INTEGRASI SAHAM SYARIAH MALAYSIA, CHINA, DAN JEPANG PADA INDEKS HARGA PASAR MODAL SYARIAH INDONESIA (PERIODE 2012 –2018)

This research was conducted to find out how much influence the integration of Malaysian, Chinese and Japanese sharia shares into the Indonesian Islamic Stock Index. This study applies the Vector Autoregressive (VAR) / Vector Error Correction Model (VECM) method and monthly index data starting from 2012 - 2018. The purpose of this study is to determine the extent of causality, long-term relationships and how much contribution between Dow Jones Islamic World Malaysia Index (DJMY), Dow Jones Chinese Islamic Market (DJICH), Dow Jones Islamic Market Japan Index (DJIJP) against Indonesian Sharia Stock Index (ISSI). The results of the study indicate the existence of a causal relationship between all Islamic stocks against the Indonesian Islamic Stock Index. Based on the cointegration analysis, Malaysian sharia shares have a long-term relationship with the Indonesian Sharia Stock Index of 0.014%. And based on the Variance Decomposition analysis the highest contribution given by China in period 3 was 31.37%, Japan in period 5 was 20.63% and Malaysia in the 6th period was 24.70%