Open AccessIntegration Analysis of Sharia Stock in Malaysia and Indonesia
Author(s) -
Innaniar Kultsum,
Dedi Budiman Hakim,
Syamsul Hidayat Pasaribu
Publication year - 2021
Publication title -
international journal of scientific research in science, engineering and technology
Language(s) - English
Resource type - Journals
eISSN - 2395-1990
pISSN - 2394-4099
DOI - 10.32628/ijsrset218476
Subject(s) - indonesian , diversification (marketing strategy) , stock market , capital market , emerging markets , stock (firearms) , business , linkage (software) , stock market index , economics , index (typography) , financial economics , monetary economics , finance , mechanical engineering , paleontology , philosophy , linguistics , biochemistry , chemistry , horse , marketing , gene , engineering , biology , world wide web , computer science
The linkage of the Indonesian capital market with foreign capital markets began after foreign investors were allowed to participate in buying shares listed on the IDX where Indonesia is an emerging market. According to Mobius (1996), from the external side, countries including emerging markets can develop rapidly on the grounds that investors are willing to invest in international markets, investors use investment management services, and the need for diversification to avoid sudden turmoil in one market. Model nonlinear in economic and finance riset are often found. One model that can be used to capture nonlinear relationships in data is Threshold Vector Autoregressive (TVAR) model. TVAR model is generalization of VAR model, it divides the time series into different regimes that are separated by a different threshold. The purpose of this research are to see the effects between sharia stock index in Malaysia (DJMY) and Indonesia (JII), and to know the performance with TVAR model. DJMY and JII produce TVAR on lag one with two threshold and three regimes. Each regimes shows different effects.