Indonesian Stocks’ Volatility during COVID-19 Waves: Comparison between IHSG and ISSI

Muhammad Syauqy Alghifary, Dzuliyati Kadji, Iffah Hafizah

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.


Keywords


Islamic Stocks; Conventional Stocks; Volatility; COVID-19 Pandemic; GARCH Model

Full Text:

PDF

References


Adil, M. (2022, March 31). The Islamic finance industry has been bracing for a new world since COVID-19. Salaam Gateway. https://www.salaamgateway.com/story/the-islamic-finance-industry-has-been-bracing-for-a-new-world-since-covid-19

Alfira, N., Fasa, M. I., & Suharto, S. (2021). Pengaruh Covid-19 terhadap Indeks Harga Saham Gabungan (IHSG) dan Nilai Tukar Rupiah. Al-Kharaj : Jurnal Ekonomi, Keuangan & Bisnis Syariah, 3(3), 313–323. https://doi.org/10.47467/ALKHARAJ.V3I2.356

Aliyev, F., Ajayi, R., & Gasim, N. (2020). Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100. Journal of Economic Asymmetries, 22, e00167. https://doi.org/10.1016/j.jeca.2020.e00167

Al-Khazali, O., Lean, H. H., & Samet, A. (2014). Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach. Pacific-Basin Finance Journal, 28, 29–46. https://doi.org/10.1016/J.PACFIN.2013.09.003

Azakia, K., Supandi, A. F., Ramadhani, K., & Dani, F. U. (2020). Risiko, Return Investasi dan Kinerja Saham (Studi Perbandingan Volatilitas Harga Saham Syariah dan Konvensional Dengan Menggunakan Model Garch). At-Taradhi: Jurnal Studi Ekonomi, 11(2), 135–150. https://doi.org/10.18592/AT-TARADHI.V11I2.3932

Baker, M., & Wurgler, J. (2007). Investor Sentiment in the Stock Market. Journal of Economic Perspectives, 21(2), 129–152. https://doi.org/10.1257/JEP.21.2.129

Bank Indonesia. (2021). Laporan Kebijakan Moneter Triwulan II 2021.

Bardan, A. B. (2021, July 21). PPKM darurat menjadi PPKM level 4, beda nama isi sama. Kontan. https://nasional.kontan.co.id/news/ppkm-darurat-menjadi-ppkm-level-4-beda-nama-isi-sama

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/10.1016/0304-4076(86)90063-1

Bourghelle, D., Jawadi, F., & Rozin, P. (2021). Oil price volatility in the context of Covid-19. International Economics, 167, 39–49. https://doi.org/10.1016/J.INTECO.2021.05.001

Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012). The Econometrics of Financial Markets. Princeton University Press. https://doi.org/10.2307/j.ctt7skm5

Chang, E. C., & Dong, S. (2006). Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market. Pacific-Basin Finance Journal, 14(2), 135–154. https://doi.org/10.1016/J.PACFIN.2005.09.001

Chebbi, K., Ammer, M. A., & Hameed, A. (2021). The COVID-19 pandemic and stock liquidity: Evidence from S&P 500. The Quarterly Review of Economics and Finance, 81, 134–142. https://doi.org/10.1016/J.QREF.2021.05.008

Cleff, T. (2014). Exploratory Data Analysis in Business and Economics (1st ed.). Springer International Publishing. https://doi.org/10.1007/978-3-319-01517-0

Dang, T. L., & Nguyen, T. M. H. (2020). Liquidity risk and stock performance during the financial crisis. Research in International Business and Finance, 52, 101165. https://doi.org/10.1016/J.RIBAF.2019.101165

Debora, Y. (2020, April 21). Update Corona Indonesia: Daftar 20 Wilayah yang Terapkan PSBB. Tirto. https://tirto.id/update-corona-indonesia-daftar-20-wilayah-yang-terapkan-psbb-ePVK

Dornbusch, R., Park, Y. C., & Claessens, S. (2000). Contagion: Understanding How It Spreads. The World Bank Research Observer, 15(2), 177–197.

Elena, M. (2021, February 18). Rekor Terendah Sepanjang Masa, BI Pangkas Suku Bunga Jadi 3,5 Persen. Bisnis. https://finansial.bisnis.com/read/20210218/11/1357927/rekor-terendah-sepanjang-masa-bi-pangkas-suku-bunga-jadi-35-persen

Enders, W. (2004). Applied Econometric Time Series (2nd ed.). Wiley.

