THE 10
thISLAMIC BANKING, ACCOUNTING, AND FINANCE INTERNATIONAL CONFERENCE 2022
(iBAF 2022)
Does the Change in Islamic Index Composition Affect the Firm? Evidence from Indonesia Stock Exchange
Rosyidah
Faculty of Economics and Business, Universitas Indonesia (UI), Jakarta, Indonesia Tel: +628 1217173911 E-mail: [email protected]
Permata Wulandari
Faculty of Economics and Business, Universitas Indonesia (UI), Jakarta, Indonesia Tel: +628 1380603613 E-mail: [email protected]
Abstract
We investigate the price effect of addition and deletions from the Indonesia Sharia Stock Index (ISSI) and Jakarta Islamic Index (JII). Using event study methodology, we measure abnormal returns for firms over the period June 2019 - December 2021 with Fama French 3 factor formula. Through the sample of 107 additions and 95 deletions, we find evidence to support the theory of Muslim country investment behavior. We find that additions to the Islamic index led to a significant positive stock market reaction and deletions to the Islamic index led to a negative stock market reaction on Jakarta Islamic Index (JII) but there is no significant reaction of addition and deletion on Indonesia Sharia Stock Index (ISSI).
Keywords: Event study; abnormal return; fama french 3 factor; index changes; sharia index
1. Introduction
The growth of Islamic capital markets over the past 10 years has increased significantly (Jaballah et al., 2018).
Based on data from the Indonesia Stock Exchange (BEI, 2021), the market capitalization of Shariah stock or the Indonesia Sharia Stock Index (ISSI) has increased from Rp 2,451 trillion in December 2011 to Rp 3,984 trillion as of December 2021. The growth was driven by the growth in the number of listed companies that meet sharia stock criteria and the growth of Islamic capital market investors both institutional investors who are mostly from Islamic Financial Institutions (LKS) and sharia retail investors(Abidin et al., 2020; Sari et al., 2018). As of December 2021, there have been 105,174 Islamic stock investors. This number has increased by 18,782% from 2012 (BEI, 2021).
Sharia stocks are company shares by sharia principles (DSN-MUI, 2020). The criteria of sharia stocks of each country vary depending on the institution issuing the list or index of sharia stocks as well as the period of renewal (Abdul Rahman et al., 2010; Ashraf, 2016). The renewal of the sharia list or index is carried out to maintain the compliance of sharia principles of listed stocks. In Indonesia, the institution authorized to determine the compliance of Shariah shares is the Financial Services Authority (OJK) in the form of a sharia securities list (DES).
Sharia stock review is conducted every 6 months in May and November. Furthermore, IDX adjusts (addition or deletions) constituents of the ISSI index by sharia stocks listed on DES (Wahyuni, 2011; Yanti, 2012).
According to MacKinlay (1997), the economic effect of an event on a company's value can be measured easily using an event study. The event of adding or deleting index constituents is one of the events that can also be measured its effect on the value of the company or market. Such effects are generally measured using abnormal return as previous studies have done (Azevedo et al., 2014; Bildik & Gülay, 2008).
Various studies on the effects of changes in the composition of stock indices (additions or deletions), especially on stock returns have been widely described in the financial (Masse et al., 2000; Yun & Kim, 2010). However, most of them focus on non-Islamic indices such as S&P 500 constituents or liquid indices on their respective markets, and still lack similar research on Islamic stock indices.
Some studies by (Jaballah et al., 2018; Kassim et al., 2017) related to the effect of changes in the composition of sharia indices (addition or deletions) on stock returns has been carried out. However, none of the studies have yet used the ISSI index as the object of the study.
Studies using the Indonesian sharia index conducted by (Febrian et al., 2013; Wahyuni, 2011) uses the Jakarta Islamic Index (JII) as an object of research. JII is a Shariah index consisting of only 30 liquid Shariah stocks in Indonesia while ISSI consists of all Shariah shares in Indonesia (Nastiti & Rahman, 2011). JII, as a liquidity index, has other factors aside from compliance with Sharia principles, such as market capitalization and stock trading value. To accommodate the scale, with a large Islamic stock market capitalization in Indonesia, a more in-depth explanation of the market reaction to changes in sharia compliance of stocks in Indonesia is needed. The index that can represent the most, ISSI, was chosen as an object of this study.
