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Exploring the Resilience of Islamic Stock in Indonesia and Asian Markets

Author

Listed:
  • 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
    Darbandikhan Technical Institute, Sulaimani Polytechnic University, Sulaimaniyah 70-236, Iraq)

  • 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)

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.

Suggested Citation

  • Nofrianto Nofrianto & Deni Pandu Nugraha & Amanj Mohamed Ahmed & Zaenal Muttaqin & Maria Fekete-Farkas & István Hágen, 2024. "Exploring the Resilience of Islamic Stock in Indonesia and Asian Markets," JRFM, MDPI, vol. 17(6), pages 1-16, June.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:239-:d:1410422
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    References listed on IDEAS

    as
    1. Yamai, Yasuhiro & Yoshiba, Toshinao, 2005. "Value-at-risk versus expected shortfall: A practical perspective," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 997-1015, April.
    2. Zaghum Umar & Syed Jawad Hussain Shahzad & Román Ferrer & Francisco Jareño, 2018. "Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states," Applied Economics, Taylor & Francis Journals, vol. 50(42), pages 4500-4521, September.
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