Fauzia, M. (2020, November 5). Indonesia Resmi Resesi, Ekonomi Kuartal III-2020 Minus 3,49 Persen. Kompas. https://money.kompas.com/read/2020/11/05/111828826/indonesia-resmi-resesi-ekonomi-kuartal-iii-2020-minus-349-persen?page=all

Febrianto, L. D., & Rahadi, D. R. (2021). Ancaman resesi akibat COVID-19 terhadap perusahaan di Indonesia. Jurnal Dimensi, 10(1), 45–57. https://doi.org/10.33373/DMS.V10I1.2846

Francis, J., & Soffer, L. (1997). The Relative Informativeness of Analysts’ Stock Recommendations and Earnings Forecast Revisions. Journal of Accounting Research, 35(2), 193. https://doi.org/10.2307/2491360

Gujarati, D. (2004). Basic Econometrics (4th ed.). Mc. Graw Hill.

Haryanto. (2020). Dampak Covid-19 terhadap Pergerakan Nilai Tukar Rupiah dan Indeks Harga Saham Gabungan (IHSG). Jurnal Perencanaan Pembangunan: The Indonesian Journal of Development Planning, 4(2), 151–165. https://doi.org/10.36574/JPP.V4I2.114

Hasan, M. B., Mahi, M., Hassan, M. K., & Bhuiyan, A. B. (2021). Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis. The North American Journal of Economics and Finance, 58, 101504. https://doi.org/10.1016/J.NAJEF.2021.101504

Hayes, A. (2021, October 30). Volatility Definition: Calculation & Market Examples. Investopedia. https://www.investopedia.com/terms/v/volatility.asp

Indonesian Stock Exchange. (2020). IDX Yearly Statistics 2020.

Indonesian Stock Exchange. (2021). IDX Yearly Statistics 2021.

Irfan, M., Kassim, S., & Dhimmar, S. (2021). Impact of Covid-19 on Islamic Stock Markets: An Investigation using Threshold Volatility and Event Study Models. International Journal of Islamic Economics and Finance (IJIEF), 4(1), 121–148. https://doi.org/10.18196/ijief.v4i1.10480

Kamaludin, K., Sundarasen, S., & Ibrahim, I. (2021). Covid-19, Dow Jones and equity market movement in ASEAN-5 countries: evidence from wavelet analyses. Heliyon, 7(1), e05851. https://doi.org/10.1016/J.HELIYON.2020.E05851

Kenourgios, D., Naifar, N., & Dimitriou, D. (2016). Islamic financial markets and global crises: Contagion or decoupling? Economic Modelling, 57, 36–46. https://doi.org/10.1016/J.ECONMOD.2016.04.014

Khalid, N., Zafar, R. F., Syed, Q. R., & Bhowmik, R. (2021). The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model. ETIKONOMI, 20(2), 225–238. https://doi.org/10.15408/ETK.V20I2.20587

Li, Y., Zhuang, X., Wang, J., & Dong, Z. (2021). Analysis of the impact of COVID-19 pandemic on G20 stock markets. The North American Journal of Economics and Finance, 58, 101530. https://doi.org/10.1016/J.NAJEF.2021.101530

Louati, A., Firano, Z., & Filali Adib, F. (2022). COVID-19 and cross-border contagion: Trade and financial flows. Research in Globalization, 4, 100082. https://doi.org/10.1016/J.RESGLO.2022.100082

Mamtha, D., & Srinivasan, K. S. (2016). Stock Market Volatility – Conceptual Perspective through Literature Survey. Mediterranean Journal of Social Sciences, 7(1), 208. https://doi.org/10.5901/mjss.2016.v7n1p208

Mankiw, N. G. (2009). Macroeconomics (7th ed.). Worth Publishers.

Mhd Ruslan, S. M., & Mokhtar, K. (2021). Stock market volatility on shipping stock prices: GARCH models approach. Journal of Economic Asymmetries, 24, e00232. https://doi.org/10.1016/j.jeca.2021.e00232

Mirza, N., Abbas Rizvi, S. K., Saba, I., Naqvi, B., & Yarovaya, L. (2022). The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing. International Review of Economics & Finance, 77, 276–295. https://doi.org/10.1016/J.IREF.2021.09.019

Muhaimin, A., Friyanti, Y. E., & Yunus, F. (2021). Analisis reaksi pasar saham syariah terhadap dampak corona virus disease (COVID-19) outbreak di Indonesia. Jurnal Ilmiah Ar-Risalah: Media Ke-Islaman, Pendidikan Dan Hukum Islam, 19(2), 283–295. http://ejournal.iaiibrahimy.ac.id/index.php/arrisalah/article/view/946

