Open Journal Systems

The Indonesian Sharia Capital Market in Shock Covid-19: Global Market Interaction

Ahmad Habibi, Khavid Normasyhuri, Erike Anggraeni

Abstract

Covid-19 has caused problems, including the global Islamic capital market. The rapid and extraordinary development of Covid-19 has rocked sharia investment in Indonesia. This study looks at the interaction of the global Islamic stock market with the Indonesian Islamic stock market, namely the Jakarta Islamic Index (JII), in the Covid-19 shock. Data is collected from within the global Islamic capital market sourced from the Dow Jones Islamic Market World Index, and the Indonesian Islamic capital market is sourced from the Indonesia Stock Exchange (IDX). They are generalizing the research period carried out during the covid-19 period starting from March 2020 to November 2022. This research used several stages of the Cointegration Test, Granger Causality Test, IRF (Impulse Response Function) Test and Forecasting Error Variance Decomposition (FEVD) Test. The study results show that the global Islamic stock market has had a significant impact on the Indonesian Islamic stock market both in the short and long term in the era of the covid-19 shock.

Keywords

Covid-19; Islamic Stock Market; Shariah Index

References

Adekoya, O. B., Oliyide, J. A., & Tiwari, A. K. (2021). Risk transmissions between sectoral Islamic and conventional stock markets during COVID-19 pandemic: What matters more between actual COVID-19 occurrence and speculative and sentiment factors? Borsa Istanbul Review. https://doi.org/10.1016/j.bir.2021.06.002

Agustin, I. N. (2021). How does the impact of the COVID-19 pandemic on Indonesia’s Islamic stock returns? JEMA: Jurnal Ilmiah Bidang Akuntansi Dan Manajemen, 18(1), 21. https://doi.org/10.31106/jema.v18i1.9235

Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 100326. https://doi.org/10.1016/j.jbef.2020.100326

Ali, F., Jiang, Y., & Sensoy, A. (2021). Downside risk in Dow Jones Islamic equity indices: Precious metals and portfolio diversification before and after the COVID-19 bear market. Research in International Business and Finance, 58(July), 101502. https://doi.org/10.1016/j.ribaf.2021.101502

Aloui, C., Asadov, A., Al-kayed, L., Hkiri, B., & Danila, N. (2022). Impact of the COVID-19 outbreak and its related announcements on the Chinese conventional and Islamic stocks’ connectedness. North American Journal of Economics and Finance, 59(66833), 101585. https://doi.org/10.1016/j.najef.2021.101585

Ashraf, D., Rizwan, M. S., & Ahmad, G. (2022). Islamic equity investments and the COVID-19 pandemic. Pacific-Basin Finance Journal, 73(June 2021), 101765. https://doi.org/10.1016/j.pacfin.2022.101765

Aslam, F., Mohmand, Y. T., Ferreira, P., Memon, B. A., Khan, M., & Khan, M. (2020). Network analysis of global stock markets at the beginning of the coronavirus disease (Covid-19) outbreak. Borsa Istanbul Review, 20, S49–S61. https://doi.org/10.1016/j.bir.2020.09.003

Bahloul, S., & Khemakhem, I. (2021). Dynamic return and volatility connectedness between commodities and Islamic stock market indices. Resources Policy, 71(June 2020), 101993. https://doi.org/10.1016/j.resourpol.2021.101993

Bossman, A., Owusu Junior, P., & Tiwari, A. K. (2022). Dynamic connectedness and spillovers between Islamic and conventional stock markets: time- and frequency-domain approach in COVID-19 era. Heliyon, 8(4), e09215. https://doi.org/10.1016/j.heliyon.2022.e09215

Bugan, M. F., Cevik, E. I., & Dibooglu, S. (2022). Emerging market portfolios and Islamic financial markets: Diversification benefits and safe havens. Borsa Istanbul Review, 22(1), 77–91. https://doi.org/10.1016/j.bir.2021.01.007

Chatjuthamard, P., Jindahra, P., Sarajoti, P., & Treepongkaruna, S. (2021). The effect of COVID-19 on the global stock market. Accounting and Finance, 61(3), 4923–4953. https://doi.org/10.1111/acfi.12838

Choi, S. Y. (2022). Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday. North American Journal of Economics and Finance, 59(December 2021), 101614. https://doi.org/10.1016/j.najef.2021.101614

Ersyafdi, I. R., & Fauziyyah, N. (2021). Dampak Covid-19 Terhadap Tren Sektoral Harga Saham Syariah di Indonesia. Jurnal Iqtisaduna, 7(2), 1–16.

