ϱϯ
± 0.035 DDJIM-4 ± 0.011 DFHSI-1 ± 0.053 DFHSI-2 ± 0.089 DFHSI-3
± 0.061 DFHSI-4 + 221.69DLNEXRATE-1 + 137.84 DLNEXRATE-2
± 142.96 DLNEXRATE-3 ± 176.91 DLNEXRATE-4
± 6.514 DCPI-1 ± 4.510 DCPI-2 ± 4.252 DCPI- 3
± 15.071 DCPI-4 + 97.07DLNM2-1+ 299.09 DLNM2-2 + 83.821 DLNM2-3 + 637.38 DLNM2-4 +61.057 DBIR-1
± 22.88 DBIR-2
± 5.890 DBIR-3 ± 68.562 DBIR-4 ± 0.729CointEq1+ 0.049CointEq2
±0.082 CointEq3 ± 183.64 CointEq4 + 3.351 CointEq5
Short term Granger Causal relationship can be observed through wald test F-statistic on a group of the related coefficients. Based on the
table 4.7 above, it is proven that only variables of DJII-3, DDJIM-2, DFHSI-2, DFHSI-3, DFHSI-4, DLNEXRATE-4, DCPI-4,
DLNM2-4 and DBIR-4 are short term Granger cause for DJII. This means the Jakarta Islamic Index stock returns in short term is only
influenced by Jakarta Islamic Index stock returns itself in last period, Dow Jones Islamic Market index return, FTSE Bursa Malaysia Hijrah Shariah
Index return, Exchange Rate, Consumer Price Index, Money Supply and Bank Indonesia Interest Rate. Meanwhile, DJII variable is short term
Granger cause for variable DDJIM, DFHSI, DLNEXRATE, DCPI, DLNM2 and DBIR. The pattern of this short term Granger causal
relationship can be summarised as figure 4.1.
ϱϰ
Indicator: One way causal relationship
two way causal relationship
Figure 4.1 Cause Direction on Short Term Granger Causal Relationship VECM
4.6.1 VECM Partial t-test Result
To observe the significant influence of the independent variables to the dependent variable individually, we conduct the partial t-test
examination. The VECM estimation result describe these following partial t-test:
1. VECM Dow Jones Islamic Market Index DJIM Partial t-test Result
VECM estimation result defines that Dow Jones Islamic Market Index DJIM t-statistic is 0.957 in lag 1, 1.930 in lag 2, 0.404 in
lag 3 and -0.707 in lag 4 with degree of freedom df 60-6-1 = 53 LQFRQILGHQFHOHYHOĮ ,QDGGLWLRQW-table of t-test is
1.671. Therefore, t-statistic of DJIM in lag 2 1.930 t-table 1.671 means that we reject Ho and accept Ha or the model is significant.
It can be illustrated by the illustration below:
ϱϱ
Figure 4.6.1 Partial t-test of DJIM 2 to JII
2. VECM FTSE Bursa Malaysia Hijrah Shariah Index FHSI Partial t-test Result
VECM estimation result defines that FTSE Bursa Malaysia Hijrah Shariah Index FHSI t-statistic is -0.467 in lag 1, -2.068 in lag 2,
-3.377 in lag 3 and -1.955 in lag 4 with degree of freedom df 60- 6-
LQFRQILGHQFHOHYHOĮ ,QDGGLWLRQW-table of t-test is 1.671. Therefore, t-statistic of FHSI in lag 2 -2.068, lag 3 -
3.377 and lag 4 -1.955 t-table 1.671 means that we reject Ho and accept Ha or the model is significant. It can be illustrated by
the illustration below:
Figure 4.6.2 Partial t-test of FHSI 2 to JII
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Figure 4.6.3 Partial t-test of FHSI 3 to JII
Figure 4.6.4 Partial t-test of FHSI 4 to JII
3. VECM Exchange Rate LNEXRATE Partial t-test Result VECM estimation result defines that Exchange Rate
LNEXRATE t-statistic is 0.873 in lag 1, 0.709 in lag 2, -0.886 in lag 3 and -1.497 in lag 4 with degree of freedom df 60-6-1 = 53
LQFRQILGHQFHOHYHOĮ ,QDGGLWLRQW-table of t-test is 1.296. Therefore, t-statistic of LNEXRATE in lag 4 -1.497 t-
table 1.296 means that we reject Ho and accept Ha or the model is significant. It can be illustrated by the illustration below:
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