COVID-19, KURS DAN INDEKS SAHAM SYARIAH DI ASIA: SEBUAH PENDEKATAN SIMETRIS DAN ASIMETRIS
Main Article Content
Abstract
Penelitian ini bertujuan untuk menguji hubungan simetris jangka panjang pandemi Covid-19 dan kurs dollar terhadap indeks saham syariah di wilayah Asia dan menguji hubungan asimetris jangka panjang atau asimetris spillover effect indeks saham syariah Cina terhadap indeks saham syariah di wilayah Asia dalam periode 01 Januari 2020 sampai 30 Septermber 2021. Untuk menguji hubungan simetris jangka panjang, digunakan model Autoregressive Distributed lag (ARDL) dan model Nonliner Autoregressive Distributed Lag (NARDL) untuk menguji hubungan asimetris jangka panjang. Hasil pengujian dengan model ARDL menemukan bahwa variabel pandemi Covid-19, yaitu jumlah kasus dan jumlah kematian serta kurs dollar berkointegrasi terhadap indeks saham syariah Thailand, Indonesia, Cina, Jepang, Kuwait, Qatar, Sri Lanka dan Taiwan. Sedangkan pengujian dengan model NARDL menemukan bahwa indeks saham syariah Cina berpengaruh asimetris terhadap indeks saham syariah Taiwan, Pakistan, dan Sri Lanka dalam jangka panjang. Hasil penelitian ini dapat digunakan oleh para pihak yang terlibat dalam sektor pasar modal, seperti pembuat kebijakan dan akademisi muslim sebagai langkah preventif dalam menganalisa pergerakan saham syariah dan khususnya investor internasional muslim sebagai bahan pertimbangan investasi pada masa pandemi Covid-19.
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COVID-19, KURS DAN INDEKS SAHAM SYARIAH DI ASIA: SEBUAH PENDEKATAN SIMETRIS DAN ASIMETRIS. (2022). I-Finance: A Research Journal on Islamic Finance, 7(2), 85-106. https://doi.org/10.19109/ifinance.v7i2.10262
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I-Finance by http://jurnal.radenfatah.ac.id/index.php/I-Finance is lincensed under a Creative Commons Attribution-ShareAlike 4.0 International Lisence.
How to Cite
COVID-19, KURS DAN INDEKS SAHAM SYARIAH DI ASIA: SEBUAH PENDEKATAN SIMETRIS DAN ASIMETRIS. (2022). I-Finance: A Research Journal on Islamic Finance, 7(2), 85-106. https://doi.org/10.19109/ifinance.v7i2.10262
References
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Chang, B. H., & Rajput, S. K. O. (2018). Do The Changes In Macroeconomic Variables Have S Symmetric Or Asymmetric Effect On Stock Prices? Evidence From Pakistan. South Asian Journal of Business Studies, 7(3), 312–331. https://doi.org/10.1108/SAJBS-07-2018-0077
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Ghozali, I., & Ratmono, D. (2018). Analisis Multivariat dan EKonometrika (Kedua). Badan Penerbit-Undip.
Gormsen, N. J. C., & Koijen, R. S. J. (2020). Coronavirus: Impact on Stock Prices and Growth Expectations. The Review of Asset Pricing Studies, 10(4), 574–597. https://doi.org/10.3386/W27387
Griffith, R., Levell, P., & Stroud, R. (2020). The impact of COVID-19 on Share Prices in the UK. Institute For Fiscal Studies. https://doi.org/10.1920/BN.IFS.2020.BN0276
Grima, S., Özdemir, L., Özen, E., & Romānova, I. (2021). The interactions between covid-19 cases in the usa, the vix index and major stock markets. International Journal of Financial Studies, 9(2). https://doi.org/10.3390/ijfs9020026
Hasan, M. B., Mahi, M., Sarker, T., & Amin, M. R. (2021). Spillovers of the COVID-19 Pandemic: Impact on Global Economic Activity, the Stock Market, and the Energy Sector. Journal of Risk and Financial Management, 14(5), 200. https://doi.org/10.3390/jrfm14050200
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He, Q., Liu, J., Wang, S., & Yu, J. (2020). The impact of COVID-19 on Stock Markets. Economic and Political Studies, 0(0), 275–288. https://doi.org/10.1080/20954816.2020.1757570
Hoshikawa, T., & Yoshimi, T. (2021). The Effect of the COVID-19 Pandemic on South Korea’s Stock Market and Exchange Rate. Developing Economies, 59(2), 206–222. https://doi.org/10.1111/deve.12276
Hung, N. T. (2019). Return and volatility spillover across equity markets between China and Southeast Asian countries. Journal of Economics, Finance and Administrative Science, 24(47), 66–81. https://doi.org/10.1108/JEFAS-10-2018-0106
International Monetary Fund. (2021). Fault Lines Widen in The Global Recovery. World Economic Outlook Update, July 2021, 1–21. https://www.imf.org/en/Publications/WEO/Issues/2021/07/27/world-economic-outlook-update-july-2021
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Kim, K., & Ryu, D. (2020). Predictive Ability Of Investor Sentiment For The Stock Market. Romanian Journal of Economic Forecasting, 4(2019), 33–46.
