THE IMPACT OF COVID-19 ON ISLAMIC AND CONVENTIONAL STOCKS IN INDONESIA: A WAVELET-BASED STUDY

Mohsin Ali (), Urooj Anwar () and Muhammad Haseeb ()
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Mohsin Ali: Taylor’s University
Urooj Anwar: Monash University Malaysia
Muhammad Haseeb: University of Malaya

Bulletin of Monetary Economics and Banking, 2021, vol. 24, issue Special Issue, 15-32

Abstract: The recent literature shows that COVID-19 has impacted stock markets around the world in many ways. In this paper, we examine the reaction of the Indonesian stock market to COVID-19. We apply the continuous wavelet coherence methodology to daily COVID-19 related deaths and daily conventional and Islamic stock indices in Indonesia. We find that COVID-19 negatively impacts the returns of both indices and enhances their volatility. We find the Islamic stock index to be more volatile as compared to its conventional counterpart during the COVID-19 outbreak.

Keywords: COVID-19; Jakarta Islamic Index; Jakarta Composite Index; Co-movement; Wavelet coherence (search for similar items in EconPapers)
JEL-codes: C58 F37 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:24:y:2021:i:spd:p:15-32

DOI: 10.21098/bemp.v24i0.1480

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