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"Shari’ah stock market is also affected by many highly interrelated economic, social, political andother factor, same as the conventional stock market, the interaction between macroeconomic variablesand Shari’ah stock market creating volatility in the stock price as a response towards severalshocks. The sensitivity of Shari’ah stock market towards shocks happened related with the futureexpectation of micro and macro factor in one country which can be predict or unpredictable.There are six macroeconomic variables that used in this research; inflation, exchange rate, interestrate, dow jones index, crude oil palm price, and FED rate. Using vector error correction model(VECM), the result shows that domestic macroeconomic variables that significantly affect IndonesiaShari’ah compliance for long term, while for international macroeconomic variables the selectedvariable such as FED rate and Dow Jones Index are not significantly affected Indonesia Shari’ahcompliance both in short term and long term."

"This paper investigates the existence of two anomalies in Indonesia and Malaysia Shari’ah compliance;the month of the year and pre-holiday effect, and their implication for stock market efficiency.Investing in Shari’ah compliant is different from investing in conventional stock. Conventional stockmarket follows the capital market set of rules and law, while Shari’ah follows not only the capitalmarket set of laws but also the Islamic principles. Most of the previous studies investigated issuesrelated to conventional stock market, this study take one step further by investigating issue relatedto Shari’ah compliant instrument and make comparison between both Shari’ah compliance stockmarket in Indonesia and Malaysia. We document high and significant returns in month and predayin Indonesia and Malaysia stock market that represent by the Shari’ah compliance. Our resultindicate that the month of the year effect is prevalent in Indonesia and Malaysia Shari’ah compliance."

"Following the blueprint of the ASEAN integration 2015, the integration of the financial marketsin this region will increase. This study investigates the existence of a volatility spillover from the Singaporeanstock market into Indonesia, including its transmission pattern. Singapore, as an advancedcountry in the ASEAN region, has played an important role as the information leader in the market ofthis region, so that it is very possible that the shocks in the Singapore?s stock market will be transmittedto another stock market in this region. Using TGARCH (1,1) model specification regarding thedata of the daily return of the Indonesia market index (IHSG) for the period of January 2008 ? August2012, it is observed that the shock that took place in the Singapore stock market is immediately transmittedto the Indonesia stock market with two important asymmetric patterns. The transmission ofthe shock from the Singapore stock exchange becomes stronger when this market (1) experiences anegative return, and (2) is in the bearish phase."

"This study examines the effect of Islamic screening criteria on Shari’ah-compliant portfolio selectionand performance compared to Socially Responsible Investment (SRI) portfolio. Each portfolioconstructed from 15 stocks based on FTSE 100 using data from year 1997. Mean-variance portfoliooptimization is employed with some financial ratios added as constraints for the Shari’ah portfolio.Annual expected return of each portfolio from 2008 to 2013 is used to calculate Sharpe’s ratio,Treynor ratio and Jensen’s alpha as the performance measurement tools. Macroeconomic variablesare assessed using ordinary least square to examine whether they influence the portfolios’ expectedreturns or not. The result finds that Shari’ah portfolio has a better performance than SRI from year2008 to 2010 shown by higher value of the measurement tools. However, from 2011 to 2013, SRI portfoliohas better performance than Shari’ah portfolio."

"This article contributes to country specific result on the responses of sector stock indices to crudeoil price changes. Using linear and asymmetric models and by studying the association of crude oiland stock price, this article aims to explain about the short-term responses of Indonesian sector stockindices to crude oil price changes. Besides, we also try to figure out whether there are asymmetricresponses within. Our findings suggest that the strength and the sensitivity of this association varyacross sectors, and the effects are positive for all sectors. We also find strong significance of asymmetryreactions for Agriculture and Consumer Goods sector stock returns due to changes in crudeoil price."

"The Indonesia Stock Exchange has really concerned about improving stock market quality thesedays. One of its effort is implementing pre-closing trading session. It refers to Decision of the Boardof Directors of The Indonesia Stock Exchange Number Kep-00399/BEI/11-2012, regarding Amendmentto Rule Number II-A concerning Equity-Type Securities Trading. The rule is effective on 2ndJanuary 2013 and Indonesia Stock Exchange has implemented it since that date. The purposes ofpre-closing implementation are to mitigate marking the close, which is the practice of buying securityat the very end of the trading day at a significantly higher price than the current price of the security,and to improve market quality. This paper attempts to veryfy whether the impact of pre-closing implementationto price efficiency is positive or not. The result shows that the pre-closing implementationhas positive impact to price efficiency. It reduces the return volatility and market manipulation at theclosing time which also means that the pre-closing implementation has effectively improved marketquality in the Indonesia Stock Exchange."

"This paper studies the impact of the stock market continuity on the returns volatility and on themarket efficiency in the Casablanca Stock Exchange. For the most active stocks, the trading mechanismused is the continuous market which is preceded by a call market pre opening session. Resultsobtained concerning return volatility and efficiency under the two trading mechanisms show that thecontinuous market returns are more volatile than the call market returns and 50% of stocks studiedshow independence between variations."

"The purpose of this study is to evaluate performance and volatility of Islamic and conventionalstock indices along with their determinant factor variables in Indonesia. The study adopts: (1) CapitalAsset Pricing Model (CAPM) to compare the performance of the Jakarta Islamic Index (JII) torepresent Islamic index and LQ45 to represent the conventional, (2) beta calculation to measurevolatility, and (3) Autoregressive Distributed Lag (ARDL) to capture the determinants and the reasonbehind the outperformance. The data coverage is from January 2006 to November 2015. The studyfinds that: (1) There is no significant difference on performance between JII and LQ45, (2) JII is lessvolatile than LQ45, except in 2010, and (3) JII performance is less affected by external factorsexceptfor crude oil price. Moreover, the result implies challenge for the authorities to educate society, particularlywhom concern to shari?ah principles, with information that Islamic index performance isnot much difference from conventional index and less volatile."