Market Integration and Dynamic Linkages Between Shariah - Compliances Stocks and Interest Rate : Empirical Evidence on The Kuala Lumpur Syariah Index (KLSI) Malaysia
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Keywords: stock market efficiency, market integration, runs test, stationarity test, Pearson correlation, co-integration test, Granger causality test, GARCH (1,1)
This situation has raised the need to examine investment growth and its response to shocks from two monetary variables, interest rate volatility and exchange rate devaluation..
Kesimpulan dari riset ini, dalam periode Juni 2003 sampai Mei 2007, saham/portofolio dengan book to market yang rendah memberikan rata-rata keuntungan yang lebih tinggi
Abstract This study investigates the dynamic relationship between the stock market and exchange rates, using daily data from 1994 to 2018.. Johansen’s cointegration analysis shows
Table 6 of Pairwise Granger causality tests with the second null hypothesis confirm that there is no integration between the sample countries in Asia because the significant short-run
Where: Tradeijt = Total trade export + import between Malaysia country i million USD PCGDPit = Per capita GDP of Malaysia PCGDPjt = Per capita GDP of country j DISTij = Distance
Figure 1: Growth of Malaysia Federal Government deficit 1965-2005 Source: Malaysia Economic Report 1965-2005 Due to the importance of the issue of the relationship between budget
Then, the author performs the OLS regression between IHSG and foreign indices returns as follows: 2 where IHSG refers to the daily returns of Jakarta Composite Index, N225 denotes
