Muhammad Rizky Prima Sakti, Muhammad Rizky Prima
Kulliyah of Economic and Management Sciences IIUM

Published : 6 Documents
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Testing the conditional correlations and volatility spillovers between US and ASEAN Islamic stock markets: A Multivariate GARCH Analysis Sakti, Muhammad Rizky Prima
Global Review of Islamic Economics and Business Vol 2, No 1 (2014)
Publisher : Faculty of Islamic Economics and Business, State Islamic University Sunan Kalijaga

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1081.029 KB) | DOI: 10.14421/grieb.2014.021-03

Abstract

This study examines the conditional correlations and volatility spillovers between the US and ASEAN Islamic stock markets. The empirical design uses MSCI (Morgan Stanley Capital International) Islamic indexes as it adopted stringent restriction to include companies in sharia list. By using a three multivariate GARCH models (BEKK, diagonal VECH, and CCC model), we find evidence of returns and volatility spillovers from the US to the ASEAN Islamic stock markets. However, as the estimated time-varying conditional correlations and volatilities indicate there is still a room for diversification benefits, particularly in the single markets. The Islamic MSCI of Thailand, Indonesia, and Singapore are less correlate to the US MSCI Islamic index. The implication is that foreign investors may benefit from the reduction of risk by adding the Islamic stocks in those countries.
Relationship between Islamic Stock Prices and Macroeconomic Variables: Evidence from Jakarta Stock Exchange Islamic Index Sakti, Muhammad Rizky Prima; Harun, MD. Yousuf
Global Review of Islamic Economics and Business Vol 1, No 1 (2013)
Publisher : Faculty of Islamic Economics and Business, State Islamic University Sunan Kalijaga

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (550.555 KB) | DOI: 10.14421/grieb.2013.011-06

Abstract

This paper attempts to analyze the relationship between Jakarta Stock Exchange Islamic Index (JII) and selected macroeconomic variables namely exchange rate, industrial production, inflation rate, and money supply. We used monthly data from January 2000 toDecember 2010.The methodology used in this paper is time series techniques of co-integration and vector autoregression (VAR). In the analysis, we rely on variance decompositions and impulse-response functions to capture the strength of interactions among variables. The results revealed that there is co-integration between Islamic stock prices and macroeconomic variables. Specifically, Indonesian Islamic stock market are driven more by domestic factors. These macroeconomic factors considered to be emphasized as the policy instruments by the governments in order to stabilize Islamic stock prices.
Indonesian Capital Market Efficiency: Islamic vis-a-vis Conventional Qoyum, Abdul; Mardiya, Milzamulhaq; Sakti, Muhammad Rizky Prima
Shirkah: Journal of Economics and Business Vol 2, No 3 (2017)
Publisher : Faculty of Islamic Economics and Business, Institut Agama Islam Negeri (IAIN) Surakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (437.989 KB) | DOI: 10.22515/shirkah.v2i3.171

Abstract

Capital market efficiency is one of the most important part in finance theory, in which assume the price of stock will fully reflect the information available in the market, hence the price will adjust directly and quickly. The objective of this study is to evaluate the efficiency of both Islamic and conventional stock markets, particularly in case of Indonesia. Event study of King Salman Visit in Indonesia was used as testing periods. Abnormal return and average abnormal trading volume activity of 30 companies listed in Jakarta Islamic Index (JII) to represent Islamic capital market and 17 companies listed in LQ45 to represent conventional capital market were employed to explain this issue. The result shows that from abnormal return perspectives both Islamic and conventional capital market are efficient. While from abnormal trading volume activities, shows that during the visit of King Salman, the trading activity in Islamic capital market is increased significantly rather than conventional counterpart. Keywords: Islamic capital market, capital market efficiency, abnormal return and abnormal trading volume activity 
DETERMINANTS OF CASH WAQF CONTRIBUTION IN KLANG VALLEY AND SELANGOR: A SEM APPROACH Sakti, Muhammad Rizky Prima; bin Mohd Thas Thaker, Hassanuddin; Qoyum, Abdul; Qizam, Ibnu
Journal of Islamic Monetary Economics and Finance Vol 2 No 1 (2016): AUGUST
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (5962.801 KB) | DOI: 10.21098/jimf.v2i1.593