Lento, C., & Gradojevic, N. (2021). S&P 500 Index Price Spillovers around the COVID-19 Market Meltdown. Journal of Risk and Financial Management, 14(7), 330. https://doi.org/10.3390/jrfm14070330
Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8). https://doi.org/10.3390/IJERPH17082800
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Marçal, E. F., Prince, D. de, Zimmermann, B., Merlin, G., & Simões, O. (2020). Assessing Global Economic Activity Linkages: The Role Played by United States, Germany and China. EconomiA, 21(1), 38–56. https://doi.org/10.1016/j.econ.2020.01.001
Mazur, M., Dang, M., & Vega, M. (2020). COVID-19 and March 2020 Stock Market Crash. Evidence from S&P1500. SSRN Electronic Journal. https://doi.org/10.2139/SSRN.3586603
McKibbin, W., & Vines, D. (2020). Global macroeconomic cooperation in response to the COVID-19 pandemic: A roadmap for the G20 and the IMF. Oxford Review of Economic Policy, 36, S297–S337. https://doi.org/10.1093/oxrep/graa032
Mustafa, H. M. (2020). The impact of some macroeconomic variables on the general index of the Iraq Stock Exchange Duration (2005-2018): an applied study. Academic Journal of Nawroz University, 9(4), 105–116. https://doi.org/https://doi.org/10.25007/ajnu.v9n4a917
Nguyen, T. N., Nguyen, D. T., & Nguyen, V. N. (2020). The impacts of oil price and exchange rate on Vietnamese stock market. Journal of Asian Finance, Economics and Business, 7(8), 143–150. https://doi.org/10.13106/JAFEB.2020.VOL7.NO8.143
O’Donnell, N., Shannon, D., & Sheehan, B. (2021). Immune or at-risk? Stock markets and the significance of the COVID-19 pandemic. Journal of Behavioral and Experimental Finance, 30, 100477. https://doi.org/10.1016/j.jbef.2021.100477
Panjaitan, Y., & Novel, R. (2021). Volatility Spillover Among Asian Developed Stock Markets to Indonesia Stock Market During Pandemic Covid-19. Jurnal Keuangan Dan Perbankan, 25(2), 342–354. https://doi.org/10.26905/jkdp.v25i2.5532
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches To The Analysis Of Level Relationships. Journal of Applied Econometrics, 16, 289–326.
Rahmayani, D., & Oktavilia, S. (2021). Does the Covid-19 Pandemic Affect the Stock Market in Indonesia? Jurnal Ilmu Sosial Dan Ilmu Politik, 24(1), 33–47. https://doi.org/10.22146/JSP.56432
Rusmita, S. A., & Swastika, P. (2021). Do Islamic Stock Indexes Integrated with Conventional Stock Indexes?: Evidence from Indonesia and Malaysia. Asian Management And Business Review …, 1(1), 57–67. https://doi.org/10.20885/AMBR.vol1.iss1.art6
Ryu, D., Ryu, D., & Yang, H. (2020). Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market. Emerging Markets Finance and Trade, 56(8), 1804–1816. https://doi.org/10.1080/1540496X.2019.1675152
Saidi, L. O., Muthalib, A. A., Adam, P., Rumbia, W. A., & Sani, L. O. A. (2021). Exchange rate, exchange rate volatility and stock prices: An analysis of the symmetric and asymmetric effect using ardl and nardl models. Australasian Accounting, Business and Finance Journal, 15(4), 179–190. https://doi.org/10.14453/aabfj.v15i4.11
Saleem, A., Bárczi, J., & Sági, J. (2021). COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence. Journal of Risk and Financial Management, 14(8), 389. https://doi.org/10.3390/jrfm14080389
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