Exploring the Resilience of Islamic Stock in Indonesia and Asian Markets

Nofrianto Nofrianto (), Deni Pandu Nugraha (), Amanj Mohamed Ahmed, Zaenal Muttaqin, Maria Fekete-Farkas and István Hágen
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Nofrianto Nofrianto: Master of Islamic Economic Study Program, Faculty of Economic and Business, UIN Syarif Hidayatullah Jakarta, Tanggerang Selatan 15412, Indonesia
Deni Pandu Nugraha: Doctoral School of Economics and Regional Sciences, Hungarian University of Agriculture and Life Science, 2100 Gödöllő, Hungary
Amanj Mohamed Ahmed: Doctoral School of Economics and Regional Sciences, Hungarian University of Agriculture and Life Science, 2100 Gödöllő, Hungary
Zaenal Muttaqin: Economic Development Study Program, Faculty of Economic and Business, UIN Syarif Hidayatullah Jakarta, Tangerang Selatan 15412, Indonesia
Maria Fekete-Farkas: Institute of Agricultural and Food Economics, Hungarian University of Agriculture and Life Sciences, 2100 Gödöllő, Hungary
István Hágen: Institute of Rural Development and Sustainable Economy, Hungarian University of Agriculture and Life Sciences, 2100 Gödöllő, Hungary

JRFM, 2024, vol. 17, issue 6, 1-16

Abstract: This study aims to investigate the relationship between returns and risk of Islamic stock under stable economic conditions, crises, and pandemics within the scope of Indonesian and Asian Islamic capital markets. How do economic conditions affect the risks and returns of investors in the Indonesian and Asian Islamic capital markets? Verification of the veracity of the Islamic capital market serves as a more resilient option for alternative investments. This study uses Granger causality to determine exogenous and endogenous variables when building the model. The model that is formed is then analyzed using regression with dummy variables of stable economic conditions, crises, and pandemics. The first research findings on differences in crisis, stable and pandemic times in the Asian stock market show that there is no significant difference in effect between stable times and during a crisis, but there are differences in the effect during stable and pandemic times. The second research finding states that the return on Asian market Shariah stocks has no influence on increasing or reducing the value of risk or value at risk. The third finding explains that Islamic stocks in Indonesia have a greater risk value during pandemics and crises than in stable times, but the effect of pandemic and crisis conditions is not as great as Islamic stocks in Asia as a whole. In order to stabilize markets and reduce risks, regulatory bodies and governments frequently employ a variety of actions during times of crisis. When applied to trading volume, risk, and return patterns, these findings can help determine the appropriate policy.

Keywords: Asian; Indonesian; resilience; risk; returns; Islamic stock (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2024
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