1. 2. 3. 4.

-2000 3000 8000 13000 18000

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 JII (Jakarta Islamic Index)

FTSE KLSI (Kuala Lumpur Sharia Index)

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- -

- -

- -

1.

2.

3.

4.

∑ 𝑝_{𝑖 𝑖𝑡}𝑞_𝑖0

∑ 𝑝_{𝑖 𝑖0}𝑞_𝑖0

𝑝_𝑖𝑡 𝑞_𝑖0

(𝑦_𝑖𝑡)

𝑦𝑖𝑡 = 𝐿𝑁_𝐽𝐼𝐼𝑡, 𝑆𝐵𝐼𝑆𝑡, 𝑆𝐵𝐼𝑡, 𝐿𝑁_𝑀2𝑡

𝐿𝑁_𝐽𝐼𝐼𝑡= 𝛽10+ ∑𝐾 𝛽11

𝑘=1 𝐿𝑁_𝐽𝐼𝐼𝑡−𝑘+ ∑𝐾 𝛼12

𝑘=1 𝑆𝐵𝐼𝑆𝑡−𝑘+

∑𝐾 𝛾13

𝑘=1 𝑆𝐵𝐼𝑡−𝑘+ ∑𝐾 𝛿14

𝑘=1 𝐿𝑁_𝑀2𝑡−𝑘+ 𝜇1𝑡

𝑆𝐵𝐼𝑆𝑡= 𝛽20+ ∑𝐾 𝛽21

𝑘=1 𝐿𝑁_𝐽𝐼𝐼𝑡−𝑘+ ∑𝐾 𝛼22

𝑘=1 𝑆𝐵𝐼𝑆𝑡−𝑘+ ∑𝐾 𝛾23

𝑘=1 𝑆𝐵𝐼𝑡−𝑘+

∑𝐾 𝛿24

𝑘=1 𝐿𝑁_𝑀2𝑡−𝑘+ 𝜇2𝑡

𝑆𝐵𝐼𝑡= 𝛽30+ ∑𝐾 𝛽31

𝑘=1 𝐿𝑁_𝐽𝐼𝐼𝑡−𝑘+ ∑𝐾 𝛼32

𝑘=1 𝑆𝐵𝐼𝑆𝑡−𝑘+ ∑𝐾 𝛾33

𝑘=1 𝑆𝐵𝐼𝑡−𝑘+

∑^𝐾_𝑘=1𝛿₃₄𝐿𝑁_𝑀2_𝑡−𝑘+ 𝜇_3𝑡 𝐿𝑁_𝑀2𝑡= 𝛽40+ ∑𝐾 𝛽41

𝑘=1 𝐿𝑁_𝐽𝐼𝐼𝑡−𝑘+ ∑𝐾 𝛼42

𝑘=1 𝑆𝐵𝐼𝑆𝑡−𝑘+

∑𝐾 𝛾43

𝑘=1 𝑆𝐵𝐼𝑡−𝑘+ ∑𝐾 𝛿44

𝑘=1 𝐿𝑁_𝑀2𝑡−𝑘+ 𝜇4𝑡

𝛽𝑖𝑡, 𝛼𝑖𝑡, 𝛾𝑖𝑡, 𝛿𝑖𝑡

𝛽_𝑖0 𝜇_𝑖𝑡

Δ𝐿𝑁_𝐽𝐼𝐼_𝑡= 𝜇₁₀+ Π₁₁𝐸𝐶𝑇_𝑡−1+ ∑^𝐾_𝑘=1𝛽₁₂𝐿𝑁_𝐽𝐼𝐼_𝑡−𝑘+ ∑^𝐾_𝑘=1𝛼₁₃𝑆𝐵𝐼𝑆_𝑡−𝑘+

∑^𝐾_𝑘=1𝛾₁₄𝑆𝐵𝐼_𝑡−𝑘+ ∑^𝐾_𝑘=1𝛿₁₅𝐿𝑁_𝑀2_𝑡−𝑘+ 𝜀_1𝑡 Δ𝑆𝐵𝐼𝑆𝑡= 𝜇20+ Π21𝐸𝐶𝑇𝑡−1+ ∑𝐾 𝛽22

𝑘=1 𝐿𝑁_𝐽𝐼𝐼𝑡−𝑘+ ∑𝐾 𝛼23

𝑘=1 𝑆𝐵𝐼𝑆𝑡−𝑘+

∑𝐾 𝛾24

𝑘=1 𝑆𝐵𝐼𝑡−𝑘+ ∑𝐾 𝛿25

𝑘=1 𝐿𝑁_𝑀2𝑡−𝑘+ 𝜀2𝑡

Δ𝑆𝐵𝐼𝑡= 𝜇30+ Π31𝐸𝐶𝑇𝑡−1+ ∑𝐾 𝛽32

𝑘=1 𝐿𝑁_𝐽𝐼𝐼𝑡−𝑘+ ∑𝐾 𝛼33

𝑘=1 𝑆𝐵𝐼𝑆𝑡−𝑘+

∑^𝐾_𝑘=1𝛾₃₄𝑆𝐵𝐼_𝑡−𝑘+ ∑^𝐾_𝑘=1𝛿₃₅𝐿𝑁_𝑀2_𝑡−𝑘+ 𝜀_3𝑡

Δ𝐿𝑁_𝑀2_𝑡= 𝜇₄₀+ Π₄₁𝐸𝐶𝑇_𝑡−1+ ∑^𝐾_𝑘=1𝛽₄₂𝐿𝑁_𝐽𝐼𝐼_𝑡−𝑘+ ∑^𝐾_𝑘=1𝛼₄₃𝑆𝐵𝐼𝑆_𝑡−𝑘+

∑𝐾 𝛾44

𝑘=1 𝑆𝐵𝐼𝑡−𝑘+ ∑𝐾 𝛿45

𝑘=1 𝐿𝑁_𝑀2𝑡−𝑘+ 𝜀4𝑡

Π_𝑖1 𝜀_𝑖𝑡

3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0

00 02 04 06 08 10 12 14 16

LN_JII

0 4 8 12 16 20