The objective of the study is to provide the empirical evidence of stock return on addition and deletion of sharia index constituent in Indonesia (ISSI and JII). If the result is significant, it will be necessary for the stock issuing companies to remain in the sharia index, and for the investor to aware of the event of addition and deletion of sharia index regarding their portfolio performance.
Our paper therefore broadly contributes to the literature both on Islamic finance and event studies. By providing insights on the stock market reaction on Islamic Index, this paper provides crucial information to assess the value of a firm's being include in Islamic Index in Indonesia. Therefore, by using the Fama-French 3 factor formula to measure abnormal return, this study contributes to extend the event study analysis that mostly using market model and capital asset pricing model (CAPM). Aside from that, the Fama French 3-factor model has higher accuracy than the market model or CAPM, especially in emerging market countries in Asia (Anggraini, 2018; Foye, 2018)
The remaining part of this paper is organized as follows. Section 2 reviews the literature on the effects of inclusion or exclusion from index. Section 3 explains the data and the methodology used. Section 4 presents the results and Section 5 concludes and provides the implications of the findings.
2. Literature Review
2.1 Overview of Indonesia Sharia Index
Same as sharia stock criteria in other Islamic stock indices such as Dow Jones Islamic Indices (DJII), FTSE Islamic Index, S&P Shari'ah Indices, and MSCI Islamic Index series, sharia stock criteria in Indonesia are also divided into 2 criteria, namely the type of company business and corporate financial ratio. But in contrast to other sharia stock criteria, sharia stock criteria in Indonesia are considered more tolerant (Lusyana & Sherif, 2017;
Yanti, 2012).
Based on the regulation of the Financial Services Authority Number: 15/POJK.04/2015, the types of businesses, goods, services provided and contracts and methods of managing Issuers or Public Companies that issue Sharia Securities should not be contrary to sharia principles.
Types of business activities that are contrary to sharia principles include:
• Gambling and games classified as gambling or trading are prohibited.
• Conventional financial institutions (ribawi), including conventional banking and insurance.
• Producers, distributors, and merchants of illicit food and beverages; and
• Manufacturers, distributors, and/or providers of morally demoralizing and dangerous goods or services.
• Invest in issuers (companies) which at the time of transaction the level (ratio) of the company's debt to financial institutions ribawi more dominant than its capital.
While the criteria for the financial ratio allowed under (DSN-MUI, 2020) are as follows:
• Total interest-based debt compared to total assets of no more and 45% (forty-five%)
• Total non-halal revenue compared to total business income and miscellaneous income of no more than 10%
(ten%)
Based on POJK No. 15/POJK.04/2015, all public companies that meet the above requirements criteria, will be included in the Sharia Securities List (DES). The review process is carried out for 6 (six) months, namely in May and November. Any company that no longer complies with sharia stock criteria will be excluded from DES.
IDX as the maker of ISSI will adjust the ISSI constituency in accordance with DES by OJK. Any company that is no longer listed in the DES will be out of the index and any company newly listed in the DES will be included in the ISSI index (Lusyana & Sherif, 2017; Yanti, 2012).
As for the sharia index changes, according to (McGowan, Jr. & Muhammad, 2010), if the investment manager considers that the stock announced to be included in the index is likely to perform well in the future, the investment manager will buy this stock. Similarly, the announcement that a stock will be removed from the index will cause the investment manager to sell the stock. Thus, changes in the composition of sharia indices will encourage investment managers to act in accordance with Sharia guidelines.
In contrast to the regulations and practices in Malaysia, based on POJK Number 33/POJK.04/2019 on Issuance and Requirements of Sharia Mutual Funds, investment managers of Islamic mutual funds who have a portfolio of shares exiting DES are required to sell the shares without exception whether the shares suffer losses or not. The deadline for selling shares out of DES or ISSI is 10 days from the effective date of the index change.
2.2 Effect of Change (Addition or Deletion) of Shariah Index on Stock Prices
Using the event study methodology, Kassim et al., (2017) and Muhammad et al. (2009) provide evidence of a positive impact on average stock return and trading volume after the announcement for stocks entering the Kuala Lumpur Syariah Index (KLSI), and the negative impact for stocks exiting KLSI for the period 1999-2007 and the period 2007 - 2014. These results are also supported by (Listyaningsih & Krishnamurti, 2015; Nastiti & Rahman, 2011; Wahyuni, 2011) uses an abnormal return and abnormal approach to the trading volume before and after the announcement date (event) and the effective date of the Jakarta Islamic Index (JII) index change. In general, their results show that there is a significant difference in average returns and trading volume for stocks entering and exiting JII.
