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All Journal El Dinar Asy Syar'iyyah: Jurnal Ilmu Syari'ah dan Perbankan Islam JYRS: Journal of Youth Research and Studies Budgeting: Jurnal Akuntansi Syariah ISLAMITSCH FAMILIERECHT JOURNAL
Feby Ayu Amalia
IAIN Syaikh Abdurrahman Siddik Bangka Belitung
Religion Humanities Economics, Econometrics & Finance Education Law, Crime, Criminology & Criminal Justice Social Sciences Other

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Journal : El Dinar

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COINTEGRATION AND CONTAGION EFFECT CONVENTIONAL AND SHARIA STOCK INDICES DURING COVID-19 Diah Novianti; Feby Ayu Amalia
EL DINAR: Jurnal Keuangan dan Perbankan Syariah Vol 11, No 2 (2023): El Dinar ( in Progress)
Publisher : Faculty of Economics Universitas Islam Negeri Maulana Malik Ibrahim Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18860/ed.v11i2.21238

Abstract

The COVID-19 pandemic has also affected stock price movement all over the world, along with the changes in the economic sector. Many studies have tried to reveal the integration of stock indices worldwide, but little show the Sharia Indices’ movement due to the COVID-19 pandemic. This study analyzes the cointegration and contagion effect during the pandemic on Conventional and Sharia stock indices in Asia Pacific, China, Malaysia, and Indonesia. This study explores the difference between Sharia and Conventional indices during the COVID-19 pandemic. VAR (Vector Auto-Regressive) and VECM (Vector Error Correction Model) were used to analyze the hypothesis with E-Views 12. The data used in this study was the closing date from each index from 1 July 2018 to 30 June 2022. This study showed no cointegration effect between Sharia indices during the pandemic, but there was a cointegration effect on Conventional indices. During the pandemic, there was a contagion effect on both Shariah and Conventional indices. The results of this study are expected to be a reference basis for promoting the Sharia Stock Market because it is more proven in dealing with crises than the Conventional Stock Market.
Co-Authors Ahmad Irvani Diah Novianti Gita Safitri Rahmadani