Naik, N., Mohan, B. R., & Jha, R. A. (2020). GARCH Model Identification for Stock Crises Events. Procedia Computer Science, 171, 1742–1749. https://doi.org/10.1016/J.PROCS.2020.04.187

Nugroho, A. D., & Robiyanto, R. (2021). Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic. Jurnal Keuangan Dan Perbankan, 25(1), 1–20. https://doi.org/10.26905/jkdp.v25i1.4980

Nurdany, A., Ibrahim, M. H., & Romadoni, M. F. (2021). The asymmetric volatility of the Islamic capital market during the COVID-19 pandemic. Journal of Islamic Monetary Economics and Finance, 7, 185–202. https://doi.org/10.21098/jimf.v7i0.1312

Nuryani, A., Marwanto, O., & Ratnawati, T. (2021). Analisis harga saham syariah Indonesia Jakarta Islamic Index masa sebelum dan saat COVID-19. Jea17 Jurnal Ekonomi Akuntansi, 6(1), 1–16.

OJK. (2021). Statistik Pasar Modal.

Puspitasari, I. (2021, October 14). Investor pasar modal mencapai 6,29 juta per September 2021. Kontan. https://investasi.kontan.co.id/news/investor-pasar-modal-mencapai-629-juta-per-september-2021

Saputra, A. H., & Ariutama, I. G. A. (2021). Macroeconomic Policy Responses to COVID-19: A Case of Indonesia. SENTRALISASI, 10(2), 118–131. https://doi.org/10.33506/SL.V10I2.1323

Shefrin, H., & Statman, M. (1994). Behavioral Capital Asset Pricing Theory. The Journal of Financial and Quantitative Analysis, 29(3), 323. https://doi.org/10.2307/2331334

Sidik, S. (2021, October 12). Jumlah Investor RI Capai 6,43 Juta, Didominasi Kaum Milenial. CNBC Indonesia. https://www.cnbcindonesia.com/market/20211012151533-17-283326/jumlah-investor-ri-capai-643-juta-didominasi-kaum-milenial

Siregar, H. A. (2020). Syariah and Conventional Shares Index Comparison During The Covid-19 Pandemic in Indonesia. Bilancia : Jurnal Ilmiah Akuntansi, 4(3), 289–297. http://www.ejournal.pelitaindonesia.ac.id/ojs32/index.php/BILANCIA/index

Siringoringo, L. (2021, November 7). Generasi milenial semakin doyan membeli saham dan reksadana. Kontan. https://investasi.kontan.co.id/news/generasi-milenial-semakin-doyan-membeli-saham-dan-reksadana

Syebastian, O., Potto, A., & Robiyanto, R. (2021). THE DYNAMIC CORRELATION BETWEEN OIL PRICES AND THE INDONESIAN OIL COMPANIES’ STOCK PRICE. IMAGE : Jurnal Riset Manajemen, 10(1), 28–43. https://doi.org/10.17509/IMAGE.V10I1.31283

Tamara, N. H. (2020, May 2). Peluang Untung di Balik Sejarah Kejatuhan Terburuk Bursa Saham. Katadata. https://katadata.co.id/nazmi/analisisdata/5ead7177b2278/peluang-untung-di-balik-sejarah-kejatuhan-terburuk-bursa-saham

Thampanya, N., Wu, J., Nasir, M. A., & Liu, J. (2020). Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries. Journal of International Financial Markets, Institutions and Money, 65, 101193. https://doi.org/10.1016/j.intfin.2020.101193

Waseso, R. (2022, February 8). Ini Aturan PPKM Level 3 di Jabodetabek, DIY, Bali dan Bandung Raya. https://nasional.kontan.co.id/news/ini-aturan-ppkm-level-3-di-jabodetabek-diy-bali-dan-bandung-raya




DOI: https://doi.org/10.18196/ijief.v6i1.14838

Refbacks

  • There are currently no refbacks.


Copyright (c) 2023 International Journal of Islamic Economics and Finance (IJIEF)

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.


International Journal of Islamic Economics and Finance (IJIEF)
International Program for Islamic Economics and Finance 
Department of Economics  
Faculty of Economics and Business
Universitas Muhammadiyah Yogyakarta

Office:
Pascasarjana Building, Ground Floor
Jl. Brawijaya (Ringroad Selatan), Kasihan, Bantul
D.I. Yogyakarta 55183, INDONESIA
Official email: ijief@umy.ac.id