The capital market is a company tool to increase long-term funding needs by selling shares and issuing bonds. A measurement tool for calculating trading volume is trading volume activity (TVA). The purpose of this study is to examine the effect of dividend announcements, capital gains and exchange rates on trading volume activity (TVA) on Islamic stocks listed on JII in 2015 to 2018. This study uses eight Islamic shares, namely ADRO, ASII, INDF, LPFF, PGAS, PTBA, SMRA and UNTR. The data in this study were obtained through an annual report from the IDX website. Based on paired differences test shows that in 2105, 2016 and 2017 there were no significant TVA differences between before and after dividend announcements, whereas in 2018 there were significant TVA differences between before and after dividend announcements. The panel data regression analysis results showed that the capital gain variable has no effect on TVA, while the exchange rate variable has a positive and significant effect on TVA.Keywords: Trading Volume Activity, Dividen Announcements, Capital Gain, Kurs
Purpose: Analyzing stock price is very necessary to identify the overall price of the stock index, which the market players have various options and references to invest their money in the profitable securities portfolio. Based on the reason, the aim of this study is to examine the Islamic stock price movement in several Muslim countries joined in the Islamic Conference Organization (IOC). Theoretical Framework: This study refers to the theoretical framework that the integrated capital market can help everyone in analyzing the quality and quantity of the Islamic stock price movement, including its challenges and opportunity in the context of investment risk management. Design/Methodology/Approach: This research uses a descriptive-analytical method and comparative approach to examine the tends of Islamic stock price movement in six Muslim countries from the period January 2010 to December 2019, namely JII-Indonesia, DJIMY-Malaysia, DJTR-Turkey, DJIMKW-Kuwait, TDWL-Saudi Arabia, and QEAR-Qatar, which are analyzed quantitatively, statistically, and deductively. Findings: The results of the research show that the co-integrated of Islamic Stock Index are JII-Indonesia with DJIMY-Malaysia, JII-Indonesia and DJIMKW-Kuwait, DJIMY-Malaysia with DJIMKW-Kuwait, DJTR-Turkey with DJIMKW-Kuwait, QEAR-Qatar with DJIMKW-Kuwait. The Islamic stock index pairs confirmed through the VAR and VECM tests are only DJIMY-Malaysia with QEAR-Qatar, DJIMY-Malaysia with DJIMKW-Kuwait, and TDWL-Saudi Arabia with QEAR-Qatar. Research, Practical & Social Implications: This study becomes one example of the practical analysis of Islamic Stock Market movements that can be used to the stock market players in taking the consideration and decision for the investment in capital market. Originality/Value: This result of this study is originally limited in the Islamic stock index in six Muslim countries such as Indonesia, Malaysia, Turkey, Saudi Arabia, Qatar, and Kuwait. However, this can be explored more comprehensively in the same or various research objective by the other researchers.
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