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Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia

Abd. Majid, M. Shabri and Vakhira, Zulfa Alvi and Kassim, Salina (2016) Do conventional and Islamic stock markets subject to different market anomalies? Empirical evidences from Indonesia and Malaysia. Journal of Applied Economic Sciences, Volume XI (5(43)). pp. 45-57. ISSN 1843-6110 E-ISSN 2393-5162

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Abstract

This study aims to investigate whether the conventional and Islamic stock returns are subject to different calendar anomalies by testing the monthly calendar effects on stock returns in both markets. Focusing on the Indonesian and Malaysian Stock Markets, the closing monthly prices of the Jakarta Stock Exchange Index (JKSE), Kuala Lumpur Stock Exchange Index (KLSE), Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FBMHS) were considered covering the period from 2004 to 2015. An independent sample of t-test is adopted to explore the differences between the conventional and Islamic stock returns in both countries, while the calendar effects of the stock returns are then tested using the multiple regression. The study finds that there were no differences between the conventional and Islamic stock returns, and the calendar anomaly is only existed in the Indonesian stock markets. This implies that although both the conventional and Islamic stock markets have been well integrated in both markets, the stock markets of Malaysia have been more efficient than the Indonesian counterpart.

Item Type: Article (Journal)
Additional Information: 4600/55537
Uncontrolled Keywords: Anomaly,monthly effect, Islamic capital market,conventional capital market, stock returns, Islamic finance
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Institute of Islamic Banking & Finance (IIiBF)
Depositing User: Dr Salina Kassim
Date Deposited: 27 Feb 2017 11:11
Last Modified: 07 Mar 2017 03:18
URI: http://irep.iium.edu.my/id/eprint/55537

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