Is the Volatility of the Islamic Stock Index Lower than the Conventional Stock Index during Covid-19 Pandemic? Empirical Evidence in Indonesia Stock Exchange

AbstractThe Islamic stock index is a composite of stocks listed on the Indonesia Stock Exchange (IDX). Therefore, expected to have low volatility and be resistant possible financial crisis. This study aims see whether lower than conventional during Covid-19 The data taken daily closing for JKSE JII period March 1, 2020, April 30, 2022, with total 532 observations. model used ARMA/ ARIMA which then followed by ARCH – GARCH model. results this indicate that appropriate GARCH(1,1) there no problem asymmetry effect. findings are crisis, was tendency return indexes were relatively against crisis occurred. AbstrakIndeks saham syariah adalah indeks komposit yang tercatat di Bursa Efek (BEI). Karena itu, diharapkan memiliki volatilitas rendah dan tahan terhadap krisis keuangan kemungkinan terjadi. Penelitian ini, bertujuan untuk melihat apakah lebih dibandingkan konvensional semasa yaitu Covid-19. Data diambil penutupan harian IHSG periode 1 Maret 2020 sampai dengan 30 sebanyak pengamatan. Model dipergunakan kemudian dilanjutkan GARCH. Hasil penelitian ini menunjukkan bahwa maupun sesuai tidak terdapat masalah effect asimetri. Temuan selama kecenderungan relative imum