Judul: The Integration of Islamic Stock Market in the OIC Countries at the Event of China Stock Market Crash and US-China Trade War
Abstrak: Globalisasi mengubah sistem ekonomi dan keuangan dunia semakin terintegrasi. Hal ini dapat memicu guncangan pada pasar saham syariah dan mengurangi manfaat diversifikasi bagi investor. Tujuan penelitian ini menganalisis integrasi dan respon pasar saham syariah negara-negara OKI sebelum terjadi krisis, saat terjadi krisis pasar saham Tiongkok tahun 2015, dan saat terjadi perang dagang Amerika Serikat-Tiongkok tahun 2018-2019 dengan metode Autoregressive Distributed Lag (ARDL). Hasil penelitian menunjukkan bahwa tidak terdapat kointegrasi atau hubungan jangka panjang pada semua pasar saham syariah negara-negara anggota OKI pada periode sebelum krisis pasar saham Tiongkok. Akan tetapi, pada periode krisis pasar saham Tiongkok dan perang dagang Amerika Serikat-Tiongkok, integrasi antar pasar saham syariah di negara OKI lebih banyak ditemukan. Pasar saham syariah Qatar, Arab Saudi dan UAE mengalami efek domino dari fluktuasi harga minyak bumi karena Tiongkok dan Amerika Serikat merupakan konsumen terbesar minyak bumi. Kemudian, pasar saham syariah Indonesia dalam dua periode krisis memiliki hubungan jangka panjang dengan pasar saham Amerika Serikat dan Tiongkok. Sedangkan pasar saham syariah Malaysia dan Bangladesh hanya memiliki hubungan jangka panjang dengan pasar saham Amerika Serikat. Dalam hal manfaat diversifikasi portofolio bagi investor, terdapat relevansi kekuatan ekonomi yang dominan, faktor geografis, dan hubungan perdagangan dalam mempengaruhi integrasi pasar saham syariah., Globalization has encouraged the increasing integration of economic and financial system in the world, including the Islamic financial market. This integration could trigger shocks on the Islamic stock market and reduce the benefits of diversification. This study aimed to analyze the integration and responses of Islamic stock market in the selected OIC countries before and during the event of China stock market crash in 2015 and the trade war of United States and China between 2018 and 2019. By employing Autoregressive Distributed Lag (ARDL) method, the results showed that there was no co-integration found for all selected Islamic stock markets in the period before the China stock market crisis. However, during the period of China stock market crisis and the United States-China trade war, the co-integration was more common. This study found that the Islamic stock market of Qatar, Saudi Arabia and UAE have experienced a domino effect from fluctuations in crude oil prices. Besides, this study also discovered a long-run relationship between the Indonesian Islamic stock market, the US and China stock markets during the two events. Whereas the Malaysian and Bangladesh Islamic stock markets have only a long-run relationship with the US stock market. Regarding the benefits of portfolio diversification for investors, the findings of this study confirmed the relevance of the dominance of economic, geographic and trade relations towards the integration of Islamic stock market.
Keyword: Market Integration, Islamic Stocks, China Stock Market Crash, US-China Trade War, ARDL