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"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."

"This study examines the performances of two Real Estate Investment Trust (REITs) structure inMalaysian capital market by comparing the Dividend Yield (DY), Distribution per Unit (DU), Netasset Value (NAV), and Earning per Unit (EU) of shariah (iREITs) and conventional (cREITs) REITsfrom Malaysia perspective. The secondary data are retrieved from Bloomberg's Database for 13listed REITs in the Bursa Malaysia main board for a five-year period from 2009 to 2013 with yearlyobservation. Applying One Way-Anova analysis, an Independent Sample Kruskal-Wallis Test is usedto determine any differences in the performance of the two REITs structure. The results provide evidenceindicating that the two structures had distinctive and significantly different performances. Italso indicates the better performance of iREITs compared to cREITs. The results of this study areuseful to provide additional evidence towards the viable of Islamic funds as a significant initiative tobroaden and deepen the product base of Islamic capital market in Malaysia."

"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."

"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."

"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 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."

"A dividend decision of a firm is an outcome of various considerations. These considerations differacross time and industry. Based on asymetric information – agency theory thought, this study re-examinesvarious variables that have a bearing on the dividend decision of a firm. In addition to examiningthe impact of corporate fundamentals on dividend policy, this study also analyzes the effect ofexpropriation trigger variables (family ownership, cash funds, the level of diversification and RelatedParty Transaction/RPT) on a dividend policy. The results of panel logistic regression indicate thatCash Funds, RPT, Profitability, Size, Growth, Debt and Macroecomics variables are the determinantsof the dividend policy for Indonesian listed public companies, observed during 2002 to 2010."

"The purpose of this study is to examine the effectiveness of linkage program between Islamic Banking (IB) and Baitul Maal Wat Tamwil (BMT) on BMT financing growth and profitability. This study also aims to compare three linkage models and to explore the keys factors that affect the implementation of linkage program. To achieve these objectives, both quantitative and qualitative research methods are employed. The dataset consists of the financial statement of 26 BMT in Indonesia and interviews with 12 managers of BMT and IB in Jakarta. The findings suggest that a synergy between IB and BMT through linkage program has significant impact on BMT financing growth and BMT ROE. Among three linkage models, executing model appears to be the most preferable model, both by BMT and IB. The finding also suggests that internal and external factors at BMT level have impacts on the effectiveness of linkage program."

"This paper is motivated by the fact that emerging market assets size has been expanding and tryingto use sovereign debt market as part of capital market as main research focus. It is highlightingthe distinction between default and non-default determinants and examining their significance inexplaining emerging market sovereign bond yield spread. Using Cross-Sectional Fixed-Effect PanelEstimator, we found that both default (as proxied by Credit Rating and Outlook Index) and non-default(as proxied by 3-month Fed Funds Futures) determinants has significant explanatory power tosovereign bond yield spread. Extensively, we also found the significance to add volatility of 3-monthFed Funds Futures and Fed Target Rate basis and volatility of advanced stock markets as variablesto stand for non-default determinants in the model. The significance of the latter model is strengthenedby higher forecasting as well as indicates the significant role of US market to emerging marketsovereign bond market."

"This study develops a model of expropriation through real earnings management (REM) in theIndonesian Islamic banking industry. The purpose of this study is to test a new model by examiningthe relationship between REM, bank ownership types, and performance of Islamic banks in Indonesiain the period of 2006 - 2013. This study finds that there are significant differences in REM andperformance scores in banks with different ownership types. The REM and performance scores forfamily-owned banks and private-owned banks are relatively similar. However, Islamic banks withgovernment as the controlling shareholder have the highest REM scores and the lowest performancescores. In contrast, foreign-owned banks have the lowest REM scores and the highest performancescores. The indications of expropriation can be seen from the magnitude of REM. A high REM canlower profitability and efficiency while increasing the risks faced by Islamic banks in Indonesia."