Islamic Stock Index Research Articles

Performance Evaluation of Islamic and Non-Islamic Equity and Bonds Indices. Evidence from Selected Emerging and Developed Countries

This article has examined the differences in performance between the Islamic and conventional stocks and bond indices in the developed and emerging countries. The sample period is consisted of 2007 to 2018 in equity, whereas the period of debt is from 2014 to 2018. Different risk-adjusted return measurements have been applied to investigate that Islamic stock indices' performance is better than conventional indices. The results show that the Islamic equity indices have better performance than the traditional indices in financial crisis. The individual sample concludes that Islamic equity indices of Germany and the UK perform better than traditional indices, but in the USA conventional indices perform better. The performance of Shariah equity indices in all selected emerging countries is better than the traditional equity indices. This shows that Islamic indices are highly demanded throughout the world as an alternative to traditional indices.

Effect of Gold Price, Nickel Price, Used Exchange, Dow Jones Industrial Average, and FTSE Malaysia KLCI on Sharia Share Price Index (Sharia Ida) on The Indonesia Stock Exchange in the Period of January 2020 - December 2020

In 2021, Indonesia is known as the country with the largest Muslim population in the world, which is 231,069,932 (data from the Ministry of Trade 2018) or 231 million Muslim population, which is equivalent to 12.7 percent of the Muslim population worldwide. With the largest Muslim population, the Indonesian stock exchange must provide investment facilities that are in accordance with Islamic teachings. So that the Indonesian Sharia Stock Index was formed in 2011. The index consists of all sharia shares listed on the Indonesia Stock Exchange. Many factors affect the price movement of Islamic stock indexes, including gold prices, nickel prices, USD exchange rates, Dow Jones Industrial Average and FTSE Malaysia KLCI.
 
 This study focuses on the object of research in the form of the influence of gold prices, nickel prices, USD exchange rates, Dow Jones Industrial Average, and FTSE Malaysia KLCI on the Sharia Stock Price Index in the research period from January 2020 to December 2020, and obtained a total of 230 data. This study uses the Ordinary Least Square method with the classical assumption test, multiple linear regression analysis, simultaneous test (f test), partial test (t test), and coefficient of determination test.
 
 The results of the test concluded that gold prices, nickel prices, Dow Jones Industrial Average, and FTSE Malaysia KLCI had a significant effect on Islamic IDX partially during the study period, while partially the USD exchange rate had no significant effect on Sharia IDX. Simultaneously, gold prices, nickel prices, USD exchange rates, Dow Jones Industrial Average, and FTSE Malaysia KLCI have a significant influence on Sharia IDX during 2020 with an adjusted R2 of 0.905720 or 90.57%, while the remaining 9.43% is influenced by other variables. which were not investigated in this study.
 
 Keywords: Gold Price, Nickel Price, USD Exchange, Dow Jones Industrial Average, and FTSE Malaysia KLCI, IDX Syariah

COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence

The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. The market model of event study methodology was employed to analyze Islamic stock market reactions in nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized autoregressive conditional heteroscedasticity (GARCH) method was used. Nine Islamic stock indices were selected for this study from the Thomson Reuters data stream. The results suggest that, in the short run, the Islamic Australian stock index and Islamic GCC stock index remained stable for the first 15 days following news of the pandemic. The Islamic stock indexes of Qatar, UAE, ASEAN, MENA, MENASA, and Bahrain were significantly affected by the outbreak in the short-term. On the other hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by the WHO. Moreover, volatility shocks tended to persist for a longer period after COVID-19.

Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?

This study evaluates the safe-haven role of twelve assets against the US stock market during the 2008 global financial crisis (GFC) and the COVID-19 pandemic. Our results show that silver and the Islamic stock index were safe havens during the 2008 GFC, and the Islamic stock index and Tether have been safe havens during COVID-19. We observe that the Islamic stock index and Tether have emerged as strong new safe havens. However, our supplementary analysis reveals that gold and Bitcoin still exhibit safe-haven behavior during severe market downturns. Overall, our findings suggest that safe-haven assets may vary over time.

