ϱϭ
second maximum Eigen value statistics. The results of trace statistics and maximum Eigen value were at 2 months lag length. The MacKinnon-
Haug-Michelis p- YDOXHVDUHDQGĮ 7KHUHIRUHZH
reject Ho and Accept Ha or the model is significant. Trace test and Max Eigen statistics showed the existence of 5 cointegrating vectors among
YDULDEOHVDWWKHĮ ,QWKHRWKHUZRUGWKHUHLV cointegration among JII, DJIM, FHSI, LNEXRATE, CPI, LNM2 and BIR for periods 2010 to
2014. Based on Johansen and Juselius Cointegration test, the first
normalized co-integrated vector towards JII variable using lag period proposed by AIC indicate long term relationship among DJIM, FHSI,
LNEXRATE, CPI, LNM2, BIR and stock returns of Jakarta Islamic Index JII. The result of the cointegration relationship can be summarized in
table 4.5 above. These value represent long-term elasticity measures, due to logarithmic transformation of JII, FHSI, CPI, M2 and BIR. Thus the
cointegration relationship can be re-expressed in table 4.6 below.
Table 4.6 Long-term Relationship
Dependent variable JII
Independent Variables
DJIM FHSI LNEXRATE CPI
LNM2 BIR
Coefficient 0.408
-0.202 1103.99
1.216 8252.34
113.82 t Value
4.743 6.929
5.531 0.220
12.728 5.278
, , Denote significance at 1, 5 and 10 respectively
The first normalized equation was estimated as below:
RJII =0.408 RDJIM - 0.202 FHSI + 1103.99 LNEXRATE + 1.216 CPI + 8252.34 LNM2 + 113.82 BIR
ϱϮ
According to the first normalized equation, it shows the long term relationship among these variables. Stock returns in Jakarta Islamic Index
RJII showed significantly negative relation with stock returns in FTSE Bursa Malaysia Hijrah Shariah Index FHSI. The JII also had significantly
positive relation withDow Jones Islamic Market Index DJIM, exchange rate LNEXRATE, money supply LNM2 and Bank Indonesia Interest
Rate BIR. Meanwhile, Consumer Price Index CPI showed positive relation but not significant.
4.6 Vector Error Correction Model Estimation
In order to do causality test and capture the short-term dynamics of the model, Vector Error Correction Model was applied. In this research,
VECM tested in lag 4 as a consistancy on the test previously. The results of VECM were reported in table 4.7 see in the appendix
Based on the result of VECM test above, it is found that the coefficient of CointEq1, CointEq2, CointEq3, CointEq4 and CointEq5
showed the speed of adjustment of disequilibrium in the period of study. As three of the error correction term were significant with negative signs,
hence the results of vector error correction model VECM depicted that the adjustment in JII were due to the first, the third and the forth error
correction term. The equation below showed that the coefficient of ecm1- 1 was significant which implied that JII adjusted by
72.9
percent in one month to the long term equilibrium. The result showed that it took
approximately one point three months 10.729 = 1.37 to eliminate the disequilibrium. The coefficient of the second and the third error correction
term showed speedy adjusment.
DJII = 6.663 + 0.113 DJII-1 + 0.507 DJII-2 + 0.409 DJII-3 ± 0.163
DJII-4 + 0.073 DDJIM-1 + 0.162 DDJIM-2 + 0.032 DDJIM-3
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.
