Variance Decomposition Test ISLAMIC STOCK MARKET VOLATILITY: IS IT A PROBLEM FOR INVESTORS?
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Tangjitprom, N. 2012. Macroeconomic Factors of Emerging Stock Market: The Evidence from Thailand. International Journal of Financial Research , 105-
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and Stock Market Index: Co-integration Evidence From FTSE Bursa Malaysia Hijrah Shariah Index. Asian Journal of Management Sciences and
Education , 94 - 108. Witjaksono, A. A. 2010. Analisis Pengaruh Tingkat Suku Bunga SBI, Harga
Minyak Dunia, Harga Emas Dunia, Kurs Rupiah, Indeks Nikkei 225 dan Indeks Dow Jones terhadap IHSG studi kasus pada IHSG di BEI selama
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Yusof, Mohd, R., Majid, M. S. 2007. Stock Market Volatility Transmission in Malaysia: Islamic Versus Conventional Stock Market. Journal of King Abdul
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Appendi x
Tab le 4.
7
VECM Estim
a tion
Result
Vector Error Correction Estimates Date: 010615 Time: 21:43
Sample adjusted: 2010M06 2014M12 Included observations: 55 after adjustments
Standard errors in t-statistics in [ ]
Cointegrating Eq: CointEq1
CointEq2 CointEq3
CointEq4 CointEq5
JII-1 1.000000
0.000000 0.000000
0.000000 0.000000
DJIM-1 0.000000
1.000000 0.000000
0.000000 0.000000
FHSI-1 0.000000
0.000000 1.000000
0.000000 0.000000
LNEXRATE-1 0.000000
0.000000 0.000000
1.000000 0.000000
CPI-1 0.000000
0.000000 0.000000
0.000000 1.000000
LNM2-1 4123.169
16046.34 78793.52
11.52909 631.1466
769.558 3742.00
16383.4 2.57737
86.2540 [ 5.35784]
[ 4.28817] [ 4.80936]
[ 4.47320] [ 7.31730]
BIR-1 126.2485
342.9920 2119.406
0.231734 16.32972
21.3507 103.819
454.543 0.07151
2.39305 [ 5.91307]
[ 3.30376] [ 4.66272]
[ 3.24071] [ 6.82382]
TREND10M01 -54.43822 -210.9148
-1067.785 -0.146036
-8.267835 C -61199.28
-237327.9 -1167749.
-178.0954 -9389.984
Error Correction: DJII
DDJIM DFHSI
DLNEXRATE DCPI
DLNM2 DBIR
CointEq1 -0.729243
2.034162 5.020163
0.000754 4.22E-05
-0.000152 0.001075
0.28311 0.94833
4.95473 0.00040
0.00678 0.00013
0.00121 [-2.57584]
[ 2.14499] [ 1.01321]
[ 1.87884] [ 0.00622]
[-1.19810] [ 0.89120]
ϳϯ
CointEq2 -0.082468 -0.777978
0.839380 -0.000223
-0.002508 -0.000134
0.000890 0.09369
0.31383 1.63969
0.00013 0.00224
4.2E-05 0.00040
[-0.88021] [-2.47894] [ 0.51191] [-1.67720] [-1.11790] [-3.19713] [
2.22854] CointEq3
0.049090 0.194928
-0.822120 -5.98E-05
0.001793 1.86E-05
-0.000153 0.02846
0.09532 0.49801
4.0E-05 0.00068
1.3E-05 0.00012
[ 1.72513] [ 2.04502]
[-1.65081] [-1.48157]
[ 2.63219] [ 1.46243]
[-1.26044] CointEq4 -183.6478
-338.1076 7272.966
-0.169685 -7.936923
-0.253692 2.319631
225.302 754.691
3943.03 0.31943
5.39438 0.10078
0.95991 [-0.81512] [-0.44801] [
1.84451] [-0.53122] [-1.47133] [-2.51729] [ 2.41652]
CointEq5 3.351629
-12.68080 -56.26350
0.016720 -0.084817
0.003662 -0.059898
4.07884 13.6629
71.3842 0.00578
0.09766 0.00182
0.01738 [ 0.82171]
[-0.92812] [-0.78818]
[ 2.89135] [-0.86850]
[ 2.00732] [-3.44677]
DJII-1 0.113048
-0.056224 -9.427329
-0.001103 -0.001689
-9.87E-05 -0.002396
0.27739 0.92919
4.85472 0.00039
0.00664 0.00012
0.00118 [
0.40753] [-0.06051] [-1.94189] [-2.80523] [-0.25435] [-0.79527] [-2.02736] DJII-2
0.507798 -1.632214 -7.433803 -0.000484 -0.000393 -0.000142 -0.001183 0.34360
1.15095 6.01336
0.00049 0.00823
0.00015 0.00146
[ 1.47788] [-1.41814] [-1.23621] [-0.99359] [-0.04780] [-0.92552] [-0.80795]
DJII-3 0.409688
-1.755734 0.501920
-0.000190 -0.008055
-4.68E-05 -0.001711
0.25869 0.86653
4.52734 0.00037
0.00619 0.00012
0.00110 [
1.58371] [-2.02617] [ 0.11086] [-0.51904] [-1.30049] [-0.40445] [-1.55239]
DJII-4 -0.163479 -2.092590
-4.420700 0.000429
-0.013352 -0.000203
-0.000432 0.25000
0.83742 4.37525
0.00035 0.00599
0.00011 0.00107
[-0.65392] [-2.49886] [-1.01039] [ 1.21081] [-2.23061] [-1.81949] [-0.40541]
DDJIM-1 0.073831
0.248856 -1.088002
4.82E-05 0.002027
0.000106 -0.000618
0.07715 0.25841
1.35013 0.00011
0.00185 3.5E-05
0.00033 [ 0.95704]
[ 0.96301] [-0.80585]
[ 0.44027] [ 1.09740]
[ 3.07844] [-1.88104]
DDJIM-2 0.162504
0.405537 -0.934890
-0.000113 0.000339
9.63E-05 -0.000612
0.08416 0.28193
1.47298 0.00012
0.00202 3.8E-05
0.00036 [ 1.93078]
[ 1.43845] [-0.63469]
[-0.94354] [ 0.16815]
[ 2.55748] [-1.70708]