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All Journal JIKA: Jurnal Ilmu Keuangan dan Perbankan Jurnal Aspirasi Dinasti International Journal of Economics, Finance & Accounting (DIJEFA) Finansha: Journal of Sharia Financial Management JURNAL EKONOMI BISNIS DAN MANAJEMEN (EKO-BISMA) Jumper : Journal of Educational Multidisciplinary Research Tensile : Jurnal Pengabdian Kepada Masyarakat Journal of Systems, Information Technology, and Electronics Engineering Parabela: Jurnal Ilmu Pemerintahan & Politik Lokal
Setiawan, Ilham
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Arts Humanities Computer Science & IT Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Law, Crime, Criminology & Criminal Justice Library & Information Science Mathematics Social Sciences Transportation Other

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Journal : Finansha: Journal of Sharia Financial Management

 1 
INTEGRATION OF ISLAMIC AND CONVENTIONAL STOCK INDICES BEFORE, DURING, AND AFTER COVID OUTBREAK: EMPIRICAL INSIGHTS FROM FIVE ASEAN COUNTRIES AND THE US Utami, Alia Tri; Setiawan, Ilham; Annisa, Novita Nur; Muniroh, Rezqya Aulia Azyuranie; Sari, Devi Anita
Finansha: Journal of Sharia Financial Management Vol. 6 No. 1 (2025): Finansha: Journal of Sharia Financial Management
Publisher : UIN Sunan Gunung Djati Bandung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15575/fjsfm.v6i1.41635

Abstract

This study aims to examine the long-term integration among Islamic capital markets in five ASEAN countries namely Indonesia (ISSI), Malaysia (FTSE-MB), Thailand (FTSE-SET), Singapore (FTSE-SGX), and the Philippines (MSCI-PH) along with the U.S. stock market (DJIA) before, during, and after the COVID outbreak. Utilizing a quantitative approach, the study analyzed daily closing prices from November 2018 (a year before the COVID-19 outbreak) to May 2024 (a year following the COVID-19 outbreak). We employed the Johansen cointegration test and the Vector Error Correction Model (VECM) to assess market cointegration. Results reveal that all ASEAN Islamic indices exhibit significant cointegration with the Dow Jones Industrial Average (DJIA). The FTSE-SET and MSCI-PH indices show a strong positive correlation with the DJIA; in contrast, the ISSI and FTSE-SGX indices display a negative correlation, suggesting potential diversification benefits for investors. The Granger Causality Test further identifies causal linkages between certain ASEAN indices and the DJIA. These findings underscore the influence of global dynamics on ASEAN Islamic markets, despite their unique characteristics. The results advocate for portfolio diversification and the formulation of adaptive economic policies to enhance the stability of ASEAN Islamic markets amid global financial volatility.
Co-Authors Adi Nova Trisetiyanto Annisa, Novita Nur Arsila Noor Ferian, Zahra Azyuranie, Rezqya. A Faisal Natsir, Luthfi Fasial Natsir, Luthfi Ismanudin, Ismanudin Mahmudin Mangiri, Herry S. Muabrok, Rifqi Ali Mubarok, Rifqi Ali Muhamad Hafiz, Raden Muniroh, Rezqya Aulia Azyuranie P, Perwito Perwito, Perwito Rita Zulbetti Sari, Devi Anita Soleh, Iman Suhadi, Firman Suzanna, Yenny Ulum, Nurmisbahul Utami, Alia Tri Yahya Azzawiy, Amiruddin