Gandasari, D., & Dwidienawati, D. (2020). Content analysis of social and economic issues in Indonesia during the COVID-19 pandemic. Heliyon, 6(11), e05599. https://doi.org/10.1016/j.heliyon.2020.e05599

Ghozali, I. (2018). ANALISIS MULTIVARIAT DAN EKONOMETRIKA Teori, Konsep dan Aplikasi Dengan EViews 10. Semarang : Badan Penerbit Universitas Diponegoro (UNDIP).

Halim, S. (2021). The Effect of Dow Jones Islamic Market World Index , Foreign Exchange , Foreign Investment and Domestic Investment with the Intervening Composite Stock Price Index on the Indonesian Sharia Stock Index. Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics), 13(2), 369–410. https://doi.org/10.15408/aiq.v13i2.22585

Harjoto, M. A., Rossi, F., Lee, R., & Sergi, B. S. (2021). How do equity markets react to COVID-19? Evidence from emerging and developed countries. Journal of Economics and Business, 115(August 2020), 105966. https://doi.org/10.1016/j.jeconbus.2020.105966

Hassan, M. K., Chowdhury, M. I. H., Balli, F., & Hasan, R. (2021). A note on COVID-19 instigated maximum drawdown in Islamic markets versus conventional counterparts. Finance Research Letters, (August), 102426. https://doi.org/10.1016/j.frl.2021.102426

Herlianto, D., & Hafizh, L. (2020). Pengaruh Indeks Dow Jones, Nikkei 225, Shanghai Stock Exchange, Dan Straits Times Index Singapore Terhadap Indeks Harga Saham Gabungan (IHSG) Di Bursa Efek Indonesia (BEI). INOBIS: Jurnal Inovasi Bisnis Dan Manajemen Indonesia, 3(2), 211–229. https://doi.org/10.31842/jurnalinobis.v3i2.133

Huynh, T. L. D., Foglia, M., Nasir, M. A., & Angelini, E. (2021). Feverish sentiment and global equity markets during the COVID-19 pandemic. Journal of Economic Behavior and Organization, 188, 1088–1108. https://doi.org/10.1016/j.jebo.2021.06.016

Jahidah, N. S. (2022). Analisis Pengaruh Covid-19 dan Makroekonomi Terhadap Jakarta Islamic Index (JII). Indonesian Journal of Strategic Management, 5(2).

Karerina, E., Wiguna, B. A., & Suhaemy, A. I. (2021). Reaksi Pasar Modal Terhadap Pengumuman Resesi Ekonomi Indonesia 2020. Journal of Islamic Economics And Finance, 1(1), 12–24. Retrieved from http://e-journal.iainpekalongan.ac.id/index.php/jief/article/view/3452

Kurniawan, A. (2019). Pengaruh Dow Jones Islamic World Malaysia Index Dan Dow Jones Islamic Market Japan Index Terhadap Indeks Sahamsyariah Indonesia. FINANSIA: Jurnal Akuntansi Dan Perbankan Syariah, 2(01), 102. https://doi.org/10.32332/finansia.v2i01.1543

Liu, Y. C., Kuo, R. L., & Shih, S. R. (2020). COVID-19: The first documented coronavirus pandemic in history. Biomedical Journal, 43(4), 328–333. https://doi.org/10.1016/j.bj.2020.04.007

Mishra, P. K., & Mishra, S. K. (2020). Corona Pandemic and Stock Market Behaviour : Empirical Insights from Selected Asian Countries. https://doi.org/10.1177/0976399620952354

Mzoughi, H., Ben, A., Belaid, F., & Guesmi, K. (2022). The Impact of COVID-19 pandemic on Islamic and conventional financial markets : International empirical evidence. Quarterly Review of Economics and Finance, (xxxx), 1–23. https://doi.org/10.1016/j.qref.2022.04.007

Nugraha, D. P. (2021). Comparative Analysis of Risk and Return on Indonesian Islamic Stock Index in Different Economic Conditions. Jurnal Ekonomi Dan Manajemen, 51–64. Retrieved from https://journals.umkt.ac.id/index.php/JEM/article/view/2171

Nugroho, A., Wasiaturrahma, W., & Anggia, P. (2021). Jakarta Islamic Index: Covid-19 Pandemic and Potential Financial Distress. Jurnal Ekonomi Dan Bisnis Islam (Journal of Islamic Economics and Business), 7(2), 210. https://doi.org/10.20473/jebis.v7i2.26147

Papadamou, S., Fassas, A. P., Kenourgios, D., & Dimitriou, D. (2021). Flight-to-quality between global stock and bond markets in the COVID era. Finance Research Letters, 38(November 2020), 101852. https://doi.org/10.1016/j.frl.2020.101852

Pratitis, faren anggun, & Setiyono, taufiq andre. (2021). Komparasi Indeks Saham Syariah Indonesia (ISSI) Sebelum dan Sesudah COVID-19. Journal of Islamic Economics and Finance, 1(1), 68–79.

