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Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis

Author

Listed:
  • Mubarok, Faizul

    (Universitas Islam Negeri Syarif Hidayatullah Jakarta INDONESIA)

  • Al Arif, Mohammad Nur Rianto

    (Universitas Islam Negeri Syarif Hidayatullah Jakarta INDONESIA)

Abstract

The impact of Covid-19 has triggered the current global economic downturn affecting all aspects of the economy including the Islamic stock index. This study aims to determine the model for forecasting the index. The Islamic stock index is used in six countries through adopting the Autoregressive Conditional Heteroscedasticity - Generalized Autoregressive Conditional Heteroscedasticity (ARCH-GARCH) method on daily data over the period January 2020 to October 2020. The risk level of each index was found to be influenced by the residual value from the previous day. The forecasting revealed the tendency of all stock prices to decline. These are associated with impacts of the Covid-19 pandemic on current and future economic performance. Investors need to assess the sector’s fundamentals and the individual stocks in question, that are potential winners with propensity to recover and grow well once the market rebounds. They also need to continuously track the development of the pandemic in tandem with the economic sector and thus make the necessary adjustments at every step of the investment process.

Suggested Citation

  • Mubarok, Faizul & Al Arif, Mohammad Nur Rianto, 2021. "Pandemic Attack and Islamic Stocks Index: A Cross Country Analysis," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(1), pages 27-37.
    • Handle: RePEc:ukm:jlekon:v:55:y:2021:i:1:p:27-37
    DOI: http://dx.doi.org/10.17576/JEM-2021-5501-2
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    References listed on IDEAS

    as
    1. Al-Awadhi, Abdullah M. & Alsaifi, Khaled & Al-Awadhi, Ahmad & Alhammadi, Salah, 2020. "Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    2. Musaed S. AlAli, 2020. "Risk Velocity and Financial Markets Performance: Measuring the Early Effect of COVID-19 Pandemic on Major Stock Markets Performance," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 6(4), pages 76-81, 04-2020.
    3. Pengpeng Yue & Aslihan Gizem Korkmaz & Haigang Zhou, 2020. "Household Financial Decision Making Amidst the COVID-19 Pandemic," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(10), pages 2363-2377, August.
    4. Qing He & Junyi Liu & Sizhu Wang & Jishuang Yu, 2020. "The impact of COVID-19 on stock markets," Economic and Political Studies, Taylor & Francis Journals, vol. 8(3), pages 275-288, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    ARCH; Covid-19; GARCH; Islamic Stock Index; Pandemic;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management
    • H54 - Public Economics - - National Government Expenditures and Related Policies - - - Infrastructures

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