INTEGRASI PASAR SAHAM SYARIAH DAN CONTAGION EFFECT DARI GEJOLAK ECONOMIC SLOWDOWN DI TIONGKOK (Studi Empiris pada Indeks Saham Syariah Indonesia, Malaysia, dan Tiongkok dalam Periode 2007-2016)

Abstract

This study aims to investigate the existence of the islamic stock markets integration among Asian countries and the contagion effect caused by the economic slowdown in China. The three islamic stock markets are chosen as the research variabels represented by the islamic stock price index of Morgan Stanley Capital International, which are the Indonesian islamic stock market (MIID), Malaysia Islamic stock market (MIMY), and China Islamic Stock Market (MICN). Subsequently, the data model used is time series data, while purposive sampling approach is the chosen method of determining the samples. The samples of this study are the daily closing price of islamic stock index in Indonesia (MIID), Malaysia (MIMY), and China (MICN) in the time interval from August 30, 2007, to September 1, 2016. That interval is further divided into two periods, the pre-shock/tranquil period (August 30, 2007 - June 11, 2015) and the period when the shock occured/turmoil period (June 12, 2015 - September 1, 2016). The division of interval is aimed to measure the contagion effect as well as differentiate the level of integration and causality relationships among the islamic stock markets in the time before and during the shock. Furthermore, there are 2351 observed data used in this study. To process those data, the EViews 9 econometrics software is used as the analytical tool, while Johansen Cointegration test, Vector Error Correction Model (VECM), Granger Causality test, Impulse Response Function, and Variance Decomposition analysis are used as the research methods. The results of this study showed that in both periods, which are pre-shock period and turmoil period, the islamic stock market of the three countries are integrated with each other. However, there is no evidence of contagion effect during the economic slowdown in China. In addition, there is a bidirectional causality relationship between the Malaysia and China islamic stock markets.