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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."