Journal of Islamic Monetary Economics and Finance
Vol 8 No 4 (2022)

PERFORMANCE OF CONVENTIONAL, ISLAMIC, AND SOCIAL RESPONSIBLE INVESTMENT (SRI) INDICES DURING COVID-19: A STUDY OF INDONESIAN STOCK MARKET

Nur Hidayah (Syarif Hidayatullah State Islamic University Jakarta, Indonesia)
Putri Swastika (Metro State Islamic Institute of Religion, Indonesia)

Article Info

Publish Date
08 Dec 2022

Abstract

This paper investigates (i) the volatility of Indonesian Islamic, SRI, and Conventional equities, (ii) their serial correlation, and (iii) their dynamic correlation and relationship during the COVID-19 pandemic. Using MGARCH-DCC, our findings suggest that the Islamic index is most volatile but performs more efficiently than the others and exhibits no co-movement with Conventional and SRI during the Pandemic crisis. The study empirically shows the resilience and efficiency of the Islamic stocks in Indonesia during the Pandemic. These findings provide valuable and practical recommendations on portfolio diversification for investors and offers policy implications for regulators interesting in and dealing with impact or responsible investing.

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Journal Info
Journal of Islamic Monetary Economics and Finance
Website

Abbrev

JIMF

Publisher

Bank Indonesia

Subject

Economics, Econometrics & Finance

Description

JIMF is an international peer-reviewed and scientific journal which is published quarterly by Bank Indonesia Institute. JIMF is a type of scientific journal (e-journal) in Islamic economics, monetary, and finance. By involving a large research communiy in an innovative public peer-review process, ...