Efficient market hypothesis and shari'ah compliances stock return behaviour in Indonesia and Malaysia markets

The development of Shari’ah compliances in Indonesia and Malaysia Markets is a proved that Shari’ah compliance is integral parts of the Islamic financial industry. The diversification of Islamic capital market product showed that both countries has become the pioneers and benchmark for Shari’ah prod...

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Main Author:	Helma, Malini
Format:	Thesis
Language:	English
Published:	2015
Subjects:	HG Finance
Online Access:	http://ir.unimas.my/id/eprint/10752/1/Helma.pdf
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id	my-unimas-ir.10752
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spelling	my-unimas-ir.107522023-04-18T02:37:06Z Efficient market hypothesis and shari'ah compliances stock return behaviour in Indonesia and Malaysia markets 2015 Helma, Malini HG Finance The development of Shari’ah compliances in Indonesia and Malaysia Markets is a proved that Shari’ah compliance is integral parts of the Islamic financial industry. The diversification of Islamic capital market product showed that both countries has become the pioneers and benchmark for Shari’ah product development in the world and Shari’ah compliance is one of the Islamic capital market product that has the biggest funding accumulation since the beginning of the introduction. The statistical process from linearity and volatility modeling, stock return predictability and Shari’ah compliance integration by using GARCH model specification showed that in term of return behaviour particularly volatility of Shari’ah compliances in Indonesia and Malaysia are vulnerable towards events and news that happened in both countries. Indonesia Shari’ah compliance is vulnerable to political news events that happened in Indonesia. Kuala Lumpur Shari’ah compliance is vulnerable to the social and economic news and events that happened in Malaysia. The result from calendar effect showed that investor in Shari’ah compliance in Indonesia and Kuala Lumpur Shari’ah compliance could earn abnormal return particularly in the month of December, February and October in Indonesia Shari’ah compliance. While, Kuala Lumpur Shari’ah compliance, January, October and April are the month where investor could earn abnormal return. Holiday effect prove to be exist in both Shari’ah compliance with the tendency to occur only on pre-holiday where most of investor showed happiness in welcoming holiday through their investing decision and behaviour. The result from Shari’ah compliances integration between Indonesia and Malaysia with selected Shari’ah compliances in the world showed that Indonesia and Malaysia has a strong correlation to each other, not only because of geographical closeness but also dependencies in term of social and economics. This research suggest that both Indonesia and Malaysia Shari’ah compliances should develop the trading mechanism, improving Shari’ah regulation and introduce Shari’ah compliances portfolio into a more wider investor, since both market are in semi strong form, both Indonesia and Kuala Lumpur Shari’ah compliances should focusing on creating a better platform for investor to provides efficient market and stability in stock return by improving the regulation and incentive distortion. Universiti Malaysia Sarawak, (UNIMAS) 2015 Thesis http://ir.unimas.my/id/eprint/10752/ http://ir.unimas.my/id/eprint/10752/1/Helma.pdf text en validuser phd doctoral Universiti Malaysia Sarawak Faculty of Economics and Business
institution	Universiti Malaysia Sarawak
collection	UNIMAS Institutional Repository
language	English
topic	HG Finance
spellingShingle	HG Finance Helma, Malini Efficient market hypothesis and shari'ah compliances stock return behaviour in Indonesia and Malaysia markets
description	The development of Shari’ah compliances in Indonesia and Malaysia Markets is a proved that Shari’ah compliance is integral parts of the Islamic financial industry. The diversification of Islamic capital market product showed that both countries has become the pioneers and benchmark for Shari’ah product development in the world and Shari’ah compliance is one of the Islamic capital market product that has the biggest funding accumulation since the beginning of the introduction. The statistical process from linearity and volatility modeling, stock return predictability and Shari’ah compliance integration by using GARCH model specification showed that in term of return behaviour particularly volatility of Shari’ah compliances in Indonesia and Malaysia are vulnerable towards events and news that happened in both countries. Indonesia Shari’ah compliance is vulnerable to political news events that happened in Indonesia. Kuala Lumpur Shari’ah compliance is vulnerable to the social and economic news and events that happened in Malaysia. The result from calendar effect showed that investor in Shari’ah compliance in Indonesia and Kuala Lumpur Shari’ah compliance could earn abnormal return particularly in the month of December, February and October in Indonesia Shari’ah compliance. While, Kuala Lumpur Shari’ah compliance, January, October and April are the month where investor could earn abnormal return. Holiday effect prove to be exist in both Shari’ah compliance with the tendency to occur only on pre-holiday where most of investor showed happiness in welcoming holiday through their investing decision and behaviour. The result from Shari’ah compliances integration between Indonesia and Malaysia with selected Shari’ah compliances in the world showed that Indonesia and Malaysia has a strong correlation to each other, not only because of geographical closeness but also dependencies in term of social and economics. This research suggest that both Indonesia and Malaysia Shari’ah compliances should develop the trading mechanism, improving Shari’ah regulation and introduce Shari’ah compliances portfolio into a more wider investor, since both market are in semi strong form, both Indonesia and Kuala Lumpur Shari’ah compliances should focusing on creating a better platform for investor to provides efficient market and stability in stock return by improving the regulation and incentive distortion.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Helma, Malini
author_facet	Helma, Malini
author_sort	Helma, Malini
title	Efficient market hypothesis and shari'ah compliances stock return behaviour in Indonesia and Malaysia markets
title_short	Efficient market hypothesis and shari'ah compliances stock return behaviour in Indonesia and Malaysia markets
title_full	Efficient market hypothesis and shari'ah compliances stock return behaviour in Indonesia and Malaysia markets
title_fullStr	Efficient market hypothesis and shari'ah compliances stock return behaviour in Indonesia and Malaysia markets
title_full_unstemmed	Efficient market hypothesis and shari'ah compliances stock return behaviour in Indonesia and Malaysia markets
title_sort	efficient market hypothesis and shari'ah compliances stock return behaviour in indonesia and malaysia markets
granting_institution	Universiti Malaysia Sarawak
granting_department	Faculty of Economics and Business
publishDate	2015
url	http://ir.unimas.my/id/eprint/10752/1/Helma.pdf
_version_	1783728068757553152

Efficient market hypothesis and shari'ah compliances stock return behaviour in Indonesia and Malaysia markets

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