Movements of Islamic Stock Indices in Selected OIC Countries

This study reviews the movement of Islamic stock indices in selected countries in the Organization of Islamic Cooperation (OIC) with high number of muslim population namely Indonesia, Malaysia, Turkey, Qatar, Bahrain, and Oman. The objectives are to examine the changes in cross market linkage among six selected OIC countries during crisis and after 2007 crisis and to analyze whether the international investor can gain benefit when allocating their funds across these markets. The set of relationship for each pair of Islamic stock index is analyzed using Engel-Granger (1987) and Autoregressive Distribution Lagged (ARDL) bound testing approach. The analysis is made for the sub period during crisis is 3 September 2007 – 11 January 2010 and post crisis is 18 January 2010 – 30 April 2013. The result depicts that there are evidences of cointegration among the Islamic stock markets after crisis but not during crisis. The long-run relationship indicates that investors can gain portfolio diversification benefit across these six countries.