Analysis of the Effect of Novel Coronavirus 2019 (Covid-19) Spreading Toward Sharia Stock Market in Indonesia
Keywords:
Covid-19, ISSI, VECM, InfluenceAbstract
The purpose of this research is to identify and analyze the influence of
the spread of Novel Coronavirus 2019 (Covid-19), the policies of Indonesian
Government during pandemic (i.e. work from home, large-scale social restrictions
(PSBB) and community activities restriction enforcement (PPKM), the movement
of FTSE 100 and Nasdaq Composite indexes on Islamic stock market in
Indonesia (represented by the Indonesian Sharia Stock Index). This study utilizes
the Vector Error Correction Model (VECM), Impulse Response Function
(IRF), and Forecast Error Correction Model (FEVD) approach, with the range
data from September 2019 to November 2022. The results of this research
indicates that the VECM test showed that Covid-19 case in Indonesia and the
movement of FTSE 100 had a significant positive effect on ISSI in the long
term. Meanwhile, in the short term, Covid-19 case in Indonesia and government
policies have had a significant negative effect on ISSI. In the IRF test, this shows
that the Covid-19 case in Indonesia and government policies during pandemic
have had a significant negative effect on ISSI. Conversely, the movement of the
FTSE 100 and Nasdaq Composite Index has a significant positive effect on ISSI. In the FEVD test, it can be seen that the biggest contribution to ISSI shock
movement was the shock itself of 85.24% and was followed by government
policies, the Covid-19 case, FTSE 100 and Nasdaq. This investigation use three
variables in order to search the effect of these factors on the movement of
sharia stock market in Indonesia. The stock market represented by Indonesian
Sharia Stock Index (ISSI).
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