DYNAMIC RELATIONS AND SHARIA STOCK MARKET INTEGRATION WITH OIL PRICES (Studies: Indonesia, Malaysia, USA, UK, Japan 2012-2016)

KARATRI, Rhealin Hening and MUHARAM, Harjum and MAWARDI, WISNU (2017) DYNAMIC RELATIONS AND SHARIA STOCK MARKET INTEGRATION WITH OIL PRICES (Studies: Indonesia, Malaysia, USA, UK, Japan 2012-2016). Masters thesis, Diponegoro University.

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Abstract

The purpose of this research is to analyze the relationship of dynamic and integration between world sharia stock market with world crude oil price. This research can find out the integration relationship between world sharia stock market with world crude oil price. The object of this research is sharia stock market in Indonesia, Malaysia, United States, UK, Japan during period 2012-2016. The research method is Dynamic Coditional Correlation Multivariate-GARCH method is used to test the hypothesis in order to know the relationship of sharia stock market integration in world with world oil price. In this case to test the conditional correlation multivariate-GARCH method, reasearcher have taken any steps is descriptive statistical testing, heteroskedasticity testing, stationary test, and GARCH univariate testing. The result of the research shows that there is a significant dynamic correlation in world sharia stock price (Indonesia, Malaysia, United States, United Kingdom, Japan) and significant dynamic relationship between world sharia stock market with world crude oil price. It can be explained indirectly proves the existence of integration relationship between world sharia stock market with world crude oil price. Keywords: sharia stocks integration, sharia stock price, world crude oil price, Dynamic Conditional Correlation Multivariate-GARCH (DCC-MGARCH).

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:School of Postgraduate (mixed) > Master Program in Management
ID Code:58483
Deposited By:Mr Endhar Priyo Utomo
Deposited On:19 Dec 2017 10:41
Last Modified:19 Dec 2017 10:41

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