In contrast to the results of the above study, (Jaballah et al., 2018), using the Dow Jones Islamic Indices (DJII) index divides companies based on the origin of the Country of America and Muslim countries consisting of Egypt, India, Indonesia, Jordan, Kuwait, Malaysia, Morocco, Qatar, and Turkey. It found that the addition of Islamic indices led to a positive stock market reaction in Muslim countries but a negative reaction in the US. In contrast, the removal from the Islamic index resulted in a negative stock market reaction in Muslim countries but positive in the US. Different valuation effects can be explained by different investor perceptions. In Muslim countries, investors have a positive perception of Sharia compliance due to religious beliefs, while in the U.S. they react negatively because of negative perceptions about Islam and restrictions associated with Sharia compliance.
In line with the above statement, (McGowan, Jr. & Muhammad, 2010) states that based on the sharia point of view investors in Muslim countries are divided into 2 categories. The first category is investors who only invest according to Sharia due to the prohibition of the Qur'an. Their investment decisions are based solely on their religious awareness and not solely on investment returns. The second group of investors was Muslim and non- Muslim who chose sharia stocks not out of religious considerations but because of better returns on investment.
Based on both categories it can be concluded that the addition of shares to the index will have a positive effect both from category 1 Muslim investors who make investments by their beliefs and category 2 Muslim investors who expect better returns and vice versa against stocks that come out of sharia stock indexes.
3. Data and Methodology
Our dataset consists of daily stock prices (which are used to compute stock returns) the year of 2019 to 2021.
Information on the list of shares added and removed from the index obtained from the Indonesia Stock Exchange website. DES reviews and announcements are carried out by FSA every 6 months in May and November. There was a total of 180 additions and 153 deletions during the period of 2019 and 2021.
Table 1. Number of ISSI index addition and deletion
Announcement date Effective Data Number of index
addition Number of index deletion
26 May 2019 3 June 2019 20 29
26 November 2019 2 December 2019 31 26
24 July 2020 3 August 2020 21 26
24 November 2020 1 Desember 2020 12 42
24 Juli 2021 2 Agustus 2021 28 42
26 November 2020 1 Desember 2021 39 15
Total 151 180
Table 2. Number of JII index addition and deletion
Announcement date Effective Data Number of index
addition
Number of index deletion
26 May 2019 3 June 2019 3 3
26 November 2019 2 December 2019 3 3
24 July 2020 3 August 2020 4 4
24 November 2020 1 Desember 2020 5 5
24 Juli 2021 2 Agustus 2021 3 3
26 November 2020 1 Desember 2021 3 3
Total 21 21
3.1 Event Window
Various hypotheses that can explain price movements around the announcement day and the effective date of the index change have been discussed above in the literature review section. In order to explain the effect of changes in index composition on abnormal returns and trading volume, the event window is divided into 9 sub- windows so as to test the above hypothesis (Bildik & Gülay, 2008; Kassim et al., 2017; Lynch & Mendenhall, 1997) as following:
• Pre-announcement period: (AD-10: AD-1)
• Announcement day: (AD)
• Post-announcement period: (AD+1: CD-1)
• Change day: (CD)
• Change period: (CD +1: CD+10/LD)
• Last Day to change Islamic portfolio: LD/CD+10
• Post Change period: (CD +1: LD+10)
• Long Period 1: (AD-10: CD-1)
• Long Period 2: (AD: LD)
• Full Event Period: (AD-10; LD+10) 3.2 The Calculation of Abnormal Stock Return
To determine the market response to changes in ISSI composition, abnormal return variables are used.
Abnormal return reflects the gap between the expected return and the actual return so that it is relevant to measure the market reaction to an event. Abnormal returns, according to Hartono (2003), are:
AROT = ROT− E(ROT) (1)
where ROT is the return on stock i on day t, and E(ROT) is the expected returns estimated by using the Fama French three factor model as follow:
E(ROT) = 𝑅𝑓%+ 𝛽(𝑅𝑚%− 𝑅𝑓%) + 𝑆𝑀𝐵 + 𝐻𝑀𝐿 (2) The Fama-French Three-Factor (FF3) model was introduced by Eugene F. Fama and Kenneth R. French as a development of the Capital Asset Pricing Model in 1992. In one of their studies, Fama and French added two other factors to explain the average stock return, namely firm size and book-to-market equity (Fama and French, 1992) and other research by Fama and French, it was found that market, firm size, and book-to-market equity factors can explain the average stock return well (Fama and French, 1993). Based on studies of the accuracy of expected return calculation in emerging market, FF 3 have same level of accuracy than FF 5 and better than Capital Asset Pricing Model (CAPM). According to that, the Fama-French Three-Factor (FF3) model is applied in this study.
