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Study on sharia stocks exchange takes an important place and consideration since transactions and financial activities within a stocks exchange market will determine the mode of market itself and will have impact on economic activities in a country where the market is established. This paper is mainly focused to oversee sharia stocks exchanges in Indonesia, United States, Saudi Arabia, and Malaysia using efficient market hypothesis (EHM) method. Data used in this study were collected from monthly sharia stocks exchanges index from 2005:1 to 2008:11. There are three types of market in EHM method, i.e. weak, least-strong, and strong market. Econometric test procedures used in this study involve data stationery and Granger causality tests. Data stationery test indicates that all variables are stationer at first difference, I(1). It implies that sharia stocks exchanges in Indonesia, United States, and Malaysia tend to be weak, while in Saudi Arabia it tends to be least-strong.

Keywords: sharia stocks price index, efficient market hypothesis

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