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All Journal Jurnal Manajemen dan Bisnis Indonesia Jurnal Manajemen Indonesia
Mohamad Jais
University Malaysia Sarawak
Economics, Econometrics & Finance Social Sciences Other

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INDONESIA SHARI'AH COMPLIANCE STOCK RETURN BEHAVIOUR Helma Malini; Mohamad Jais; Rossazana Ab Rahim
Jurnal Manajemen Indonesia Vol 15 No 1 (2015)
Publisher : Fakultas Ekonomi dan Bisnis, Telkom University.

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (552.757 KB) | DOI: 10.25124/jmi.v15i1.395

Abstract

This study aims to measures the behaviour of Indonesia Shari'ah compliance stock return. The measurement of return behaviour toward volatility will proved the capability of Indonesia Shari'ah compliance toward volatility that happened in Indonesia during the period of observation. Investing in Shari'ah compliance is quite different than investing in conventional stock which followed the capital market set of rules and law, Shari'ah compliance follows not only the capital market set of laws and but also the Islamic principles of principles. Most of the previous studies examine issues related to the conventional stocks and market. The present study take one step further by investigating issue related to Shari'ah compliance instrument. In the case of Shari'ah stock price in Indonesia, the dynamics volatility of the stock price can be minimized by taking an integrated screening process to the listed company, as precautions steps toward volatility
Testing the Existence of January Effect in Indonesia and Kuala Lumpur Shariah Compliance Helma Malini; Mohamad Jais
Jurnal Manajemen dan Bisnis Indonesia Vol 1 No 2 (2014): Jurnal Manajemen Bisnis Indonesia - Edisi Februari 2014
Publisher : Forum Manajemen Indonesia (FMI)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31843/jmbi.v1i2.17

Abstract

This paper investigates the existence of January Effect in Indonesia and Malaysia Shari’ah stock market and the implication for stock market efficiency. Shari’ah Compliance is relatively a new industry both for Indonesia and Malaysia, although the growth is continously increasing over the year. There are significant differences between investing in Shari’ah compliant than the conventional stock market, since Shari’ah capital market have to followed a set of rules form the stock exchange and also followed Islamic capital market law and principles. Study that focusing about Shari’ah compliance both for Indonesia and Malaysia is still rare, that is why this study taking one step further by examining the january effect in Indonesia and Malaysia Shariah compliance. Regression model with dummy variables and monthly price of companies that classified in the Indonesia and Malaysia Shari’ah compliance from January 2000 to December 2012 to test the Janaury effect in the stock return of Indonesia Shari’ah compliance and Kuala Lumpur Shari’ah compliance. It was empirically found that, although Janaury anomaly does not exist in Indonesia Shari’ah compliance and in Kuala Lumpur Shari’ah compliance. Other result showed that both Shari'ah compliance also enjoyed significant return in other month beside January which is July for Indonesia and September, October and November for Malaysia, which raises question against Efficient Market Hypothesis (EMH). Keywords: Calendar effects, Indonesia and Malaysia Shari’ah compliance, January Effect, Efficient Market Hypothesis
Co-Authors Helma Malini Rossazana Ab Rahim