Analysis of relationships between Malaysia's Islamic and conventional stock markets using wavelet techniques

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

A better understanding on the behavior of stock markets and their co-movement is obliged for investors and a country to diversify their investment risk. This study looks at Malaysia's Islamic and conventional stock market indices and their relationship through Continuous Wavelet Transform and Wavelet Coherent methods. The analysis shows that both stock markets are strongly correlated. The wavelet power spectrum shows that both stock markets have almost similar pattern and behavior throughout the observed period especially at higher scale. The wavelet coherence reveals that the relationship between both stock markets is highly dependence. This study shows that the contour plot of the wavelet coherence could be used to reveal some disagreement between both stock markets.

Original languageEnglish
Title of host publication2018 UKM FST Postgraduate Colloquium
Subtitle of host publicationProceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium
EditorsNoor Hayati Ahmad Rasol, Kamarulzaman Ibrahim, Siti Aishah Hasbullah, Mohammad Hafizuddin Hj. Jumali, Nazlina Ibrahim, Marlia Mohd Hanafiah, Mohd Talib Latif
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735418431
DOIs
Publication statusPublished - 27 Jun 2019
Event2018 UKM FST Postgraduate Colloquium - Selangor, Malaysia
Duration: 4 Apr 20186 Apr 2018

Publication series

NameAIP Conference Proceedings
Volume2111
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference2018 UKM FST Postgraduate Colloquium
CountryMalaysia
CitySelangor
Period4/4/186/4/18

Fingerprint

stock exchange
Malaysia
stock market
wavelet
wavelet analysis
power spectra
plots
methodology
analysis
transform

ASJC Scopus subject areas

  • Ecology, Evolution, Behavior and Systematics
  • Ecology
  • Plant Science
  • Physics and Astronomy(all)
  • Nature and Landscape Conservation

Cite this

Mohammed, S. A., Abu Bakar, M. A., & Mohd Ariff, N. (2019). Analysis of relationships between Malaysia's Islamic and conventional stock markets using wavelet techniques. In N. H. A. Rasol, K. Ibrahim, S. A. Hasbullah, M. H. H. Jumali, N. Ibrahim, M. M. Hanafiah, & M. T. Latif (Eds.), 2018 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium [020018] (AIP Conference Proceedings; Vol. 2111). American Institute of Physics Inc.. https://doi.org/10.1063/1.5111225

Analysis of relationships between Malaysia's Islamic and conventional stock markets using wavelet techniques. / Mohammed, Siti Aisyah; Abu Bakar, Mohd Aftar; Mohd Ariff, Noratiqah.

2018 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium. ed. / Noor Hayati Ahmad Rasol; Kamarulzaman Ibrahim; Siti Aishah Hasbullah; Mohammad Hafizuddin Hj. Jumali; Nazlina Ibrahim; Marlia Mohd Hanafiah; Mohd Talib Latif. American Institute of Physics Inc., 2019. 020018 (AIP Conference Proceedings; Vol. 2111).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Mohammed, SA, Abu Bakar, MA & Mohd Ariff, N 2019, Analysis of relationships between Malaysia's Islamic and conventional stock markets using wavelet techniques. in NHA Rasol, K Ibrahim, SA Hasbullah, MHH Jumali, N Ibrahim, MM Hanafiah & MT Latif (eds), 2018 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium., 020018, AIP Conference Proceedings, vol. 2111, American Institute of Physics Inc., 2018 UKM FST Postgraduate Colloquium, Selangor, Malaysia, 4/4/18. https://doi.org/10.1063/1.5111225
Mohammed SA, Abu Bakar MA, Mohd Ariff N. Analysis of relationships between Malaysia's Islamic and conventional stock markets using wavelet techniques. In Rasol NHA, Ibrahim K, Hasbullah SA, Jumali MHH, Ibrahim N, Hanafiah MM, Latif MT, editors, 2018 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium. American Institute of Physics Inc. 2019. 020018. (AIP Conference Proceedings). https://doi.org/10.1063/1.5111225
Mohammed, Siti Aisyah ; Abu Bakar, Mohd Aftar ; Mohd Ariff, Noratiqah. / Analysis of relationships between Malaysia's Islamic and conventional stock markets using wavelet techniques. 2018 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium. editor / Noor Hayati Ahmad Rasol ; Kamarulzaman Ibrahim ; Siti Aishah Hasbullah ; Mohammad Hafizuddin Hj. Jumali ; Nazlina Ibrahim ; Marlia Mohd Hanafiah ; Mohd Talib Latif. American Institute of Physics Inc., 2019. (AIP Conference Proceedings).
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