This paper investigates the integration between Islamic and Conventional Stock Markets in Malaysia. The study focuses on three key indices to represent the stock markets in Bursa Malaysia which is FTSE Emas Syariah Index (FBMESI), FTSE Kuala Lumpur Composite Index (FBMKLCI) and FTSE Ace Index (FBMAI). This study uses monthly data from January 2009 to December 2015 and applies the Johansen and Juselius co-integration tests as well as Vector Error Correction Model (VECM) in order to determine the form of relationship between this three indices. The findings show that there is a positive and significant long-term relationship between the Islamic stock market and the conventional stock market in Bursa Malaysia. In addition, there is also have integration between stocks in Main markets and the Ace market. While for short-term causal relationships, FBMKLCI is the cause of granger to FBMESI but not to FBMAI while FBMESI is the cause of short-term granger to FBMAI.
Adam, A. M., & Tweneboah, G. (2008). Macroeconomic Factors and Stock Market Movement: Evidence from Ghana. SSRN Electronic Journal.
Albaity, M. & Ahmad, R. (2009). A Comparative Analysis of the Firm Specific Determinants of Syariah Compliant Versus Non-Syariah Compliant Firms in Bursa Malaysia. Asian Journal of Business and Accounting, 4(1), 59-84.
Alexakis, C., Pappas,V., Tsikouras A. (2015). Long Run Asymmetrics Relationships Between Islamic and Conventional Equity Indices. Economic Working Paper Series. 2015/002. Lancaster University Management School.
Auzairy, N. A., Ahmad, R., Ho, C. S. F. Ho & Sapian, R. Z. Z. (2012). Integration of Asian Stock Markets. International Journal of Social, Behavioral, Educational, Economic, Business and Industrial Engineering. 6(12), 3503-3509.
Chan, S. G. & Abd Karim, M.Z. (2005). Stock Price Integration in Malaysian Stock Market. Thammasat Economic Journal, 23(3), 124-135.
Darrat, A. F., Elkhal, K. & Hakim S. (2000). On the Integration of Emerging Stock Markets in the Middle East. Journal of Economic Development, 25, 119 - 129.
Engle, R. F., & Granger, C. W. (1987). Co-Integration and Error-Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251.
Eun, C. S., Lee, K., & Wang, Q. (2014). Stock Market Integration at Home. KAIST College of Business Working Paper Series No. 2014-012. Available at SSRN: https://ssrn.com/abstract=2500611 or http://dx.doi.org/10.2139/ssrn.2500611
Global Islamic Financial Report. (2010). Islamic Fund Product, 56-55. Retrieved from http://www.gifr.net/gifr2010/index.html.
Goldstien, M. & Mussa, M. (1993). The Integration of World Capital Markets. IMF Working Papers. Economic and Social Review, 26(2), 131 - 147.
Grubel H. (1968). International Diversified Portfolio: Welfare Gains and Capital Flows. American Economic Review, 58, 1299 - 1314.
Hanna, M. (1999). A Nineties Perspective on International Diversification. Financial Services Review, 8 (1), 37 – 45.
Hussin, M. Y., Muhammad F., Razak, A. A., Mahjom, N., Hadi, F. S. (2013) Pasaran Modal Islam di Malaysia: Mengembang atau Menguncup. Jurnal Perspektif, 5(2), 1-14.
Hussin, M.Y., Yusof, Y.A., & Muhammad, F., Razak, A. A., Hashim, E. & Marwan, N. F. (2013) The Integration of Islamic Stock Market:Does a Problem for Investors?. Labuan E-Journal Muamalat and Society,7, 17 - 27.
Iqbal, M.S., Kouser, R., Azeem, M. (2013). Conventional and Islamic Anomalies in Karachi Stock Exchange. Sci.Int. Lahore, 25(4), 999 – 1007.
Johansen, S. and Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration with Applications to Demand for Money. Oxford Bulletin of Economics and Statistics. 52(2), 169-210.
Kassim, S. H. (2013). The Global financial Crisis and The Integration of Islamic Stock Markets in Developed and Developing Countries. Asian Academy of Management Journal of Accounting & Finance, 9 (2), 75–94.
Lee, G., & Jeong, J. (2014). Global Financial Crisis and Stock Market Integration Between Northeast Asia and Europe. Review of European Studies, 6(1), 61-75.
Levy, H. & Sannat, M. (1970). International Diversification on Investment Portfolios. American Economic Review, 60, 668 – 675.
Majdoub, J., Mansour, W., & Jouini, J. (2016). Market Integration between Conventional and Islamic Stock Prices. The North American Journal of Economics and Finance, 37, 436-457.
Marashdeh, H., & Shrestha, M., (2010). Stock Market Integration in the GCC Countries. International Research Journal of Finance and Economics, 37, 104–114.
Marjan, N. & Mansur, M. (2014). Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study Of Malaysia. Munich Personal RePEc Archive Paper No. 58799 Posted 24 Retrieved from https://mpra.ub.uni-
muenchen.de/58799/1/MPRA_paper_58799.pdf.
Majdoub, J., Mansour, W., & Jouini, J. (2016). Market integration between conventional and Islamic stock prices. The North American Journal of Economics and Finance, 37, 436-457.
Mohan R.
In-Text Citation: (Shaari, 2019)
To Cite this Article: Shaari, A. T. Al. (2019). Analysis of the Integration between Islamic and Conventional Stocks Market in Malaysia. International Journal of Academic Research in Business and Social Sciences, 9(7), 259–272.
Copyright: © 2019 The Author(s)
Published by Human Resource Management Academic Research Society (www.hrmars.com)
This article is published under the Creative Commons Attribution (CC BY 4.0) license. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this license may be seen at: http://creativecommons.org/licences/by/4.0/legalcode