Impact of Brexit on Islamic stock markets: employing MGARCH-DCC and wavelet correlation analysis

PurposeThis paper aims to study the co-movement dynamics of Islamic equity returns to explain international portfolio diversification opportunities for investors having a heterogeneous stock holding period in light of Brexit.Design/methodology/approachThe authors use the following three recent methodologies: the multivariate generalised autoregressive conditional heteroskedastic-dynamic conditional correlations, continuous wavelet transforms and maximum overlap discrete wavelet transform. Dow Jones Islamic country-based indexes are used from 2 September 2013 to 31 December 2019.FindingsThere is a high correlation between the United Kingdom (UK) Islamic stock market return with the Canadian, USA, Malaysian and Indian implying lesser diversification benefits for the investors. However, the results tend to indicate that UK Islamic stock market investors who have allocated their investment in Sri Lanka, Kuwait, Japan and Turkey have enjoyed diversification benefits. Besides, there is a declining correlation between UK Islamic stock markets and other selected markets aftermath of Brexit. Turkey seems the most volatile stock over the period, appealing to risk-lover investors to gain from price changes. When the shock occurs in the financial sector, the volatility is mean-reverting faster than other markets in Sri Lanka. On the other hand, Malaysia appears to have the least volatility implying a stable financial sector.Research limitations/implicationsThe results tend to shed light on effective portfolio diversification benefits in light of the recent shock (Brexit) between the UK Islamic stock index and other selected indexes that vary from country to country depending on investment horizons. This critically confirms the significance of heterogeneity in investment horizons and provides significant inferences for portfolio diversification strategies.Originality/valueTo the best of the authors’ knowledge, this study is the first study investigating the Brexit effect on Islamic stocks, guiding Shariah sensitive investors in their diversification strategies, providing information to investors to consider the implications of this incident on Islamic stocks for future shocks.

Conventional and Islamic stock market liquidity and volatility during COVID 19

ABSTRACT The coronavirus pandemic has impacted several stock markets worldwide. Among other countries, the US has endured a significant impact of the pandemic, with over 605,000 deaths. This study investigates the effect of COVID-19 on the liquidity and volatility of the US conventional and Islamic stock indexes to assess their efficiency in a linear and nonlinear frammeworks. We use different stock market data (stock prices and trading volumes) and COVID-19 statistics. In particular, we specify liquidity and volatility differently, compute the speed of COVID-19 transmission, rely on robust linear and nonlinear regressions before and during the pandemic to determine different forms of coronavirus effects. The study finds that both liquidity and volatility (regardless of the proxy under consideration) exhibit an important time variation. Second, we find that the variation of contamination and death speeds related to the pandemic has been nonlinearly driving market trading, liquidity, and volatility, suggesting a significant reaction of stock market to exogenous news related to the coronavirus outbreak and inefficiency of these markets. Considering this dependency is crucial to improving the forecasting of stock market dynamics. Further, we find that Islamic funds are not more resilient than conventional funds towards the pandemic.

Can country risks predict Islamic stock index? Evidence from Indonesia

PurposeThis study aims to examine the relationship between the Indonesian Islamic capital market, the country's risk and macroeconomic factors.Design/methodology/approachThis study uses the Johansen cointegration test and the vector error correction model (VECM) on monthly data from January 2003 to March 2016 to examine the variables that influenced the Islamic capital market proxied by the Jakarta Islamic Index (JII).FindingsThe findings indicate the existence of short-term and long-term cointegrations between country risk (political, economic and financial risks), macroeconomic variables (industrial production index, inflation and oil price) and JII. In the long run, financial risk positively affects the JII, whereas economic risks and inflation are negatively related. In the short run, only inflation affect negatively the JII.Practical implicationsThe study emphasizes the critical role of financial risk in affecting the Islamic capital market. Investors negatively respond to higher financial risk and react positively to more increased economic threats. The variable of financial risk has the highest coefficient, indicating that the investors favour a conducive financial environment in deriving JII.Originality/valueThis study extends the previous literature with an attempt to empirically examine the influence of Indonesia's country risk on the Islamic stock market through VECM.

Acceleration of Islamic Bank Financing in Indonesian Agriculture Sector

Economic instability is a challenge for Islamic banks in channeling financing to various sectors including agriculture. This study aims to shed some light on the influence of economic indicators and the financing response to agriculture sector using monthly data from 2006 to 2020, including data from agriculture sector financing, interest rates, inflation, exchange rates, Islamic stock index, and composite stock index. This study employed Vector Error Correction Model (VECM) method. The results revealed that only interest rates and inflation affected Islamic bank financing in the short and long term period. Islamic bank financing in the agriculture sector reached the fastest stability when responding to exchange rate shocks. The results further showed that interest rates mostly influenced the level of diversity in Islamic bank financing in the agriculture sector. The results suggest that stakeholders need to play a crucial role in stabilizing economic turmoil to accelerate Islamic bank financing particularly in agriculture sector.

