Pandemic attack and Islamic stocks index: a cross country analysis

Mubarok, Faizul and Al Arif, Mohammad Nur Rianto (2021) Pandemic attack and Islamic stocks index: a cross country analysis. Jurnal Ekonomi Malaysia, 55 (1). pp. 1-11. ISSN 0127-1962


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The impact of Covid-19 has triggered the current global economic downturn affecting all aspects of the economy including the Islamic stock index. This study aims to determine the model for forecasting the index. The Islamic stock index is used in six countries through adopting the Autoregressive Conditional Heteroscedasticity - Generalized Autoregressive Conditional Heteroscedasticity (ARCH-GARCH) method on daily data over the period January 2020 to October 2020. The risk level of each index was found to be influenced by the residual value from the previous day. The forecasting revealed the tendency of all stock prices to decline. These are associated with impacts of the Covid-19 pandemic on current and future economic performance. Investors need to assess the sector's fundamentals and the individual stocks in question, that are potential winners with propensity to recover and grow well once the market rebounds. They also need to continuously track the development of the pandemic in tandem with the economic sector and thus make the necessary adjustments at every step of the investment process.

Item Type:Article
Keywords:Islamic stock index; ARCH; GARCH; Covid-19; Pandemic
Journal:Jurnal Ekonomi Malaysia
ID Code:17269
Deposited By: ms aida -
Deposited On:04 Aug 2021 01:25
Last Modified:06 Aug 2021 02:26

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