Results and Comparison of Volatility Between Prices Between IHSG and ISSI: A Case Study of the Turmoil Period 2020-2021

Universitas Yudharta Pasuruan, Kholid Murtadlo (2022) Results and Comparison of Volatility Between Prices Between IHSG and ISSI: A Case Study of the Turmoil Period 2020-2021. Malia, 14 (1). ISSN 2549-2578

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Abstract

Knowing the results and comparing the effect of the period of turmoil between the volatility of the Composite Stock Price Index(IHSG) and the Indonesian Sharia Stock Index (ISSI) is the purpose of this study. Then to compare the effect of the volatility of the IHSG and ISSI and find out the results of macroeconomic variables that show a period of turmoil in 2020 to 2021.The Covid-19 pandemic, the trade war between the United States and China, demonstrations against the Draft Law. Job Creation with Gross Domestic Product (GDP), interest rates, world oil prices, inflation, rupiah-dollar exchange rates, interest rates, world oil prices, Shanghai Stock Exchange (SSE) Composite Index, and New York. The Stock Exchange (NYSE) is a time of turmoil in this research. Five working days data from 2020 to 2021 which is used as a variable. Quantitative analysis uses TGARCH Model and VECM in this analysis method. Against the times of turmoil, Based on the results of TGARCH shows that ISSI volatility has a significant effect smaller.Compared to volatility IHSG, According to the results of VECM analysisshows that the period of turmoil from 2020 to 2021 has more of an impact on ISSI's volatility.

Item Type: Article
Contributors:
ContributionContributorsEmail
UNSPECIFIEDUniversitas Yudharta Pasuruan, KHOLID MURTADLOUNSPECIFIED
Subjects: Ilmu Sosial > Ilmu Politik dan Pemerintahan
Ilmu Sosial > Ilmu Ekonomi
Divisions: Fakultas Ilmu Sosial & Politik > Administrasi Bisnis
Date Deposited: 15 Nov 2023 08:50
Last Modified: 15 Nov 2023 08:50
URI: https://repository.yudharta.ac.id/id/eprint/3232

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