The Performance Of Syari’ah Indexes Between Malaysia And Indonesia

Chu,, Wei Fatt (2014) The Performance Of Syari’ah Indexes Between Malaysia And Indonesia. [Final Year Project Report] (Unpublished)

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Abstract

The main objective of this study is to investigate the performance of ethical investment or known as a Shari'ah - compliant investment in Malaysia (Dow Jones Islamic Malaysia, DJIMY) and Indonesia (Jakarta Islamic Stock Index, JAKIS) during the period from 2 January 2003 until 31 January 2013. The studied period is further divided into overall period (1 January 2003 – 31 January 2013), Bullish Period (January 2003 – January 2008) and Bearish period (2 February 2008 – 31 January 2013). Collecting the daily data of the Shari'ah indices from Malaysia and Indonesia, the performance of Shari'ah indices is measured by using Sharpe ratio, Treynor ratio, Modigliani and Modigliani (MM) measure and Jensenalpha measure. Apart from that, this study employed the descriptive statistics, correlation analysis, Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) Unit Root Tests, Johansen-Juselius (JJ) Cointegration Test, and Vector Autoregression (VAR) Granger Causality test to examine the long-run and the short-run relationship between the DJIMY and JAKIS. Firstly, the result shows that JAKIS is outperformed DJIMY and DJIMWORLD (benchmark of this study) during all the selected periods. Secondly, the result also shows that there is no long run relationship between DJIMY and JAKIS. However, the Granger causality test had shown that JAKIS granger causes DJIMY during all the three study periods. Therefore, the local and foreign investors can invest in both Malaysian and Indonesian Islamic Index to gain profit through international portfolio investment.

Item Type:	Final Year Project Report
Additional Information:	Project Report (BFin) -- Universiti Malaysia Sarawak, 2014.
Uncontrolled Keywords:	Shari'ah indices, Malaysia and Indonesia, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, undergraduate, research, Universiti Malaysia Sarawak.
Subjects:	H Social Sciences > HG Finance
Divisions:	Academic Faculties, Institutes and Centres > Faculty of Applied and Creative Arts Faculties, Institutes, Centres > Faculty of Applied and Creative Arts Academic Faculties, Institutes and Centres > Faculty of Applied and Creative Arts
Depositing User:	Gani
Date Deposited:	13 Mar 2019 08:38
Last Modified:	30 Jan 2023 07:53
URI:	http://ir.unimas.my/id/eprint/24001

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