index (BMSI) tracks all Syariah approved counter listed on the Bursa Malaysia Main Board. The Syariah approved counters have to undergo a screening process by The Syariah Advisory Council (SAC) of Securities Commission to ensure that all companies comply to the Syariah Laws. This study examines the effect of the screening activities by investigating the performance of BMSI as compared to its conventional counterpart, the EMAS Index and Malaysian three months Treasury Bills (T-bills) as a proxy for the risk free rate. In this study, cointegration analysis which is commonly used for studying investment diversification between stock markets, have been applied in examining whether the selection restriction affected the performance of BMSI and the investment diversification benefits between BMSI, and EMAS index to investors. Johansen cointegration test and vector error correction model (VECM) test are applied to check on the dynamic relationship between the BMSI, EMAS index and Malaysian three months T-Bills. This study find that in the long run all variables are significantly linked. However, in the short run, only EMAS index and BMSI have significant relationship. The results indicate that the existence of cointegration has hindered out the possibility of portfolio diversification. On the other hand, filtering criteria imposed by SAC have not adversely affect the performance of BMSI as compared to broad equity market.
format Thesis
author Shahrol Azman, Ahmad
author_facet Shahrol Azman, Ahmad
author_sort Shahrol Azman, Ahmad
title Dynamic Lingkages among BMSI, EMAS Index and T-Bills
title_short Dynamic Lingkages among BMSI, EMAS Index and T-Bills
title_full Dynamic Lingkages among BMSI, EMAS Index and T-Bills
title_fullStr Dynamic Lingkages among BMSI, EMAS Index and T-Bills
title_full_unstemmed Dynamic Lingkages among BMSI, EMAS Index and T-Bills
title_sort dynamic lingkages among bmsi, emas index and t-bills
publishDate 2005
url http://etd.uum.edu.my/1348/1/SHAHROL_AZMAN_B._AHMAD.pdf
http://etd.uum.edu.my/1348/2/1.SHAHROL_AZMAN_B._AHMAD.pdf
http://etd.uum.edu.my/1348/
_version_ 1644276422080987136
score 13.211869

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