Ibnu Qizam, Misnen Ardiansyah and Abdul Qoyum
The purpose of this study is to investigate the nature and integration of Islamic stock markets across the Association of Southeast Asian Nations (ASEAN-5) countries for economic…
Abstract
Purpose
The purpose of this study is to investigate the nature and integration of Islamic stock markets across the Association of Southeast Asian Nations (ASEAN-5) countries for economic community (AEC) development.
Design/methodology/approach
Using samples of daily closing prices from 2009 to 2014 across ASEAN-5 countries, co-integration and Granger-causality tests were applied.
Findings
This research finds that Islamic capital markets across ASEAN-5 countries remain highly integrated despite the global financial crisis of 2008, and it also finds the integration strength between Jakarta Islamic Index -Indonesia and Bursa Malaysia Emas Sharia-Malaysia Islamic capital markets to be the most influential across ASEAN-5 countries, while MSCI-Philippine Islamic capital market is the most vulnerable across ASEAN-5 Islamic capital markets.
Research limitations/implications
The overwhelming benefit of Islamic stock market integration across ASEAN-5 countries, and, even in a broader context, awaits further inquiry.
Originality/value
Islamic capital markets across ASEAN-5 countries are integrated regardless of the post-global financial crisis. This contributes to confirming cross-border integration policies, especially for AEC development.