00 02 04 06 08 10 12 14 16

SBI

0.0 2.5 5.0 7.5 10.0 12.5 15.0

00 02 04 06 08 10 12 14 16

SBIS

13.0 13.5 14.0 14.5 15.0 15.5

00 02 04 06 08 10 12 14 16

LN_M2

-.3 -.2 -.1 .0 .1 .2

2002 2004 2006 2008 2010 2012 2014 2016 D(LN_JII) Residuals

-4 -2 0 2 4

2002 2004 2006 2008 2010 2012 2014 2016 D(SBIS) Residuals

-0.8 -0.4 0.0 0.4 0.8 1.2

2002 2004 2006 2008 2010 2012 2014 2016 D(SBI) Residuals

-.04 -.02 .00 .02 .04 .06

2002 2004 2006 2008 2010 2012 2014 2016 D(LN_M2) Residuals

≤ ≤

-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5

-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5

Inverse Roots of AR Characteristic Polynomial

Δ

Δ

Δ

Δ

Δ

Δ

Δ

Δ Δ

Δ Δ

-.08 -.06 -.04 -.02 .00 .02

5 10 15 20 25 30 35 40 45 50 55 60

Response of LN_JII to SBIS

-.08 -.06 -.04 -.02 .00 .02

5 10 15 20 25 30 35 40 45 50 55 60

Response of LN_JII to SBI

-.08 -.06 -.04 -.02 .00 .02

5 10 15 20 25 30 35 40 45 50 55 60

Response of LN_JII to LN_M2 Response to Cholesky One S.D. Innovations

-.08 -.06 -.04 -.02 .00 .02

5 10 15 20 25 30 35 40 45 50 55 60 Response of LN_JII to SBIS

-.08 -.06 -.04 -.02 .00 .02

5 10 15 20 25 30 35 40 45 50 55 60 Response of LN_JII to SBI

-.08 -.06 -.04 -.02 .00 .02

5 10 15 20 25 30 35 40 45 50 55 60 Response of LN_JII to LN_M2 Response to Cholesky One S.D. Innovations

 

 

   

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