INTEGRASI SAHAM SYARIAH NEGARA-NEGARA ANGGOTA OKI TAHUN 2010-2019

Bella Atika, NIM.: 18208010016 (2020) INTEGRASI SAHAM SYARIAH NEGARA-NEGARA ANGGOTA OKI TAHUN 2010-2019. Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Recently, the Islamic capital market has been growing in countries in the world, including Islamic countries and countries with a predominantly Muslim population. These countries confirm that the movement of the Islamic capital market has penetrated the strengthening of the Islamic financial industry at global level. However, there is another quite complicated spectrum related to the presence of the Islamic Cooperation Organization (OIC) in which member countries show less integration performance in the field of strengthening the Islamic capital market. These countries are suspected to have a limited scope related to portfolio investment flow. Thus, this study is intended to examine whether the integration between the Sharia stock indexes of OIC member countries occured for a period of 2010 to 2019. Using samples that encompassed Jakarta Islamic Index (Indonesia), Dow Jones Islamic Market Malaysia Titans 25 (Malaysia), Dow Jones Islamic Market Turkey (Turki), Tadawul (Arab Saudi) and QE Al-Rayan Islamic Index (Qatar) and applying the Vector Autoregressive (VAR) and Vector Error Correction Model (VECM), the result show that the stock markets in Malaysia and Qatar and in Saudi Arabia and Qatar proves to be integrated in both the short and long term. This results has implications for investment in countries that are mutually integrated, especially will be less opportunity to diversify portfolios. For countries that have not yet been integrated both inside and outside the OIC, the results of this study justify that the more rooms are available to diversify portfolios. Despite the fact that not all countries in the OIC are mutually integrated, the opportunities for integration remain open for the up-coming period. It is given that the development of the Islamic capital market is considered potential from the financial industry perspective.

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