Asymmetric Impact of Bitcoin Sentiments on Sectoral Stock Returns

This study cross-checks the symmetric and asymmetric effects of investor’s optimistic and pessimistic sentiments of Bitcoin on 23 sectoral stock return indices (10 Islamic stock sectoral indices and one composite Islamic market index by Dow Jones Islamic market and 12 industrial indices by Kenneth R French). Results of Autoregressive Distributed Lag (ARDL) and Nonlinear ARDL models are supporting our conjecture that when investors’ are being optimistic (pessimistic) to Bitcoin they move part of their funds from stocks (Bitcoin) to Bitcoin (stocks). Second, we found asymmetric effects of both sentiment indices on the Islamic stock indices and conventional stock indices. Third, we found support for the decoupling hypothesis as Bitcoin sentiments are affecting conventional stock indices more than Islamic stock indices. Fourth, investors’ optimistic sentiments are robust than pessimistic sentiments explaining sectoral stock return indices. Fifth, insignificance of OBSI and PBSI in most of the sectoral stock indices are evidencing the hedging opportunity for Bitcoin investors.

Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis

We empirically explore the effect of the COVID-19 pandemic on Islamic and conventional stock markets from a global perspective. We also explore the co-movement between Islamic and conventional stock markets. Two comparable pairs of conventional and Islamic stock indices – Dow Jones Index and FTSE Index are considered in this study. Employing Wavelet-based multi-timescales techniques on the daily data from 21st January to 27th November 2020, our findings indicate that the pandemic creates identical volatility in both stock markets. Our findings further suggest that both markets are strongly associated and tend to co-move highly during our sample period, rebutting the decoupling hypothesis of the Islamic stock market from the conventional market. However, the Shariah screening process fails to provide immunity to Islamic stock markets against financial crises. Our findings suggest that investors should be aware that Islamic stocks' conservative features do not present a superior investment alternative, especially in economic turmoil.

Pengaruh Nilai Tukar Rupiah Terhadap Indeks Saham Syariah Indonesia Periode 2018-2020

The purpose of this study was to determine the relationship between the rupiah exchange rate and the Islamic stock index. The research approach taken is a quantitative approach. The data source comes from secondary data. The data collection technique is done by documenting or retrieving data online from the official state website. Based on the research conducted, the conclusion is that the rupiah exchange rate has a positive relationship to the Indonesian Islamic stock index, because the rupiah exchange rate has an effect on Islamic stock prices, this can be seen from the t test which says T count is 6.5097, T table is equal to 2,0017. 6,509> 2,0017 then H0 is rejected and Ha is accepted, which means that the exchange rate variable has a significant effect on the ISSI. Therefore this study raises the rupiah exchange rate and the Indonesian Islamic stock index with the intention to determine the effect and significance of the rupiah exchange rate on the Index Sharia Shares of Indonesia during the 2018-2020 period. The relationship between the exchange rate of 56.8% and the share price of Indonesian Islamic stocks is the remaining 43.2% which is not influenced by other variables, so that the variables examined between the rupiah exchange rate and Indonesian Islamic stocks have an effect because the percentage exceeds 50%. It can be concluded that the rupiah exchange rate affects the Indonesian Islamic stock index

Pengaruh Inflasi, Kurs, dan BI 7-Day Rate terhadap Indeks Saham Syariah Indonesia (ISSI) Periode 2015-2020

The purpose of this study is to analyze the effect of inflation, exchange rates, and bi-7-day ratios on the Indonesian Sharia Stock Index (ISSI) for the 2015-2020 period. The method used in this research is to collect data such as through website and library studies. Data analysis in this study uses multiple ECM analysis with the help of the Eviews 8 computer program. The results of this analysis indicate that the inflation variable has an influence on the Indonesian Islamic stock index. However, the exchange rate and the bi 7 day rate do not have a significant effect on the Indonesian Islamic stock index.

