Abstract:

The aim of this study is to learn about the price movements of stock indices, which are determined in accordance with the Islamic financial criteria of developed and developing countries. The study used monthly data from May 2002 to September 2018 as data, while the method was used by regression, variance ration test and running test. The study found that the expected return of the Indonesian Islamic Stock Exchange was the highest, and the most risky Islamic index consisted of Islamic companies operating in Turkey. In terms of the market timing ability of investors, investors in the Islamic Index in Britain and Indonesia have not been able to predict the market.

Abstract:

The purpose of the study is to obtain information about the price movements of stock indices which are composed of stocks determined in accordance with Islamic finance criteria of developed and developing countries. We use monthly data between May 2002 and September 2018 and also utilesed from regression analysis, variance ratio test and running test. In conclusion, we obtain that the expected return of Indonesian Islamic stock exchange is the highest and it was determined that the most risky Islamic index is composed of Islamic companies operating in Turkey. In terms of market timing capability of investors, it was determined that those who invested in the UK and Indonesia Islamic indices were not successful in predicting the market.

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