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Syariah Index and Portfolia Index: Evidence from Cointegration

The main objective of this study is to identify the nature of the relationship between the Syariah index and portfolio investment. Using the cointegration procedure, a long run steady state relationship between the Syariah index and portfolio invstment is established. We found a unilateral Granger c...

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Main Authors: Tajul Ariffin Masron, Anuar Abd Wahab
Format: Article
Language:English
Published: Universiti Sains Islam Malaysia 2012
Subjects:
Syariah index
Portfolio index
Cointegration
Online Access:http://ddms.usim.edu.my/handle/123456789/5345
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spelling my.usim-53452015-03-02T02:39:33Z Syariah Index and Portfolia Index: Evidence from Cointegration Tajul Ariffin Masron Anuar Abd Wahab Syariah index Portfolio index Cointegration The main objective of this study is to identify the nature of the relationship between the Syariah index and portfolio investment. Using the cointegration procedure, a long run steady state relationship between the Syariah index and portfolio invstment is established. We found a unilateral Granger causality where the inward of portfolio investment Granger causes Syariah index, but Syariah index does not Granger cause portfolio investment. Additionally, the results from the impulse response function show that the impact of shock in Syariah index to portfolio investment is dominant, while the reverse causality is considered negligible or minimal. 2012-02-23T00:58:39Z 2012-02-23T00:58:39Z 2007 Article 1823-075X http://ddms.usim.edu.my/handle/123456789/5345 en Vol.4, No.1 2007 Universiti Sains Islam Malaysia
institution Universiti Sains Islam Malaysia
building USIM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universit Sains Islam i Malaysia
content_source USIM Institutional Repository
url_provider http://ddms.usim.edu.my/
language English
topic Syariah index
Portfolio index
Cointegration
spellingShingle Syariah index
Portfolio index
Cointegration
Tajul Ariffin Masron
Anuar Abd Wahab
Syariah Index and Portfolia Index: Evidence from Cointegration
description The main objective of this study is to identify the nature of the relationship between the Syariah index and portfolio investment. Using the cointegration procedure, a long run steady state relationship between the Syariah index and portfolio invstment is established. We found a unilateral Granger causality where the inward of portfolio investment Granger causes Syariah index, but Syariah index does not Granger cause portfolio investment. Additionally, the results from the impulse response function show that the impact of shock in Syariah index to portfolio investment is dominant, while the reverse causality is considered negligible or minimal.
format Article
author Tajul Ariffin Masron
Anuar Abd Wahab
author_facet Tajul Ariffin Masron
Anuar Abd Wahab
author_sort Tajul Ariffin Masron
title Syariah Index and Portfolia Index: Evidence from Cointegration
title_short Syariah Index and Portfolia Index: Evidence from Cointegration
title_full Syariah Index and Portfolia Index: Evidence from Cointegration
title_fullStr Syariah Index and Portfolia Index: Evidence from Cointegration
title_full_unstemmed Syariah Index and Portfolia Index: Evidence from Cointegration
title_sort syariah index and portfolia index: evidence from cointegration
publisher Universiti Sains Islam Malaysia
publishDate 2012
url http://ddms.usim.edu.my/handle/123456789/5345
_version_ 1645151650184167424
score 13.214268

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