Title: from
Southeast
Asia

Authors :

1. Sylva
Alif Rusmita
2.
Lina Nugraha Rani
3 Times Stock Exchange; Hijra Index; Jakarta Composite Index; Jakarta Islamic Index; Volatility Index Abstract
This paper is aimed to explore the Co-Movement Capital Market in Southeast Asia and Analysis of the Correlation of Conventional and Islamic Index in the Regional and Global Equity. This Research Become Necessary to Represent The Risk on the Capital Market and Measure Market Performance, As Investor Concsiders the Volatility Before Investing. The Time Series Daily Data Use from April 2012 to April 2020 Both Conventional and Islamic Stock Index in Malaysia and Indonesia. This paper examines the dynamics of conditional volatilities and correllations between those markets by using multivariate generalized autoregressive Conditional heteroscedasticity (MGarch). Our result shows that conventional or composite index in Malaysia less volatile than Islamic, but on the other hand, both drive correllation movement. The other output captures that Islamic index in Indonesian capital market more gradual volatilities than the composite index that tend to be low in risk so that investors intend to keep the shares. Generally, the result show a correllation in each country for conventional and the Islamic index. Howver, Internationally Indonesia and Malaysia Composite and Islamic is Low Correlated. Regionally Indonesia's indices movement look to be more correlated and it's similar to Malaysian capital market counterparts. In the Global Market Distress Condition, The Diversification Portfolio between Indonesia and Malaysia Does Not Give Many Benefits.
For details: https://doi.org/10.13106/jafeb.2020.vol7.No11.117