COINTEGRATION DAN CONTAGION EFFECT ANTARA PASAR SAHAM SYARIAH DI INDONESIA, JEPANG, EROPA, DAN AMERIKA SERIKAT SAAT BREXIT

FITRIA CATUR PRASETYA, NIM. 14830036 (2018) COINTEGRATION DAN CONTAGION EFFECT ANTARA PASAR SAHAM SYARIAH DI INDONESIA, JEPANG, EROPA, DAN AMERIKA SERIKAT SAAT BREXIT. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Correlation between stock market is increasing and tend to spread the crisis. Referendum of brexit can change the direction and correlation strength between sharia stock market. The purpose of this study is to provide evidence that there is a cointegration and contagion effect between the sharia stock market of Indonesia, Japan, Europe, and United States during brexit as well as providing evidence that the comovement of the ISSI is influenced by the co-movement of DJIP, MSCI and DJIM. The study used are VAR and Granger Causality as the method. The data used are daily closing price from ISSI, DJIP, MSCI and DJIM in June 2015 to Juni 2017. These are divided into two periods is before brexit period and brexit period. The results show that there is cointegration between ISSI, DJIP, MSCI and DJIM and there is proven contagion effect among sharia stock market. In addition, the co-movement of the Indonesian sharia stock market is influenced by the comovement of DJIJP, MSCI and DJIM.

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