After calculating abnormal returns, the next step is to calculate abnormal returns from all securities. This aggregation is calculated by averaging the abnormal returns for all firms in the sample on a given day for each day of the event window:
AAROT=U(∑U$V(AROT (3)
where N indicates the number of firms that have been added or removed from ISSI or JII.
Finally, to measure the consistency of market reactions in the specified event window (from day t( to tH), namely the announcement day and the effective day of the index, it is necessary to aggregation from time to time using the cumulative average abnormal return equation as follows:
CAAROT = ∑%H$V(AAROT (4)
5.1. T-Test Statistic
A two-tailed t-test is applied to check the null hypothesis of zero abnormal stock returns. The t-test model is as follows:
t=Ŝ (AARCAARt1,t2
t) √N (5)
Ŝ (AART) = ZU(∑U$V( (AART− AAR[[[[[[[[)T H (6)
where Ŝ (AART) is the standard deviation of the average abnormal return, 𝐶𝐴𝐴𝑅%#,%) is the cumulative average abnormal return from day t( to tH., and n is the interval between t( and tH. In the short-term event window, the range of t is [AD-10, CD+1]. In the long-term event window, the range of t is [AD-10, LD+10].
The null hypothesis of CAAR is: H_ : 𝐶𝐴𝐴𝑅%#,%)= 0. If the CAAR is significantly different from zero, the null hypothesis is rejected, which indicates that the changes of index composition influence stock price, and the index revision effect exists, and vice versa.
4. Result and Discussion
In this section, we document the price effect reflect on Fama French 3 factor abnormal return around event window that have stated in the section 3.
4.1 Index Addition
The following are the results of the main estimates of market reactions depicted through the Cumulative Average Abnormal Return (CAAR) in the event window set against the addition of ISSI and JII index constituents during the period 2019 – 2021:
Table 3. Fama French 3 Factor abnormal return for index addition
ISSI JII
Window CAAR t-statistic CAAR t-statistic
AD-10, AD-1 0,000438 0,020304 -0,02532 -0,91842
AD 0,002563 0,375478 0,002755 0,315957
AD+1, CD-1 0,002413 0,176717 0,025048 1,43632
CD -0,00366 -0,53683 0,002709 0,31069
CD +1, LD 0,017681 0,863408 0,043393 1,65887
LD -0,00279 -0,40909 0,006624 0,759654
CD +1, LD+10 0,039624 1,297959 0,074095 1,949518**
AD-10, CD-1 0,005414 0,204782 0,002479 0,073409
AD, LD 0,018993 0,718388 0,073905 2,188467**
AD-10, LD+10 0,041373 1,024486 0,079283 1,536956
Table 3 shows the CAAR and t-test values of stocks entering the ISSI index. In table 3, the CAAR of stocks included in the ISSI index is positive both before and after the announcement of the index change. Although there is no significant CAAR in the event window, there can be seen an increase in returns from before AD and CD.
The CAAR at (AD-10, AD-1) is 0.0.000438, after a change in the CAAR index at (AD+1, CD-1) and (CD+1, LD) increases to 0.002413 and 0.017681.
Stocks included in the ISSI index, both in the short term and long term, did not show significant abnormal returns. This result supports the Theory of Price Pressure Hypothesis, that stocks that are included in the ISSI index do not necessarily encourage investors to rebalancing stock portfolios or there is no significant increase in stock purchases entering the ISSI index at the time of the announcement and effectiveness of the ISSI index (Azevedo et al., 2014; Kraus & Stoll, 1972; Scholes, 1972). In addition, this result can also prove quantitatively the study (Asytuti, 2017) that 2 out of 3 Indonesian Muslim investors have not made Sharia stocks a reference for investing in stocks.
Meanwhile for JII index, in the period before the announcement of the index change, the resulting CAAR was negative, which can be indicated that the market has no expectations for the information of stocks included in the JII index. Unlike the stocks included in the ISSI index, the stocks included in the JII index showed significant abnormal returns. As can be seen in table 5, the CAAR values (CD+1, LD+10) and (AD, LD) of 0.074095 and 0.073905 show significant figures at the level of 5%. The CAAR value begins to increase after AD and CD. This can be caused by institutional investors who make portfolio adjustments, especially in index mutual funds that make JII as basis portfolio (Bildik & Gülay, 2008; Yun & Kim, 2010).
