Behavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock Market
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 i...
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| Format: | Article |
| Language: | English |
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Asosiasi Fakultas Ekonomi & Bisnis Indonesia (AFEBI)
2021-09-01
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| Series: | AFEBI Islamic Finance and Economic Review |
| Online Access: | https://journal.afebi.org/index.php/aifer/article/view/175 |
| _version_ | 1798027784303411200 |
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| author | Helma Malini |
| author_facet | Helma Malini |
| author_sort | Helma Malini |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-11T18:57:18Z |
| format | Article |
| id | doaj.art-52e6bf9bec514bfcb251d68ae37710f3 |
| institution | Directory Open Access Journal |
| issn | 2548-5288 2548-5296 |
| language | English |
| last_indexed | 2024-04-11T18:57:18Z |
| publishDate | 2021-09-01 |
| publisher | Asosiasi Fakultas Ekonomi & Bisnis Indonesia (AFEBI) |
| record_format | Article |
| series | AFEBI Islamic Finance and Economic Review |
| spelling | doaj.art-52e6bf9bec514bfcb251d68ae37710f32022-12-22T04:08:08ZengAsosiasi Fakultas Ekonomi & Bisnis Indonesia (AFEBI)AFEBI Islamic Finance and Economic Review2548-52882548-52962021-09-01302193710.47312/aifer.v3i2.175188Behavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock MarketHelma Malini0Universitas TanjungpuraThis 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.https://journal.afebi.org/index.php/aifer/article/view/175 |
| spellingShingle | Helma Malini Behavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock Market AFEBI Islamic Finance and Economic Review |
| title | Behavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock Market |
| title_full | Behavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock Market |
| title_fullStr | Behavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock Market |
| title_full_unstemmed | Behavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock Market |
| title_short | Behavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock Market |
| title_sort | behavior of stock return evidence from indonesia and malaysia shariah stock market |
| url | https://journal.afebi.org/index.php/aifer/article/view/175 |
| work_keys_str_mv | AT helmamalini behaviorofstockreturnevidencefromindonesiaandmalaysiashariahstockmarket |