The Asymmetric Volatility of the Islamic Capital Market During the Covid-19 Pandemic

Nurdany, Achmad; Ibrahim, Muhammad Hanif; Romadoni, Muhammad Fathul

doi:10.21098/jimf.v7i0.1312

Cited by 10 publications

(15 citation statements)

References 19 publications

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“…The movement of the stock index that tends to fall indicates that most stock prices are experiencing a decline, and vice versa, the movement of the stock index increases indicates that most stock prices tend to increase. According to Nurdany et al (2021) investors do not need to worry about the impact of the bad news of the COVID-19 pandemic while the government carries out mitigation and economic policies.…”

Section: Introductionmentioning

confidence: 99%

Macroeconomics Effect on Conventional and Sharia Stocks During the Covid-19 Pandemic

Halisa

Annisa²

2022

IJIBE

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This study aims to analyze the effect of macroeconomics on conventional and sharia stocks during the COVID-19 pandemic. The data collected for this study was obtained from monthly stock index data on the Indonesia Stock Exchange (IDX) as well as macroeconomic development reports from the Ministry of National Development Planning/Bappenas. The population in this study are all conventional and sharia stocks listed on the IDX. The sampling technique was carried out using a purposive sampling method with the criteria of conventional and sharia stocks listed on the IDX for the period March 2020 to June 2021. The macro variables used in researching the Jakarta Composite Index (JCI) and the Jakarta Islamic Index (JII) consisted of four variables, which are exports, imports, inflation rate, and foreign exchange reserves. The data analysis technique used in this research is multivariate multiple linear regression analysis accompanied by simultaneous and partial testing to determine the predictor variables that affect JCI and JII. The results shows that exports and foreign exchange reserves had a significant positive effect on JCI and JII, while imports and the inflation rate did not have a significant effect. The goodness of the model is 93%.

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Section: Introductionmentioning

confidence: 99%

Macroeconomics Effect on Conventional and Sharia Stocks During the Covid-19 Pandemic

Halisa

Annisa²

2022

IJIBE

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“…Our sample period includes the heightened stress in the 2008 financial crisis and may be closely linked to the recent COVID-19 period (Nurdany et al , 2021, for asymmetric volatility in Islamic capital markets). Our findings have implications for policymakers/regulators, investors and researchers in emerging markets.…”

Section: Discussionmentioning

confidence: 99%

“…This period is especially interesting as it includes the heightened stress in the global financial markets that entered its more virulent phase in September 2008 with the bankruptcy of the investment bank Lehman Brothers, the collapse of the insurance firm AIG, the run on the large money market mutual fund Reserve Primary Fund and the beginnings of the highly publicized struggle to pass the Troubled Asset Relief Program (TARP) (Mishkin, 2010). Our choice of time period is consistent with the evolving literature that uses the COVID-19 period (Irfan et al , 2021 and Nurdany et al , 2021, for Islamic capital markets) and the large literature that uses the financial crisis period to examine various firm-specific issues (Beuselinck et al , 2017; Lins et al , 2017)[2]. We test the overreaction and delayed price-discovery hypotheses, market quality hypothesis, magnet-effect hypothesis and trading interference hypothesis.…”

Section: Introductionmentioning

confidence: 96%

Price-limit effectiveness: evidence from the Borsa Istanbul (BIST)

Aktas

Kryzanowski

Jie

2021

IMEFM

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Purpose This paper aims to analyze the impact of price-limit hits by hit type and when such hits start and stop using intraday trades and quotes at a one-second frequency for firms included in the BIST-50 index during the 13-months starting with March 2008. Like the recent COVID-19 period, this period includes the heightened stress in global financial markets in September 2008. Design/methodology/approach Using intra-day trades and quotes at a one-second frequency, the authors examine the market effects of price limits for firms included in the BIST-50 index during the global financial crisis. The authors compare the values of various metrics for 60 min centered on price-limit hit periods. The authors conduct robustness tests using auto regressive integrated moving average (ARIMA) models with trade-by-trade and with 3-min returns. Findings The findings are supportive of the following hypotheses: magnet price effects, greater informational asymmetric effects of market quality and each version of price discovery. Results are robust using samples differentiated by cross-listed status, same-day quotes instead of transaction prices and equidistant and trade-by-trade returns. Originality/value The authors use intraday data to reduce measurement error that is particularly pronounced when daily data are used to assess price limits that start and/or stop during a trading session. The authors contribute to the micro-structure literature by using ARIMA models with trade-by-trade and 3-min returns to alleviate some bias due to the autocorrelations in returns around price-limit hits in the presence of a magnet effect. The authors include some recent regulation changes in various countries to illustrate the importance of circuit breakers using price limits during COVID-19.

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“…This result in Indonesia can be seen in the shariah index of the GCC countries, as presented in Figure 1. Similarly, Nurdany et al (2021) investigate the asymmetric volatility of the Islamic capital market in Indonesia during the COVID-19 pandemic and find that the asymmetric parameter coefficient is significant and positive. The result presents an optimistic expectation for investors during and after the pandemic as the volatility impact of good news is higher than bad news.…”

Section: Reviewing Islamic Financial Institutions In 2008 Financial C...mentioning

confidence: 99%

Are Islamic financial institutions more resilient against the COVID-19 pandemic in the GCC countries?

Akkas

Samman

2021

IMEFM

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Purpose This paper aims to investigate and provide an objective appraisal of the impact of the COVID-19 outbreak on Islamic and conventional financial institutions and Islamic windows in the Gulf Cooperation Council (GCC) countries. Design/methodology/approach The panel data techniques are conducted country-wise in each financial institution type: random-effect model, fixed-effect model and Hausman test. Findings The results of the first phase analysis that extends from 1 January 2020 to 30 October 2020 show that Islamic financial institutions are less exposed to the repercussions of the COVID-19 outbreak than the conventional and Islamic window financial institutions in Bahrain, Oman, Qatar, Saudi Arabia and UAE. Moreover, the Islamic financial institutions in Saudi Arabia and Oman have not been affected by the COVID-19 outbreak. The second phase analysis for the COVID-19 outbreak that extends from 1 November 2020 to 17 March 2021 confirms the disappearance of the negative impact of COVID-19 on Islamic financial institutions in Bahrain and Oman. Practical implications The findings present that Islamic banks are not as resilient in the COVID-19 pandemic as in the 2008 financial crisis. It can be suggested that regulatory authorities, financial institutions and other key policymakers in the GCC countries should focus on implementing regulatory reforms related to human capital, innovative products, research and development to further develop individuals, societies and institutions within the framework of Islamic ontology to be more resilient in such crises. Originality/value This paper provides a different perspective from existing literature on the pandemics and financial institutions by comparing the stock prices in Islamic and conventional financial institutions and Islamic windows in GCC countries during the COVID-19 pandemic. Therefore, this paper should be considered as a contribution to filling a gap in the literature.

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The Asymmetric Volatility of the Islamic Capital Market During the Covid-19 Pandemic

Cited by 10 publications

References 19 publications

Macroeconomics Effect on Conventional and Sharia Stocks During the Covid-19 Pandemic

Macroeconomics Effect on Conventional and Sharia Stocks During the Covid-19 Pandemic

Price-limit effectiveness: evidence from the Borsa Istanbul (BIST)

Are Islamic financial institutions more resilient against the COVID-19 pandemic in the GCC countries?

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