4.2 Index Deletion
The following are the results of the main estimates of market reactions depicted through the Cumulative Average Abnormal Return (CAAR) in the event window set against the deletion of ISSI and JII index constituents during the period 2019 – 2021:
Table 4. Fama French 3 Factor abnormal return for index deletion
ISSI JII
Window CAAR t-statistic CAAR t-statistic
AD-10, AD-1 -0,00068 -0,06473 -0,02358 -1,05006
AD 0,006314 1,892058 0,003989 0,561882
AD+1, CD-1 0,005786 0,866836 -0,04739 -3,33728**
CD 0,00301 0,901803 -0,01267 -1,78401
CD +1, LD -0,00731 -0,73 -0,00025 -0,01169
LD -0,00203 -0,60683 0,002213 0,311619
CD +1, LD+10 0,011805 0,790947 0,018429 0,595486
AD-10, CD-1 0,011417 0,883311 -0,06698 -2,43565**
AD, LD 0,007801 0,603545 -0,05632 -2,04797**
AD-10, LD+10 0,026231 1,328595 -0,06121 -1,45731
Table 4 shows the CAAR and t-test values of stocks exiting the ISSI index. As it shown, the CAAR of stocks that came out of the ISSI index did not have a significant CAAR in the event window. In contrast to the theory of stocks that exit the index, namely abnormal negative returns, based on the results above, CAAR is only negative at 3 of the 10 event windows (Gurel, E.; Harris, 1986; Kraus & Stoll, 1972). This indicates that there was no increase in bulk sales of stocks exiting ISSI.
As for the JII index, in the period before the announcement of the index change, the CAAR was negative, which can be indicated that the market had anticipated the stocks that came out of the JII index by selling first before it was effective. The CAAR (AD+1, CD-1) is -0.04739 or -4.7% and is significant at the level of 5%.
CAAR is also significant at the level of 5% in the event window (AD-10, CD-1) and (AD, LD) which are -6.6%
and -5.6%.
Unlike the stocks included in the ISSI index, the stocks included in the JII index showed significant negative abnormal returns. This can be caused by institutional investors making portfolio adjustments, investment managers make sales in advance to avoid lower price declines after the effectiveness of the index. It can be seen at abnormal levels of significant returns after the day of announcement and insignificant after the effective day of index (Bildik & Gülay, 2008; Kraus & Stoll, 1972; Yun & Kim, 2010).
5. Conclusion
In this study, we examine the impact on stock price associated with sharia index constituent change. To this end, we investigate the price effect of additions and deletions from Indonesia Sharia Stock Index (ISSI) and Jakarta Islamic Index (JII0 using the event study methodology. We are then able to analyze whether the sharia index change matter to the companies and investor.
We find evidence that both contrast and support the studies that have been done before about the impact of sharia index change in the Muslim country. The impact of stocks addition or deletion from ISSI are insignificant.
While the stock addition to JII has significant positive impact and the stock deletion from JII have significant negative impact on the firm. As it that we can interpret that there is no impact for the firm became sharia compliance or not in Indonesia. In the other hand, if the size of the firm big enough to meet the top 30 of the market, it can be considered that being list in JII or by meet the sharia stock criteria could bring positive impact to the firm. Because being add to JII could bring the firm more exposure especially to sharia-based investor.
This paper opens avenues for further research. It represents an initial investigation on how reconstitution of sharia index in Indonesia. As a Muslim country that is no guarantee that there is a significant number of investors that apply sharia principle investing. Therefore, future work could examine the behavior of Muslim investor in Indonesia by considering the investing behavior whether they consider the sharia principle.
References
Abdul Rahman, A., Azlan Yahya, M., & Herry Mohd Nasir, M. 2010. Islamic Norms for Stock Screening: A Comparison between the Kuala Lumpur Stock Exchange Islamic Index and the Dow Jones Islamic Market Index. International Journal of Islamic and Middle Eastern Finance and Management 3(3), 228–240. https://doi.org/10.1108/17538391011072426
Abidin, Z., Maupa, H., Alam, S., & Sobarsyah, M. 2020. Determinants of Financial Behavior in Young Investors’ Islamic Stock Investment Decisions in Indonesia. American International Journal of Business Management 3(11), 1–8.
