Open AccessBehavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock Market
Author(s) -
Helma Malini
Publication year - 2021
Publication title -
afebi islamic finance and economic review
Language(s) - English
Resource type - Journals
eISSN - 2548-5296
pISSN - 2548-5288
DOI - 10.47312/aifer.v3i2.175
Subject(s) - stock market , autoregressive conditional heteroskedasticity , stock (firearms) , volatility (finance) , financial economics , business , econometrics , autoregressive model , economics , geography , context (archaeology) , archaeology
This study aims to determine stock return behaviour in Indonesia and Malaysia Shariah stock market. Indonesia and Malaysia are selected based on the countries level of development and geographical factor, since both countries are emerging market with a rapid growth of Shariah stock market not only in term of listed companies but also in term of number of investor. Based on geographical proximity, both countries close to each other and have a strong bilateral relationship which makes their stock market return behaviour influence by many factors. This studies relies on two major time series investigation techniques, namely Economteric Modeling of returns; The Autoregressive model, Assumption of Linearity, Volatility Modeling of GARCH and its extension. The result showed that stock return behavior happening in Indonesia and Malaysia Shariah Stock Market.