Default Risk on Islamic Banking in Indonesia

The problem of default by debtors becomes a primary concern for Islamic banking recently. This study analyzes the effect of economic pressure on the risk of default on Islamic banks, both in the short and long term, the risk response of default, and also other variables' contribution in explaining the diversity of risk of default of Islamic banks. This study used monthly data from 2007 to 2020 by using a vector error correction model. The results show that inflation and exchange rates affect the risk of default in the short term, while inflation, exchange rates, and interest rates affect the risk of default in the long run. Non-performing financing quickly stabilized when responding to the interest rates. The Islamic stock index has the most significant contribution in explaining the diversity of default risks. Islamic banks must be aware of the monetary fluctuation and also careful in analyzing the demand for financing by looking at the future economic prospects.

PENGARUH NILAI TUKAR RUPIAH DAN BI 7 DAYS REPO RATE TERHADAP INDEKS SAHAM SYARIAH INDONESIA (PERIODE 2016-2019)

This study has the background that the capital market has an important role in the economy of a country because the capital market performs two functions, namely as a means for business funding or as a means for companies to obtain funds from the investor community. Second, the two capital markets become a means for people to invest in financial instruments such as stocks, bonds, mutual funds and so on. Thus the community can place funds in accordance with the profit and risk characteristics of each instrument.there are several macroeconomic and monetary factors that can affect stock movements such as the rupiah exchange rate and BI 7 days repo rate. 
 This study aims to determine the effect of the Rupiah and BI 7 Days Repo Rate on the Indonesian sharia stock indekx in the (2016-2019 Period) partially or simultaneously. The research method used in this study is a quantitative method. The object of this research is a statistical report on Indonesian Islamic stock indexes operating in Indonesia and registered in sharia capital market statistics issued by the Financial Services Authority and obtained from the official website of Bank Indonesia (BI). The analytical method used in this study is multiple regression analysis.
 The results of this study indicate that partially the rupiah exchange rate has a significant positive effect on the Indonesian Islamic stock index and the BI 7 days repo rate has a significant negative effect on the Indonesian Islamic stock index. While simultaneously the rupiah exchange rate variable and the BI 7 days repo rate have a significant positive effect on the Indonesian sharia stock index.

Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis

PurposeThe purpose of the study is to measure cross-country stock market correlation and volatility transmission during the global coronavirus disease 2019 (COVID-19) pandemic. The paper traces trajectory of Islamic equity investments in order to get insights on the behavior of the markets during the crisis.Design/methodology/approachThe paper uses generalized method of moments (GMM), autoregressive distributed lag (ARDL) and multivariate GARCH (MGARCH) models for analysis of dynamic causality, stock market cointegration, correlation and volatility transmission between Islamic stock indices.FindingsThe result of normal correlation analysis on the share indices show the markets move together. The result of ARDL cointegration test shows the markets returns are cointegrated as a group. To further make sense of the data; the indices were grouped into four different categories, then cointegration tests were conducted. The results of the analysis show that the subgroups are cointegrated except the low COVID-19 subgroup. Based on MGARCH findings, the possibility of volatility transmission between markets during the crisis is high. The market returns indices show the usual herd mentality common during the period of crisis.Originality/valueUnlike other works in this area, this paper attempt to trace the trajectory of Islamic equity investment in order to get relevant insights and arrives at appropriate ways of responding to the crisis.

Komparasi Indeks Saham Syariah Indonesia (ISSI) Sebelum dan Saat Pandemi Covid-19


 Corona Virus Dieases 2019 (Covid-19) has become a global pandemic that has hit almost all countries. No exception, Indonesia is also the place where the epidemic has hit. Apart from the health sector, the economic sector is one of the sectors most affected as well. This can beseen in the country's economic recession and the decline in the stock price index. This research aims to determine the comparison of the Islamic stock index before and during the Covid-19 pandemic. Method this research is to use quantitative descriptive analysis method using paired sample t-test. The research was conducted from March 1, 2019 to March 1, 2021. The results showed that the increase in the number of Covid-19 cases did not significantly affect the movement of the Indonesian Sharia Stock Index (ISSI) so there was no significant difference between average prices. ISSI shares before and during the Covid-19 pandemic. With the results of this study, it is hoped that it can provide a reference for investors to choose and invest in Islamic stocks, because the strength of Islamic stocks is quite good.

