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Jurnal Ekonomi Malaysia

55 (1) 2021 27 – 37

Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis
Serangan Pandemik dan Indeks Saham Islam: Analisis Rentas Negara

Universitas Islam Negeri Syarif Hidayatullah
Jakarta
INDONESIA

fayzmubarok@uinjkt.ac.id

Universitas Islam Negeri Syarif Hidayatullah
Jakarta
INDONESIA

nur.rianto@uinjkt.ac.id

Abstract

The impact of Covid-19 has triggered the current global economic downturn affecting all aspects of the economy including the Islamic stock index. This study aims to determine the model for forecasting the index. The Islamic stock index is used in six countries through adopting the Autoregressive Conditional Heteroscedasticity – Generalized Autoregressive Conditional Heteroscedasticity (ARCH-GARCH) method on daily data over the period January 2020 to October 2020. The risk level of each index was found to be influenced by the residual value from the previous day. The forecasting revealed the tendency of all stock prices to decline. These are associated with impacts of the Covid-19 pandemic on current and future economic performance. Investors need to assess the sector’s fundamentals and the individual stocks in question, that are potential winners with propensity to recover and grow well once the market rebounds. They also need to continuously track the development of the pandemic in tandem with the economic sector and thus make the necessary adjustments at every step of the investment process.

Keywords

ARCH; Covid-19; GARCH; Islamic Stock Index; Pandemic

JEL Codes

C53, C58, E37, G17, H12, H54
http://dx.doi.org/10.17576/JEM-2021-5501-2
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Bibliography

Export Bibliography

Mubarok, F., & Al Arif, M. N. R. (2021). Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis. Jurnal Ekonomi Malaysia, 55(1), 27–37. http://dx.doi.org/10.17576/JEM-2021-5501-2

@article{mubarok2021pandemic,
  title={Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis},
  author={Mubarok, Faizul and Al Arif, Mohammad Nur Rianto},
  journal={Jurnal Ekonomi Malaysia},
  volume={55},
  number={1},
  pages={27—37},
 

year={2021},
}

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