Covid-19 pandemic, asset prices, risks, and their convergence: A survey of Islamic and G7 stock market, and alternative assets

Setiawan, Budi; Afin, Rifai; Wikurendra, Edza Aria; Nathan, Robert Jeyakumar; Fekete-Farkas, Mária

doi:10.1016/j.bir.2022.11.011

Cited by 17 publications

(3 citation statements)

References 55 publications

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“…Further, the study segregates based on the sectors and found that information technology companies performed better than the market, while transportation, tourism and leisure, beverages, and consumer services had worse performance compared to the market. Utilizing different datasets, Setiawan et al (2022) found that the pandemic hurts the stock market's performance in the G7 countries, that it has become riskier, and that the stock market in Muslim-majority countries s a convergence pattern. Aside from the effect of the COVID-19 pandemic, other previous studies have examined the performance of the Islamic stock market during the global financial crisis (Arouri et al, 2013;Ashraf & Mohammad, 2014), who found that the Islamic stock market is less affected by the crisis.…”

Section: Literature Reviewmentioning

confidence: 99%

Leverage Effect Between Islamic Stock and Sri Indices: Case of Indonesia

Hendranastiti

2022

ULTIMA Management

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Abstract- This paper examines the difference in leverage effect between the Islamic stock index and the SRI index using the Indonesian data for a period before and during-after the COVID-19 pandemic. The interrelated issues of health and environment, starting from the COVID-19 pandemic, energy use, and environmental issues can have a different effects on different asset classes. With the distinctive feature of the Islamic stock index and SRI index, it can attract investors who want to diversify their portfolio to hedge against the health and environmental crisis. This study aims to examine the volatility risk in ISSI and SRI-Kehati as an impact of various events in 2020-2022. This paper attempts to test the leverage effect for a longer period incorporating the various major events in 2020-2022. This study uses daily price index data of ISSI and SRI-Kehati Index for the period 10/04/2013-28/11/2022 and employed the ARMA-EGARCH models to answer the objectives. The results show that there is a leverage effect in ISSI and SRI-Kehati for a period before and during-after the COVID-19 pandemic although the magnitude is lower after the during-after pandemic. The leverage effect indicates that the negative return that occurred in the constituents of both indices leads to higher volatility, implying that both indices are not prone to various events. The lower magnitude of the leverage effect on SRI-Kehati can give better assurance for investors regarding the volatility risk of the index. Keywords: Islamic Stock Index; SRI Index; COVID-19; Crisis; Leverage Effect

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Section: Literature Reviewmentioning

confidence: 99%

Leverage Effect Between Islamic Stock and Sri Indices: Case of Indonesia

Hendranastiti

2022

ULTIMA Management

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“…This is because investors have reduced their trading operations in direct response to these factors. However, after the easing of health protocols, the Islamic capital market is starting to show signs of recovery (Setiawan et al, 2022). This was supported by the economic stimulus policies issued by the government, which helped reduce the negative impact of the pandemic on the capital market.…”

Section: Introductionmentioning

confidence: 99%

Generation Z Sharia investment decision patterns: Does information media matter?

Normasyhuri,

Saputri,

Anggraeni

2023

J. Eko. Keu. Isl.

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Purpose – This research examines the relationship between information quality, subjective norms, behavioral control in Generation Z Sharia investment decisions during the Covid-19 era. It also explores how media information can either reinforce or counter these factors.Methodology – Quantitative analysis was conducted in this study using SmartPLS 3.0. Primary data were collected from investor respondents during the Covid-19 pandemic from December 2021 to December 2022. The data collection was facilitated through Google Forms, and the indicator measurement utilized the Likert Scale.Findings – The study revealed a positive relationship pattern between information quality and behavioral control with Islamic investment decision-making in Generation Z during the Covid-19 era. Additionally, subjective norms showed a negative relationship pattern with Sharia investment decision-making in Generation Z during this time. Moreover, information media was found to influence the impact of information quality, subjective norms, and behavioral control on Islamic investment decision-making among Generation Z during the Covid-19 era.Implication – The insights from this research have been shared with investors, serving as a foundational reference for planning and implementing more effective and sustainable Sharia investment programs and strategies.Originality – This study introduces an alternative perspective by focusing on the realm of Islamic investment decisions made by Generation Z, a unique demographic with distinct characteristics, preferences, and behaviors. This investigation was conducted within the context of economic shocks, specifically during the Covid-19 period, and emphasized the role of information media as a crucial channel for rapid access to information, particularly through digital media. Additionally, the study employed the PLS-SEM model, adding a novel methodological approach to the research.

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“…Investigation of interconnectedness among bond and sukuk are essential because it can illustrate how efficiently these markets are associated and how one market is transmitted to another (Bhuiyan et al, 2019). Subjective to rational investor behavior in the financial market, safehaven instruments are the most desirable appliances during high fluctuation and financial instability (Setiawan et al, 2022). Nevertheless, this downturn aggravated volatility in financial asset clusters (Le et al, 2021).…”

Section: Introductionmentioning

confidence: 99%

Bond and Sukuk Interconnectedness Analysis: A Comparative Study between GCC and MENA Countries Amidst Global Crises

Primambudi,

Siddiq,

Rafsanzani

2023

JIEBR

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This paper aims to analyze the interconnectedness between Bond and Sukuk markets in the Gulf Cooperation Council (GCC) and Middle East and North Africa (MENA) countries. This study utilized the TVP-VAR extended joint connectedness method. The observed period was from January 2020 to October 2023, encompassing significant global events such as the COVID-19 pandemic, the Russia-Ukraine war, and the Israeli-Palestinian war. The results show the interconnectedness of bond and sukuk markets in both regions by 73% (based on TCI). The Bond and Sukuk instruments in MENA act as transmitters, while Bond and Sukuk in GCC act as receivers. The study suggests that the Sukuk in GCC and MENA may serve as an attractive option for diversified assets compared to Bonds. Additionally, the paper highlights structural changes and market dynamics during the crisis period that affected financial stability in both regions. The anticipated contribution of this study is to enriching the global economic in term of financial literature and offering policy insight to manage risks and improve financial system resilience in GCC and MENA countries.

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Covid-19 pandemic, asset prices, risks, and their convergence: A survey of Islamic and G7 stock market, and alternative assets

Cited by 17 publications

References 55 publications

Leverage Effect Between Islamic Stock and Sri Indices: Case of Indonesia

Leverage Effect Between Islamic Stock and Sri Indices: Case of Indonesia

Generation Z Sharia investment decision patterns: Does information media matter?

Bond and Sukuk Interconnectedness Analysis: A Comparative Study between GCC and MENA Countries Amidst Global Crises

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