Anggraini, N. 2018. Analisis Tingkat Akurasi Capital Asset Pricing Model, Model Tiga Faktor Fama-French, dan Model Lima Faktor Fama- French Pada Emerging Market Asia Tenggara. In Universitas Indonesia. Universitas Indonesia.
Ashraf, D. 2016. Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from Islamic Equity Indices. Journal of Business Ethics 134(2), 209–228. https://doi.org/10.1007/sl0551-014-2422-2
Azevedo, A., Karim, M., Gregoriou, A., & Rhodes, M. 2014. Stock Price and Volume Effects Associated with Changes in the Composition of the FTSE Bursa Malaysian KLCI. Journal of International Financial Markets, Institutions and Money 28(1), 20–35.
https://doi.org/10.1016/j.intfin.2013.10.001 BEI. 2021. Kinerja Pasar Modal Syariah 2021.
Bildik, R., & Gülay, G. 2008. The Effects of Changes in Index Composition on Stock Prices and Volume: Evidence from the Istanbul Stock Exchange. International Review of Financial Analysis 17(1), 178–197. https://doi.org/10.1016/j.irfa.2006.10.002
DSN-MUI. 2020. Fatwa Dewan Syari’ah Nasional No.135/DSN-MUI/V/2020 Saham. Dewan Syariah Nasional MUI, 19, 1–18.
https://dsnmui.or.id/kategori/fatwa/?s=saham
Febrian, E., Herwany, A., & Primadhi, A. 2013. Market Response to the Composition Change of Islamic Index: Evidence from Indonesia.
The International Journal of Business and Finance Research 7(5), 23–35.
Foye, J. 2018. A Comprehensive Test of the Fama-French Five-factor Model in Emerging Markets. Emerging Markets Review 37(May), 199–
222. https://doi.org/10.1016/j.ememar.2018.09.002
Jaballah, J., Peillex, J., & Weill, L. 2018. Is Being Sharia Compliant Worth It? Economic Modelling 72, 353–362.
https://doi.org/10.1016/j.econmod.2018.02.011
Kassim, N. S., Ramlee, R., & Kassim, S. 2017. Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume : An Event Study Approach. International Journal of Economics and Financial Issue 7(2), 40–51.
Lusyana, D., & Sherif, M. 2017. Shariah-compliant Investments and Stock Returns: Evidence from the Indonesian Stock Market. Journal of Islamic Accounting and Business Research 8(2), 143–160. https://doi.org/10.1108/JIABR-10-2015-0052
MacKinlay, A. C. 1997. Event Studies in Economics and Finance. Journal of Economic Literature 35(1), 13–39.
Masse, I., Hanrahan, R., Kushner, J., & Martinello, F. 2000. The Effect of Additions to or Deletions from the TSE 300 Index on Canadian Share. The Canadian Journal of Economics 33(2), 341–359. https://www.jstor.org/stable/2667436
McGowan, Jr., C. B., & Muhammad, J. 2010. The Theoretical Impact of the Listing Of Syariah-Approved Stocks on Stock Price and Trading Volume. International Business & Economics Research Journal (IBER) 9(3), 11–20. https://doi.org/10.19030/iber.v9i3.532
Nastiti, A., & Rahman, A. F. 2011. Analisis Reaksi Pasar Modal terhadap Pengumuman Perubahan Komposisi Jakarta Islamic Index (JII). In Jurnal Akuntansi Multiparadigma. https://doi.org/10.18202/jamal.2011.12.7131
Sari, N., AK, S., & Widiyanti, M. (2018). The Impact of Islamic Capital Market Development on Economic Growth: The Case of Indonesia.
Journal Of Smart Economic Growth 3(2), 21–30.
Wahyuni, U. 2011. Pengaruh Perubahan Komposisi Jakarta Islamic Index Terhadap Return Saham. El-QUDWAH, 0(0), 1–21.
Yanti, F. 2012. Pengujian Abnormal Return Saham Sebelum Dan Sesudah Peluncuran Indeks Saham Syariah Indonesia (ISSI). Jurnal Manajemen 01.
Yun, J., & Kim, T. S. 2010. The Effect of Changes in Index Constitution: Evidence from the Korean Stock Market. International Review of Financial Analysis, 19(4), 258–269. https://doi.org/10.1016/j.irfa.2010.08.003
