Institutional Repository UIN Sunan Kalijaga YogyakartaANALISIS KOMPARATIF VOLATILITAS JAKARTA ISLAMIC INDEX (JII) DAN INDEKS LQ45 DENGAN PENDEKATAN EVENT DUMMY PERIODE 2021-2025NIM.: 22108030120Tedjun Cahya KartalumasihauthorThis study aims to analyze the comparative volatility of the Jakarta Islamic Index (JII) and the LQ45 Index during the 2021–2025 period across the phases of the COVID-19 pandemic, economic recovery, and geopolitical tensions using the GARCH(1,1) model. The results indicate that the volatility of the LQ45 Index is higher and more persistent than that of the Jakarta Islamic Index (JII). The event dummy variable does not have a significant effect on the volatility of either index. These findings suggest that market dynamics are influenced more by historical volatility than by external events. Furthermore, the results indicate that the Islamic stock index is relatively more stable than the conventional stock index in the face of market uncertainty. Therefore, the Jakarta Islamic Index (JII) demonstrates better risk resilience than the LQ45 Index during the study period and may serve as a more defensive investment alternative for investors.658.15 Manajemen Keuangan2026-06-02UIN SUNAN KALIJAGA YOGYAKARTA;FAKULTAS EKONOMI DAN BISNIS ISLAMThesis

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