Returns and Investors’ Risk Perception as the Determinants of Sharia Index Integration During Covid-19

Capital market liberalization provides international diversification opportunities for investors in the capital market. However, developments information technology that lead to speed of dissemination encourage integration, which a country's will relate other countries' markets. This study uses quantitative approach and determines Jakarta Islamic Index (JII) Dow Jones Market (DJIMI) as research samples. The method used is GARCH Sobel test. results show Indonesia's stock index integrated with global index. integration relationship influenced by investors' risk perceptions, where perceptions have an asymmetric negative returns indicating leverage effect. Meanwhile, cannot mediate effect on indices.