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Title: Syariah Index and Portfolia Index: Evidence from Cointegration
Authors: Tajul Ariffin Masron
Anuar Abd Wahab
Keywords: Syariah index
Portfolio index
Issue Date: 2007
Publisher: Universiti Sains Islam Malaysia
Series/Report no.: Vol.4, No.1 2007
Abstract: The main objective of this study is to identify the nature of the relationship between the Syariah index and portfolio investment. Using the cointegration procedure, a long run steady state relationship between the Syariah index and portfolio invstment is established. We found a unilateral Granger causality where the inward of portfolio investment Granger causes Syariah index, but Syariah index does not Granger cause portfolio investment. Additionally, the results from the impulse response function show that the impact of shock in Syariah index to portfolio investment is dominant, while the reverse causality is considered negligible or minimal.
ISSN: 1823-075X
Appears in Collections:JMIFR - Vol. 4, No. 1, 2007

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