Alghifary, Muhammad Syauqy and Ika Khusnia Anggraini, (2022) Volatilitas Saham Syariah Dan Konvensional Di Indonesia Selama Masa Pandemi Covid-1. Sarjana thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk membandingkan performa antara saham syariah dan konvensional selama krisis pandemi Covid-19. Performa ditinjau dari tingkat volatilitas yang dialami oleh Indeks Saham Syariah Indonesia (ISSI) dan Indeks Harga Saham Gabungan (IHSG). Berdasarkan hasil uji beda dengan metode Paired T-Test dan Wilcoxon Rank Test, ditemukan bahwa baik ISSI maupun IHSG sama-sama mengalami perubahan signifikan antara sebelum dan setelah penyebaran virus Covid-19. Perubahan signifikan terjadi ketika penyebaran kasus pertama dan varian Delta, sedangkan ketika terjadi penyebaran varian Omicron tidak ditemukan perubahan yang signifikan. Kemudian, berdasarkan hasil estimasi model GARCH yang dilakukan untuk mengukur volatilitas, ditemukan bahwa kedua jenis saham mengalami volatilitas yang tinggi selama pandemi Covid-19 dengan nilai mencapai 0,94 dari skala 1. Volatilitas tersebut dipengaruhi oleh histori pergerakan saham itu sendiri maupun faktor lain di luar pasar modal. Volatilitas yang terjadi pada saham syariah dan konvensional tidak jauh berbeda, meskipun keduanya memiliki perbedaan karakter dalam ketentuan rasio utang dan pendapatan. Faktor fundamental yang menjadi penyebab volatilitas ini adalah gejolak makroekonomi yang terjadi seperti fluktuasi nilai Rupiah, emas, dan minyak dunia. Di samping itu, volatilitas saham di Indonesia juga didorong oleh efek kontagion dari indeks saham global yang berpotensi menyebarkan risiko keuangan di Indonesia
English Abstract
This study aims to compare the performance of Islamic and conventional stocks’ performance amid a crisis. The performance is measured by analyzing the volatility of the Indonesian Sharia Stock Index (ISSI) and the Composite Stock Price Index (IHSG) IHSG during the Covid-19 pandemic. Based on the results of the different tests using the paired t-test and Wilcoxon rank test methods, it was concluded that the ISSI and IHSG experienced significant changes before and after discovering the first case of Covid-19 in Indonesia. Significant changes in both values are also found when the Delta variance spreads. Meanwhile, when the third wave occurred due to the presence of the Omicron variant, ISSI and IHSG were able to move more stable and did not experience significant shocks. Then, the estimation results of the GARCH model conclude that both Islamic stocks and conventional stocks have an immense volatility power with an identical value of 0.94 or close to 1. The volatility is also significantly influenced by the previous volatility and the squared error representing other previous events outside the model. The volatility that occurs in Islamic and conventional stocks is not much different, even though both stocks have different characters in the ratio of debt and income. Fundamental factors also cause this high volatility in the form of shocks in several macroeconomic variables, including the rupiah exchange rate, gold prices, and world oil prices. In addition, the contagion effect that occurred during the Covid-19 crisis also contributed to the spread of systemic risk in global stock indexes on stock volatility in Indonesia
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | :0522020250 |
| Uncontrolled Keywords: | Saham, Volatilitas, GARCH, Covid-19, Stocks, Volatility, GARCH, Covid-19. |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Nur Cholis |
| Date Deposited: | 02 Feb 2023 06:39 |
| Last Modified: | 02 Feb 2023 06:39 |
| URI: | http://repository.ub.ac.id/id/eprint/197252 |
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