Article thumbnail

INFORMATION TRANSMISSION BETWEEN ISLAMIC STOCK INDEX IN JAKARTA ISLAMIC INDEX (JII) AND DOW JONES ISLAMIC MARKET WORLD INDEX (DJIMID)

By Prita Tunjung Sari

Abstract

This research is to examine the transmission of information (at return and volatility level) as well as the correlation between Jakarta Islamic Index and Dow Jones Islamic Market World Index. Data used in this research is secondary data comes from Yahoo Finance, which is the daily return from November 30th, 2007 until May 16th, 2012. The tools to analyze the significance between those two market indices are bivariate VAR GJR-GARCH model. The results indicate significant unidirectional return and volatility transmissions from Dow Jones Islamic Market World Index and Jakarta Islamic Index. There is no evidence of asymmetric effects in volatility in both markets. However volatility is highly persistent and mean-reverting in each market. The findings also revealed that there is low correlation between the two Islamic stock markets investigated

Topics: International Financial Management
Year: 2013
OAI identifier: oai:e-journal.uajy.ac.id:1256
Provided by: UAJY repository

Suggested articles


To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.