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:	eng eng
Published:	2005
Subjects:	BP Islam Bahaism Theosophy, etc
Online Access:	https://etd.uum.edu.my/1348/1/SHAHROL_AZMAN_B._AHMAD.pdf https://etd.uum.edu.my/1348/2/1.SHAHROL_AZMAN_B._AHMAD.pdf
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id	my-uum-etd.1348
record_format	uketd_dc
spelling	my-uum-etd.13482013-07-24T12:11:33Z Dynamic Lingkages among BMSI, EMAS Index and T-Bills 2005-05-04 Shahrol Azman, Ahmad Faculty of Finance and Banking Faculty of Finance and Banking 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 Thesis https://etd.uum.edu.my/1348/ https://etd.uum.edu.my/1348/1/SHAHROL_AZMAN_B._AHMAD.pdf application/pdf eng validuser https://etd.uum.edu.my/1348/2/1.SHAHROL_AZMAN_B._AHMAD.pdf application/pdf eng public masters masters Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
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
qualification_name	masters
qualification_level	Master's degree
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
granting_institution	Universiti Utara Malaysia
granting_department	Faculty of Finance and Banking
publishDate	2005
url	https://etd.uum.edu.my/1348/1/SHAHROL_AZMAN_B._AHMAD.pdf https://etd.uum.edu.my/1348/2/1.SHAHROL_AZMAN_B._AHMAD.pdf
_version_	1747827126936010752

Dynamic Lingkages among BMSI, EMAS Index and T-Bills

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