IDEAS home Printed from https://ideas.repec.org/a/idn/jimfjn/v7y2021isigp185-202.html
   My bibliography  Save this article

The Asymmetric Volatility Of The Islamic Capital Market During The Covid-19 Pandemic

Author

Listed:
  • Achmad Nurdany

    (UIN Sunan Kalijaga Yogyakarta, Indonesia)

  • Muhammad Hanif Ibrahim

    (UIN Sunan Kalijaga Yogyakarta, Indonesia)

  • Muhammad Fathul Romadoni

    (UIN Sunan Kalijaga Yogyakarta, Indonesia)

Abstract

This study attempts to identify the existence of asymmetric volatility in the Islamic capital market in Indonesia during the Covid-19 pandemic. The paper employs the symmetric analysis of the GARCH (1,1) model and the asymmetric analysis of the TGARCH (1,1) model in order to identify Islamic capital market behaviour during the first 200 days after the first Covid-19 cases were confirmed. We used the daily closing prices of the Indonesia Sharia Stock Index (ISSI). The symmetric analysis of the GARCH (1,1) model revealed that the current value of return on the ISSI does not have a significant impact on its future value. On the other hand, the TGARCH (1,1) model showed that the asymmetric parameter coefficient was positive and statistically significant. Good news and bad news does not have the same level of impact on the volatility of returns on the ISSI. Furthermore, coefficients αi and γi in the variance equation indicate that good news has a higher volatility impact than bad news. The results indicate that investors should not to worry about the bad news effect of the Covid-19 pandemic, while the government should continue the mitigation of the spread of the coronavirus along with its economic recovery policy.

Suggested Citation

  • Achmad Nurdany & Muhammad Hanif Ibrahim & Muhammad Fathul Romadoni, 2021. "The Asymmetric Volatility Of The Islamic Capital Market During The Covid-19 Pandemic," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 7(Special I), pages 185-202, March.
    • Handle: RePEc:idn:jimfjn:v:7:y:2021:i:sig:p:185-202
    DOI: https://doi.org/10.21098/jimf.v7i0.1312
    as

    Download full text from publisher

    File URL: https://jimf-bi.org/index.php/JIMF/article/view/1312/846
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.21098/jimf.v7i0.1312?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Asymmetric model; GARCH; Islamic capital market; Covid-19 pandemic;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G1 - Financial Economics - - General Financial Markets
    • I15 - Health, Education, and Welfare - - Health - - - Health and Economic Development

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:idn:jimfjn:v:7:y:2021:i:sig:p:185-202. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lutzardo Tobing or Jimmy Kathon (email available below). General contact details of provider: https://edirc.repec.org/data/bigovid.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.