SPILLOVER ASYMMETRIC EFFECT INDEKS SAHAM SYARIAH DAN INDEKS SAHAM KONVENSIONAL DI NEGARA INDONESIA, MALAYSIA, THAILAND SELAMA PANDEMI COVID-19

Masriani Adhillah, NIM.: 20208011051 (2022) SPILLOVER ASYMMETRIC EFFECT INDEKS SAHAM SYARIAH DAN INDEKS SAHAM KONVENSIONAL DI NEGARA INDONESIA, MALAYSIA, THAILAND SELAMA PANDEMI COVID-19. Masters thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study aims to examine the spillover effect of Islamic stock indices and conventional stock indices on ASEAN stock indices using the Nonlinear Autoregressive Distributed Lag (nardl) method to find an asymmetrical spillover effect during the Covid-19 pandemic. The observed data starts from January 1 2020 to September 30 2021 with a total of 336 observations of data for each stock index. This research obtained several findings. First, the Islamic stock index and ASEAN conventional stock index have a short-term asymmetric effect on the ASEAN, Malaysia and Thailand Islamic and conventional stock indexes during the Covid-19 pandemic. Second, the Islamic stock index only has a short-term asymmetric effect on the ASEAN Islamic stock index during the Covid-19 pandemic. Third, the effect when there is a decrease in the conventional stock index is greater than when there was an increase in the Islamic stock index during the Covid-19 pandemic. One of the causes of this relationship is due to the very close trade relations between each country towards ASEAN. The implication of this research is that international investors can use the results of this research as material for decision-making in the event of a contraction due to a crisis such as during the Covid-19 pandemic for Islamic and conventional stock indices to maintain or sell their investment portfolios.

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