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All Journal International Journal of Islamic Economics and Finance (IJIEF) Journal of International Conference Proceedings
Alghifary, Muhammad Syauqy
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Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Electrical & Electronics Engineering Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media

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Indonesian Stocks’ Volatility during COVID-19 Waves: Comparison between IHSG and ISSI Alghifary, Muhammad Syauqy; Kadji, Dzuliyati; Hafizah, Iffah
International Journal of Islamic Economics and Finance (IJIEF) Vol 6, No 1 (2023): IJIEF Vol 6 (1), January 2023
Publisher : Universitas Muhammadiyah Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18196/ijief.v6i1.14838

Abstract

This study aims to compare Islamic and conventional stocks’ performance amid a crisis. The performance was measured by analyzing the volatility of the Indonesian Sharia Stock Index (ISSI) and the Composite Stock Price Index (IHSG) during the COVID-19 pandemic. Based on the results of the different tests using the paired t-test and Wilcoxon rank test methods, it was uncovered that the ISSI and IHSG experienced significant changes before and after discovering the first case of COVID-19 in Indonesia. Significant changes in both values were also found when the Delta variance spread. Meanwhile, when the third wave occurred due to the presence of the Omicron variant, ISSI and IHSG could move more stable and did not experience significant shocks. Then, the estimation results of the GARCH model conclude that both Islamic and conventional stocks have an immense volatility power with an identical value of 0.94 or close to 1. The volatility is also significantly influenced by the previous volatility and the squared error, representing other previous events outside the model. Moreover, the volatility in Islamic and conventional stocks is not much different, even though both stocks have different characters in the debt and income ratio. Fundamental factors also cause this high volatility in the form of shocks in several macroeconomic variables, including the rupiah exchange rate, gold prices, and world oil prices. Besides, the contagion effect that occurred during the COVID-19 crisis also contributed to the spread of systemic risk in global stock indexes on stock volatility in Indonesia.
The Volatility of Stock Market in Indonesia During Covid-19 Crisis : Evidence from Consumer Goods Industry Alghifary, Muhammad Syauqy; Ekawaty, Marlina; Sumantri, Vietha Devia Sagita
Journal of International Conference Proceedings Vol 6, No 1 (2023): 2023 ICPM Malang Proceeding
Publisher : AIBPM Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32535/jicp.v6i1.2306

Abstract

This study aims to measure the volatility of stock in consumer goods industry. The analysis in this study utilize index value of consumer goods sectoral stock in 260 days. Using the paired t-test, it was discovered that stock index of consumer goods has significant change after the announcement of Covid-19 first case in Indonesia. The volatility of stock index was raised during the pandemic as measured from its standard deviation. Furthermore, the estimation of GARCH model revealed that consumer goods stock experienced a great volatility during Covid-19 crisis. The value of volatility persistence is 0,917 or close to 1, it means that the volatility was long-lasting as long as the economic crisis. The result of study could give the information for stock investor to be careful with their investment fund during the crisis. Meanwhile, the consumer goods companies can observe this result as consideration in determining the effective strategy in managing the company’s finances in the midst of an economic crisis.
Indonesian Stocks’ Volatility during COVID-19 Waves: Comparison between IHSG and ISSI Alghifary, Muhammad Syauqy; Kadji, Dzuliyati; Hafizah, Iffah
International Journal of Islamic Economics and Finance (IJIEF) Vol. 6 No. 1 (2023): IJIEF Vol 6 (1), January 2023
Publisher : Universitas Muhammadiyah Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18196/ijief.v6i1.14838

Abstract

This study aims to compare Islamic and conventional stocks’ performance amid a crisis. The performance was measured by analyzing the volatility of the Indonesian Sharia Stock Index (ISSI) and the Composite Stock Price Index (IHSG) during the COVID-19 pandemic. Based on the results of the different tests using the paired t-test and Wilcoxon rank test methods, it was uncovered that the ISSI and IHSG experienced significant changes before and after discovering the first case of COVID-19 in Indonesia. Significant changes in both values were also found when the Delta variance spread. Meanwhile, when the third wave occurred due to the presence of the Omicron variant, ISSI and IHSG could move more stable and did not experience significant shocks. Then, the estimation results of the GARCH model conclude that both Islamic and conventional stocks have an immense volatility power with an identical value of 0.94 or close to 1. The volatility is also significantly influenced by the previous volatility and the squared error, representing other previous events outside the model. Moreover, the volatility in Islamic and conventional stocks is not much different, even though both stocks have different characters in the debt and income ratio. Fundamental factors also cause this high volatility in the form of shocks in several macroeconomic variables, including the rupiah exchange rate, gold prices, and world oil prices. Besides, the contagion effect that occurred during the COVID-19 crisis also contributed to the spread of systemic risk in global stock indexes on stock volatility in Indonesia.
The Volatility of Stock Market in Indonesia During Covid-19 Crisis : Evidence from Consumer Goods Industry Alghifary, Muhammad Syauqy; Ekawaty, Marlina; Sumantri, Vietha Devia Sagita
Journal of International Conference Proceedings Vol 6, No 1 (2023): 2023 ICPM Malang Proceeding
Publisher : AIBPM Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32535/jicp.v6i1.2306

Abstract

This study aims to measure the volatility of stock in consumer goods industry. The analysis in this study utilize index value of consumer goods sectoral stock in 260 days. Using the paired t-test, it was discovered that stock index of consumer goods has significant change after the announcement of Covid-19 first case in Indonesia. The volatility of stock index was raised during the pandemic as measured from its standard deviation. Furthermore, the estimation of GARCH model revealed that consumer goods stock experienced a great volatility during Covid-19 crisis. The value of volatility persistence is 0,917 or close to 1, it means that the volatility was long-lasting as long as the economic crisis. The result of study could give the information for stock investor to be careful with their investment fund during the crisis. Meanwhile, the consumer goods companies can observe this result as consideration in determining the effective strategy in managing the company’s finances in the midst of an economic crisis.
Co-Authors Hafizah, Iffah Kadji, Dzuliyati Marlina Ekawaty Sumantri, Vietha Devia Sagita