Co-Integration dan Contagion Effect antara Pasar Saham Syariah di Indonesia, Malaysia, Eropa, dan Amerika Saat Terjadinya Krisis Yunani
The objective of the study was to analyze the Greeces crisis impacts toward the movement of Islamic stock prices in Indonesia, Malaysia, USA, and Europe. Moreover, this study also analyzed co-integration and contagion effect which occurred during the period. VAR (Vector Auto Regressive) and VECM (Ve...
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| Format: | Article |
| Language: | English |
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Universitas Negeri Semarang
2014-09-01
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| Series: | Jurnal Dinamika Manajemen |
| Online Access: | https://journal.unnes.ac.id/nju/index.php/jdm/article/view/3656 |
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| author | Tara Ninta Ikrima Harjum Muharam |
| author_facet | Tara Ninta Ikrima Harjum Muharam |
| author_sort | Tara Ninta Ikrima |
| collection | DOAJ |
| description | The objective of the study was to analyze the Greeces crisis impacts toward the movement of Islamic stock prices in Indonesia, Malaysia, USA, and Europe. Moreover, this study also analyzed co-integration and contagion effect which occurred during the period. VAR (Vector Auto Regressive) and VECM (Vector Error Correction Model) with eviews 6 were used to test the hypothesis as the statistical analysis tools. The data of this study were the weekly closing stock price indices taken from the representatives of Islamic stock markets of each country; JII in Indonesia, DJIMY in Malaysia, DJIM in USA, and MSCI in Europe. The result showed that the Greeces crisis did not give any influence toward the movement of Islamic stock prices in USA, Malaysia, Indonesia, and Europe. However; there were co-integration and contagion effect which influenced on Islamic stock prices in those four regions at Greeces crisis time. |
| format | Article |
| id | doaj-art-370bc518445c4f2ea0583d54549915cd |
| institution | OA Journals |
| issn | 2086-0668 2337-5434 |
| language | English |
| publishDate | 2014-09-01 |
| publisher | Universitas Negeri Semarang |
| record_format | Article |
| series | Jurnal Dinamika Manajemen |
| spelling | doaj-art-370bc518445c4f2ea0583d54549915cd2025-08-20T02:01:41ZengUniversitas Negeri SemarangJurnal Dinamika Manajemen2086-06682337-54342014-09-015210.15294/jdm.v5i2.36563175Co-Integration dan Contagion Effect antara Pasar Saham Syariah di Indonesia, Malaysia, Eropa, dan Amerika Saat Terjadinya Krisis YunaniTara Ninta Ikrima0Harjum Muharam1Fakultas Ekonomika dan Bisnis, Universitas Diponegoro, SemarangFakultas Ekonomika dan Bisnis, Universitas Diponegoro, SemarangThe objective of the study was to analyze the Greeces crisis impacts toward the movement of Islamic stock prices in Indonesia, Malaysia, USA, and Europe. Moreover, this study also analyzed co-integration and contagion effect which occurred during the period. VAR (Vector Auto Regressive) and VECM (Vector Error Correction Model) with eviews 6 were used to test the hypothesis as the statistical analysis tools. The data of this study were the weekly closing stock price indices taken from the representatives of Islamic stock markets of each country; JII in Indonesia, DJIMY in Malaysia, DJIM in USA, and MSCI in Europe. The result showed that the Greeces crisis did not give any influence toward the movement of Islamic stock prices in USA, Malaysia, Indonesia, and Europe. However; there were co-integration and contagion effect which influenced on Islamic stock prices in those four regions at Greeces crisis time.https://journal.unnes.ac.id/nju/index.php/jdm/article/view/3656 |
| spellingShingle | Tara Ninta Ikrima Harjum Muharam Co-Integration dan Contagion Effect antara Pasar Saham Syariah di Indonesia, Malaysia, Eropa, dan Amerika Saat Terjadinya Krisis Yunani Jurnal Dinamika Manajemen |
| title | Co-Integration dan Contagion Effect antara Pasar Saham Syariah di Indonesia, Malaysia, Eropa, dan Amerika Saat Terjadinya Krisis Yunani |
| title_full | Co-Integration dan Contagion Effect antara Pasar Saham Syariah di Indonesia, Malaysia, Eropa, dan Amerika Saat Terjadinya Krisis Yunani |
| title_fullStr | Co-Integration dan Contagion Effect antara Pasar Saham Syariah di Indonesia, Malaysia, Eropa, dan Amerika Saat Terjadinya Krisis Yunani |
| title_full_unstemmed | Co-Integration dan Contagion Effect antara Pasar Saham Syariah di Indonesia, Malaysia, Eropa, dan Amerika Saat Terjadinya Krisis Yunani |
| title_short | Co-Integration dan Contagion Effect antara Pasar Saham Syariah di Indonesia, Malaysia, Eropa, dan Amerika Saat Terjadinya Krisis Yunani |
| title_sort | co integration dan contagion effect antara pasar saham syariah di indonesia malaysia eropa dan amerika saat terjadinya krisis yunani |
| url | https://journal.unnes.ac.id/nju/index.php/jdm/article/view/3656 |
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