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Performance Of Conventional, Islamic, And Social Responsible Investment (Sri) Indices During Covid-19: A Study Of Indonesian Stock Market

Author

Listed:
  • Nur Hidayah

    (Syarif Hidayatullah State Islamic University, Jakarta, Indonesia)

  • Putri Swastika

    (Metro State Islamic Institute of Religion,Lampung, Indonesia)

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.

Suggested Citation

  • Nur Hidayah & Putri Swastika, 2022. "Performance Of Conventional, Islamic, And Social Responsible Investment (Sri) Indices During Covid-19: A Study Of Indonesian Stock Market," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 8(4), pages 517-534, December.
    • Handle: RePEc:idn:jimfjn:v:8:y:2022:i:4b:p:517-534
    DOI: https://doi.org/10.21098/jimf.v8i4.1483
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    More about this item

    Keywords

    Islamic stocks; Socially responsible investing; Capital market; Stock performance; MARCH;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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