Islamic index market sentiment: evidence from the ASEAN market

PurposeThe purpose of this paper is to examine investor sentiment by measuring the impact of market sentiment shocks on the volatility of the Islamic stock index of five ASEAN countries, with noise traders as a proxy for market sentiment.Design/methodology/approachThe GJR-GARCH model is used to capture the empirically observed fact that negative shocks in the past period have a stronger impact on variance than positive shocks in the present.FindingsAll five ASEAN Islamic stock indices show clustering volatility. However, only three countries, namely, Malaysia, Thailand and Singapore, demonstrate leverage effects. In addition, the effect of market sentiment on Islamic stock index returns is observed in the Indonesian and Malaysian markets, which are the two largest Islamic markets with a dominant Muslim population in the ASEAN. This finding implies that the trading behaviours of Muslim investors in the Shariah market are the same as their behaviours in the conventional market, that is, nonadherence to the Sunnah.Practical implicationsWhilst establishing investment strategies, creating portfolios and providing client-advisory services, investors and fund managers should factor in the presence of market sentiment and its impact on stock performance and volatility. In addition, a capital market system preventing rumour-based transactions is compelling.Social implicationsIn some markets, the Islamic financial products awareness should be increased through education to attract increased domestic investors with the potential to boost growth in the Islamic stock market.Originality/valueInvestigation market sentiment impacts on the Islamic stock index using noise traders as a proxy.

COMPARATIVE ANALYSIS OF RISK AND RETURN ON INDONESIAN ISLAMIC STOCK INDEX IN DIFFERENT ECONOMIC CONDITIONS

This study aims to analyze the differences in risk and rate of return on Islamic stocks during the economic crisis, when the economy is stable, and during the pandemic-covid. The sample used is the Indonesian Islamic stock index JII30 from 2018-2020. The data analysis used was a different test (T-test). The test variable uses stock returns and risk as proxied by Value at Risk (VaR). The results indicate there is no significant difference in the return and risk of stock index JII30 between economic crisis conditions and when economic conditions are stable. However, there is a significant difference between the JII30 stock index when the economy is stable and during the pandemic-covid, also there were significant differences in return and risk in the JII30 Index between the economic crisis (2018) and the pandemic's economic conditions (2020).

THE ANALYSIS OF FINANCIAL PERFORMANCE IN RISK SYSTEMATIC AND RETURN STOCK FOR MANUFACTURING COMPANIES LISTED IN INDONESIA STOCK SHARIAH INDEX (ISSI)

The purpose of this research is to examine and analyze the effect of financial performance(liquidity, activity, leverage, growth, and profitability) on the systematic risk and return ofIslamic stocks in the Indonesian Islamic stock index. This research data is gathered from annualreports on manufacturing companies within the year 2017-2019. This research population is allmanufacturing companies listed in the Indonesian Shariah Stock Index for the period 2017-2019 by using the purposive sampling method. The research technique used is a regressionwith Structural Equal Model Partial Least Square (SEM-PLS) consists of Inner model, Outersmodel, and Weight relation. The test results showed that all tested variables were influencedby other variables and were significant except Liquidity against systematic risk. And Leverageagainst systematic risk showing that liquidity, Leverage, Profitability have a not significanteffect on the systematic risk structure is rejected whereas hypotheses other research accepted

Do Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?

This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted from the global to the Islamic equity market. The economic factors examined are the exchange rate, inflation rate, interest rate, and production growth. To achieve the purpose of the study, we utilize three analysis tools: a GARCH(p,q) model to derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure of volatility spillover as the dependent variable; and a panel data regression technique to assess the causality significance of macroeconomic factors to volatility spillover. This study is the first which expands such approaches. We observe monthly data of world and Islamic market indices, exchange rates, consumer price indices, interest rates, and industrial production indices. The data, which range from May 2002 to February 2019, are taken from the world market, and twenty-three economies, which consist of fourteen developed and nine emerging markets that have Islamic stock indices. In several sections, we provide important additional analysis for five stock markets in Central European economies, which are compared to the others. The finding suggests that the presence of volatility spillover on the Islamic markets that originates from the global market is affected by the internal instabilities of macroeconomic factors, except for industrial production instability for developed markets, including Central European markets. An implication of the study is that regulators should anticipate and prevent adverse consequences of volatility spillover by arranging their internal economic policy to control inflation rates, interest rates, and industrial production growth, as well as exchange rate flexibility. Moreover, market practitioners should include both global market volatility and macroeconomic instabilities in their prediction to create minimum risk.