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All Journal Jurnal Manajemen Journal of Social Commerce
Purwanto Widodo
Faculty of Economics and Business, Universitas Pembangunan Nasional Veteran Jakarta, Indonesia
Economics, Econometrics & Finance

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Does COVID-19 Affect The Share Market Volatility In Indonesia? Purwanto Widodo; Faizi
Jurnal Manajemen Vol. 27 No. 2 (2023): June 2023
Publisher : Fakultas Ekonomi dan Bisnis, Universitas Tarumanagara

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24912/jm.v27i2.1064

Abstract

Volatility in financial markets reflects the level of risk that will be faced by investors due to fluctuations in stock price movements and stock returns which indicate the uncertainty of returns that investors will receive. This study uses daily data on JCI returns for the period January 1 2017 to October 30 2021 with the aim of modeling the volatility of JCI returns both before the Covid-19 crisis and during Covid-19. In addition, it is intended to see changes in the volatility of JCI returns due to the Covid-19 crisis. The research findings are that both before the crisis and during Covid-19 the appropriate volatility model is a model that has a leverage effect problem, namely EGARCH (1,1). there is a difference in the stock price index EGARCH return model between before and during Covid-19. Another finding is the influence of the variance in the previous period, the previous model was higher than during Covid-19.
Does the Jakarta Islamic Index Reflect Efficient Market? Insights from Calendar Effects and Volatility Modelling Purwanto Widodo; Faizi Faizi; Airlangga Surya Kusuma
Journal of Social Commerce Vol. 5 No. 3 (2025): Journal of Social Commerce
Publisher : Celebes Scholar pg

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.56209/jommerce.v5i3.184

Abstract

This study examines the efficiency of the Jakarta Islamic Index (JII) by testing for anomalies such as the Day of the Week Effect, Monday Effect, Friday Effect, and Week-Four Effect, both under normal conditions and during the Covid-19 crisis. This study seeks to determine whether JII adheres to the Efficient Market Hypothesis (EMH) or exhibits predictable patterns in stock returns. The study utilizes daily return data from JII, covering periods before (January 2008–February 2020), during (March 2020–December 2022), and combined before and during the Covid-19 crisis. Stationarity tests (Augmented Dickey-Fuller and Philips–Perron) were conducted, followed by ARMA/ARIMA modelling to address autocorrelation and heteroscedasticity. ARCH-GARCH models, including EGARCH, TARCH, and PARCH, were employed to analyze the volatility and leverage effects. Dummy variables for trading days and weeks are used to test for anomalies.  The results confirm the presence of the day of the week, Monday, and Week four effects in JII returns, indicating market inefficiency. However, the Covid-19 crisis did not significantly alter return patterns, suggesting resilience in the Islamic stock market. The study also identifies asymmetric volatility responses, with EGARCH (1,1) being the most suitable model, following a non-normal distribution (GED). These findings align with some prior research but contrast with others, highlighting mixed evidence on market anomalies in Islamic indices.
Co-Authors Airlangga Surya Kusuma Faizi Faizi Faizi