Jaja Suteja, Andre Suryaningprang, Elvira Zein
The purpose of this study is to obtain empirical evidence of whether or not there is a co-integration of the Islamic stock market in Indonesia, Malaysia and Singapore, both before and during the crisis of Greek. This study also wants to find out which country is the most influential on the volatility of Islamic stock prices in the Jakarta Islamic Index (JII). In this study secondary data applied during the observation period is using weekly closing stock price data from 2007 to 2013. Furthermore, the data is divided into two categories of observation: pre-crisis data and crisis period data. The pre-crisis period began in May 2007 to April 2010, and the crisis period began in May 2010 to January 2013. The analytical method used was Vector Error Correction Model (VECM) with innovation accounting in the form of Impulse Response Function (IRF) and Forecasting Error Variance Decomposition (FEVD). The result shows that there is no co-integration in the capital market in the research sample. However, the results of the study prove that there is a contagion effect on sharia stock price movements in these three countries. This study also shows that Singapore's sharia stock market dominates its influence on JII compared to Malaysia.