Abstract

Cash waqf is becoming one of the popular Islamic financial instruments which not only focus on the religiosity but also has significant impact to the ummah development. This waqf scheme does not require richness in wealth, yet everybody in the society can contribute to cash waqf. The importance of cash waqf is getting popular as it has benefited in many ways, for example it can be used to develop assets and abandoned land for business and agricultural purposes. In addition, cash waqf also can be utilized to help institutions who are facing financial problem or liquidity issues. Nonetheless, rarely we found in the literature that empirically examines the cash waqf determinants and contributions. This paper is one of the few empirical studies that investigate the determinants towards the contribution of cash waqf in Malaysia. The purpose of this paper is to investigate the main factors that influence people towards the contribution of cash waqf instruments, special reference to the Klang Valley and Selangor. This paper employs structural equation modeling (SEM) to verify the determinants of cash waqf contribution. In doing so, we use primary data by distributing self-administrated questionnaire constituting a sample of 114 respondents from Klang Valley and Selangor. Our empirical results reveal that the main factors that driven people towards the contribution of cash waqf products are attitude and social influences, however interestingly religion obligation is not influence the contribution of cash waqf.  
PROCYCLICALITY AND BANK LENDING BEHAVIOR IN INDONESIA: THE CASE OF DUAL BANKING SYSTEM Sakti, Muhammad Rizky Prima; Zulkhibri, Mohamed
Journal of Islamic Monetary Economics and Finance Vol 4 No 1 (2018): AUGUST
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (439.861 KB) | DOI: 10.21098/jimf.v4i1.921

Abstract

It is widely suggested in the literature that procyclicality of bank lending behavior may lead to financial instability. This study examines bank-lending channel over the business cycle for Indonesian dual banking system by ascertaining to what extent Islamic banks have a role in the credit smoothing. In this context, we utilize Indonesian dual banking system unbalanced panel data for the period 2001-2015. By employing two-step dynamic GMM estimators, the study shows that the bank lending behaviour are procyclical. However, when we categorize the lending behaviour into conventional and Islamic banks, the cyclicality of bank lending affects only for conventional banks. As for the Islamic banks, the business cycle does not affect their financing decision. Specifically, large Islamic banks are more counter-cyclical in their financing behavior than small and medium size Islamic banks. Robustness tests using different measures of loans and model specifications confirm the results that Islamic bank is more stable and less procyclical in the case of Indonesia banking system.
Testing The Warrants Mispricing and Their Determinants: The Panel Data Models Sakti, Muhammad Rizky Prima; Qoyum, Abdul
Global Review of Islamic Economics and Business Vol 5, No 2 (2017)
Publisher : Faculty of Islamic Economics and Business, State Islamic University Sunan Kalijaga

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (742.061 KB) | DOI: 10.14421/grieb.2017.052-05

Abstract

This paper empirically studied the impact of several variables such as moneyness, stock return, maturity, and volatility on the warrant mispricing. We selected 4 companies listed in Bursa Malaysia such as MHC Plantations Bhd, MKH Bhd, YFG Bhd, and UNISEM to investigate the mispricing of warrants. Subsequently, panel time series data employed with daily basis from 30 June 2010 until 30 June 2013. The Black-Scholes Option Pricing Model (BSOPM) used to determine the mispricing of warrant. Several panel data techniques employed in this study such as pooled-OLS, fixed effect model (FEM), and random effect model (REM). In turn, we found that FEM is well explained the determinants of warrant mispricing. Thus, empirical results suggest that moneyness, maturity, and volatility are positively and significantly explained the mispricing of warrant, while stock return does not give an impact toward the warrant mispricing. The BSOPM is consistently mispricing the warrant either in-the-money (ITM) or out-the money (OTM) warrants. The market is not efficient on the warrants traded for four companies observed