Muhammad Syauqy, Alghifary and Dr. Marlina Ekawaty, S.E., M.Si and Vietha Devia Sagita Sumantri, S.E., M.E., Ph.D (2023) Volatilitas Saham Syariah dan Konvensional Sektor Konsumsi Primer Selama Krisis Ekonomi: Contagion Effect dan Pandemi Covid-19. Magister thesis, Universitas Brawijaya.
Abstract
Pandemi Covid-19 memicu guncangan pada pasar saham Indonesia serta menurunkan daya beli masyarakat. Berdasarkan fenomena tersebut, penelitian ini bertujuan untuk mengukur volatilitas saham sektor konsumsi primer saat krisis ekonomi akibat pandemi Covid-19 serta membandingkan kinerja saham syariah dan konvensional pada sektor tersebut. Di samping itu, penelitian ini juga menganalisis pengaruh dari contagion effect dan pandemi Covid-19 terhadap kinerja saham sektor konsumsi primer. Penelitian ini diharapkan dapat memberi manfaat bagi investor dan regulator untuk menjaga stabilitas pasar saham saat krisis ekonomi terjadi di Indonesia. Periode dalam penelitian ini mencakup fase krisis ekonomi di Indonesia saat kehadiran pandemi Covid-19 yang bermula pada Maret 2020 sampai Maret 2021. Penelitian ini menggunakan model GARCH untuk mengukur volatilitas saham yang terjadi saat krisis ekonomi. Sedangkan untuk menganalisis contagion effect, penelitian ini menggunakan model VECM yang melibatkan 4 negara yaitu Indonesia, Amerika Serikat, Britania Raya, dan China. Penelitian ini juga dilengkapi dengan regresi data panel untuk membandingkan kinerja saham syariah dan konvensional selama krisis ekonomi dan mengetahui pengaruh contagion effect dan pandemi Covid-19 terhadap kinerja saham tersebut. Hasil penelitian menunjukkan bahwa saham sektor konsumsi primer mengalami volatilitas yang tinggi selama krisis ekonomi akibat pandemi Covid-19. Volatilitas tersebut lebih tinggi dari saham sektor konsumsi primer di Amerika Serikat, Britania Raya, dan China yang sama-sama memberikan contagion effect terhadap pasar saham di Indonesia. Kinerja saham Indonesia yang mengalami volatilitas tinggi disebabkan oleh jumlah kasus Covid-19 dan pembatasan aktivitas masyarakat serta limpahan contagion effect dari pasar saham negara lain. Jika dibandingkan antara kinerja saham syariah dan konvensional pada sektor tersebut, maka tidak ditemukan perbedaan kinerja yang signifikan.
English Abstract
The Covid-19 pandemic has triggered heavy shocks in Indonesia’s stock market and reduced its citizens’ purchasing power. It is the object of this research to measure the stock volatility of primary consumption-sector companies during the economic crises caused by the pandemic and to compare the performances of sharia and conventional stocks of those companies. In addition, this research also analyzes the impact of contagion effect and Covid-19 pandemic on the stock performances of the said companies. Therefore, this research is expected to be beneficial for investors and regulators in maintaining stock market’s stability when economic crises hit Indonesia. The period of this research encompasses the phases of economic crises in Indonesia during the outbreak, that is from March 2020 to March 2021. Here GARCH model was used to measure the stock volatility during the economic crises, while contagion effect was analyzed using the VECM involving four countries: Indonesia, the United States, the Great Britain, and China. Panel data regression was also used to compare the performance of sharia stocks and conventional stocks during the pandemic and to identify the influence of the contagion effect and Covid-19 pandemic on the performance of those stocks. This study finds that the stocks of the primary consumption-sector companies experienced a high volatility during the economic crises caused by the outbreak. The volatility is higher than that of companies in the same sector in the United States, the Great Britain, and China, which also contributes contagion effect to stock markets in Indonesia. The highly volatile Indonesian stock performance was caused by the number of Covid-19 cases, the people’s activity restriction, and the spill of contagion effect from other countries’ stock market. Further, the performance of sharia stocks and conventional stocks was found to be insignificantly different.
| Item Type: | Thesis (Magister) |
|---|---|
| Identification Number: | 042402 |
| Uncontrolled Keywords: | Contagion Effect, Covid-19, Konsumsi, Krisis Ekonomi, Pasar Saham, Volatilitas, Contagion Effect, Covid-19, Consumption, Economic Crisis, Stock Market, Volatility |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Annisti Nurul F |
| Date Deposited: | 06 Feb 2024 02:31 |
| Last Modified: | 06 Feb 2024 02:31 |
| URI: | http://repository.ub.ac.id/id/eprint/215731 |
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