Pratiwi, A., Darmawati, & Amaliyah, R. (2020). Sharia Stocks Selection In Indonesia Stock Exchange (IDX): Fuzzy-ANP Approach. Jouranl of Islamic Economic and BUsiness, 3(2), 257–281.

Rahmayani, D., & Oktavilia, S. (2020). Does the Covid-19 pandemic affect the stock market in Indonesia? Jurnal Ilmu Sosial Dan Ilmu Politik, 24(1), 33–47. https://doi.org/10.22146/JSP.56432

Retnoningsih, S., Naufa, A. M., & Astuti, W. B. (2022). The Covid-19, Policy, and Islamic Capital Market in Indonesia. Equilibrium: Jurnal Ekonomi Syariah, 10(1), 31. https://doi.org/10.21043/equilibrium.v10i1.13542

Rizaldy, M. R., & Rahayu, S. (2021). Mapping the global Islamic equity market vis-à-vis the COVID-19 turbulence. Jurnal Ekonomi Dan Keuangan Islam, 7(2), 105–122. Retrieved from https://www.researchgate.net/profile/Budi-Trianto/publication/353730816_Determinant_factor_of_Islamic_financial_inclusiveness_at_MSMEs_Evidence_from_Pekanbaru_Indonesia/links/610cb0721ca20f6f86044f85/Determinant-factor-of-Islamic-financial-inclusiveness-a

Rudiawarni, F. A., Sulistiawan, D., & Sergi, B. S. (2022). Is Conservatism Good News? the Case of Stocks of Jakarta Islamic Index. Heliyon, 8(April), e09292. https://doi.org/10.1016/j.heliyon.2022.e09292

Rusydiana, A. S., & Prakoso, D. (2021). Impact of COVID-19 and Macroeconomic Factors on Sharia Stock Market Performance : A Case Study of Indonesia. Syariah Economic Applied Research and Training (SMART), 3(1).

Safitri, H. (2021). Pengaruh Korea Composite Stock price Index, Hang Seng Index, Staits Times Index dan Dow Jones Industrial Average Terhadap Indeks Harga Saham Gabungan di Bursa Efek Indonesia. Jurnal Produktivitas (JPO) Jurnal Fakultas Ekonomi Universitas Muhammadiyah Pontianak, 8(2), 350–359. https://doi.org/10.29406/jpr.v8i2.3520

Saleem, A., Bárczi, J., & Sági, J. (2021). COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence. Journal of Risk and Financial Management, 14(8), 389. https://doi.org/10.3390/jrfm14080389

shear, F., & Ashraf, B. N. (2022). The performance of Islamic versus conventional stocks during the COVID-19 shock: Evidence from firm-level data. Research in International Business and Finance, 60(November 2021), 101622. https://doi.org/10.1016/j.ribaf.2022.101622

Shelly Midesia. (2020). Dampak Covid-19 Pada Pasar Saham Syariah Di Indonesia. Jurnal Penelitian Ekonomi Akuntansi (JENSI), 4(1), 68–79. https://doi.org/10.33059/jensi.v4i1.2663

Sihombing, P. R. (2022). Aplikasi EVIEWS Untuk Statistisi Pemula. Bekasi : PT Dewangga Energi Internasional.

Situngkir, T. L. (2019). Pengaruh Dow Jones Indeks, Strait Time , dan Hang Sheng Terhadap Indeks Harga Saham Gabungan dengan Pendekatan Eror Correction Model. Jurnal Mandiri : Ilmu Pengetahuan, Seni, Dan Teknologi, 3(2), 307–313. https://doi.org/10.33753/mandiri.v3i2.92

Soeharjoto, & Inviah. (2021). Integrasi Dow Jones Islamic Market-5 Dengan Indeks Saham Syariah Indonesia. Jurnal Ilmiah Ekonomi Islam, 7(03), 1270–1277. Retrieved from http://jurnal.stie-aas.ac.id/index.php/jei/article/view/3469

Suleman, M. T., McIver, R., & Kang, S. H. (2021). Asymmetric volatility connectedness between Islamic stock and commodity markets. Global Finance Journal, 49(June), 100653. https://doi.org/10.1016/j.gfj.2021.100653

Syafaat Muhari. (2021). Kinerja Jakarta Islamic Index Dimasa Pandemi Covid-19 Tahun 2020. Al-Mizan: Jurnal Hukum Dan Ekonomi Islam, 5(1), 60–76. https://doi.org/10.33511/almizan.v5n1.60-76

Yuliana, Y. (2020). Corona virus diseases (Covid-19): Sebuah tinjauan literatur. Wellness And Healthy Magazine, 2(1), 187–192. https://doi.org/10.30604/well.95212020

Full Text: PDF

DOI: 10.21043/equilibrium.v10i2.16457