To read this content please select one of the options below:

Islamic index market sentiment: evidence from the ASEAN market

Nevi Danila (Department of Finance, College of Business Administration, Prince Sultan University, Riyadh, Saudi Arabia)
Kamilah Kamaludin (Department of Accounting, Prince Sultan University, Riyadh, Saudi Arabia)
Sheela Sundarasen (Prince Sultan University, Riyadh, Saudi Arabia)
Bunyamin Bunyamin (STIE Malangkucecwara, Malang, Indonesia)

Journal of Islamic Accounting and Business Research

ISSN: 1759-0817

Article publication date: 17 May 2021

Issue publication date: 21 June 2021




The purpose of this paper is to examine investor sentiment by measuring the impact of market sentiment shocks on the volatility of the Islamic stock index of five ASEAN countries, with noise traders as a proxy for market sentiment.


The GJR-GARCH model is used to capture the empirically observed fact that negative shocks in the past period have a stronger impact on variance than positive shocks in the present.


All five ASEAN Islamic stock indices show clustering volatility. However, only three countries, namely, Malaysia, Thailand and Singapore, demonstrate leverage effects. In addition, the effect of market sentiment on Islamic stock index returns is observed in the Indonesian and Malaysian markets, which are the two largest Islamic markets with a dominant Muslim population in the ASEAN. This finding implies that the trading behaviours of Muslim investors in the Shariah market are the same as their behaviours in the conventional market, that is, nonadherence to the Sunnah.

Practical implications

Whilst establishing investment strategies, creating portfolios and providing client-advisory services, investors and fund managers should factor in the presence of market sentiment and its impact on stock performance and volatility. In addition, a capital market system preventing rumour-based transactions is compelling.

Social implications

In some markets, the Islamic financial products awareness should be increased through education to attract increased domestic investors with the potential to boost growth in the Islamic stock market.


Investigation market sentiment impacts on the Islamic stock index using noise traders as a proxy.



Danila, N., Kamaludin, K., Sundarasen, S. and Bunyamin, B. (2021), "Islamic index market sentiment: evidence from the ASEAN market", Journal of Islamic Accounting and Business Research, Vol. 12 No. 3, pp. 380-400.



Emerald Publishing Limited

Copyright © 2021, Emerald Publishing Limited

Related articles