The Speculative Bubble in Indonesian Islamic Capital Market

Abstract

Abstract---The application of the Islamic capital market in Indonesia applies the principles of Islamic capital participation not to be realized in the form of sharia or non-sharia shares, but rather in the form of a stock index that meets the principles of sharia. Screening companies through methods applied by authority agencies actually cannot avoid speculative actions that cause speculative bubbles. This research intended to examine the speculative bubble activities in the Indonesian Islamic capital market. To get data needed, this study used the 2008-2012 data, for 66 sample companies listed on the Syariah Securities List (DES). After data gathered, it was analyzed, using the explanatory approach to test the relationship between variables or to find out whether a variable is associated with other variables. The results of the research prove that the existence of bubble speculation on the Islamic stock market in the fast period can be seen from the proven bubble speculative in the 3-day period both in the test of different t sample samples and in the Augmented Dickey-Fuller Test (ADF Test). Therefore, the researcher recommends the importance of making regulation of the period of holding shares in the Islamic capital market. That the minimum limit of 7 days is the relevant period for holding shares so as not to cause speculative changes in the Islamic capital market.