PERFORMANCE OF CONVENTIONAL, ISLAMIC, AND SOCIAL RESPONSIBLE INVESTMENT (SRI) INDICES DURING COVID-19: A STUDY OF INDONESIAN STOCK MARKET

Nur Hidayah () and Putri Swastika ()
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Nur Hidayah: Syarif Hidayatullah State Islamic University, Jakarta, Indonesia
Putri Swastika: Metro State Islamic Institute of Religion,Lampung, Indonesia

Journal of Islamic Monetary Economics and Finance, 2022, vol. 8, issue 4, 517-534

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.

Keywords: Islamic stocks; Socially responsible investing; Capital market; Stock performance; MARCH (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:idn:jimfjn:v:8:y:2022:i:4b:p:517-534

DOI: 10.21098/jimf.v8i4.1483

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