<![CDATA[This study aims to determine whether Covid-19 affects the return pattern of the Jakarta Islamic Index (JII) and whether the JII return is efficient in accordance with the Efficient Market Hypothesis (EMH). To ensure that the data analysis was in accordance with the objectives, samples were taken from January 1, 2008, to June 28, 2024, with ARCH-GARCH analysis so that the results were consistent and not robust. The findings of this research are as follows: JII returns are efficient because there is no Covid-19 effect and EMH anomaly, where there is no evidence of the day-of-the-week effect, Monday Effect, Friday Effect, or week four effect. In addition, the appropriate model is asymmetric EGARCH (1,1) with non-normal error term distribution. These findings have implications for investors, policy makers, and researchers interested in the performance and behavior of the Islamic stock market, so that in analyzing the stock market more strengthen the fundamental analysis of the company. Penelitian ini bertujuan mengetahui Covid-19 mempengaruhi pola return Jakarta Islamic Index (JII) dan apakah return JII efisien sesuai dengan Efficient Market Hypothesis (EMH). Untuk menjamin bahwa analisis data sesuai dengan tujuan, maka diambil sampel mulai dari 1 January 2008 sampai dengan 28 Juni, 2024 dengan analisis ARCH-GARCH agar hasilnya konsisten serta tidak robust. Temuan penelitian ini adalah: return JII efisien karena tidak diketemukan adanya pengaruh Covid-19 serta anomaly EMH, dimana tidak terbukti adanya the dayof-the-week effect, Monday Effect, Friday Effect dan week four effect. Selain itu, model yang sesuai adalah asymmetric EGARCH (1,1) dengan distribusi error term non normal. Temuan ini memiliki implikasi bagi investor, pembuat kebijakan, dan peneliti yang tertarik dengan kinerja dan perilaku pasar saham syariah, agar dalam menganalisis pasar saham lebih memperkuat analisis fundamental perusahaan.]]>
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