The recent literature shows that COVID-19 has impacted stock markets around the world in many ways. In this paper, we examine the reaction of the Indonesian stock market to COVID-19. We apply the continuous wavelet coherence methodology to daily COVID-19 related deaths and daily conventional and Islamic stock indices in Indonesia. We find that COVID-19 negatively impacts the returns of both indices and enhances their volatility. We find the Islamic stock index to be more volatile as compared to its conventional counterpart during the COVID-19 outbreak.
CITATION STYLE
Ali, M., Anwar, U., & Haseeb, M. (2021). The impact of COVID-19 on Islamic and conventional stocks in Indonesia: A wavelet-based study. Buletin Ekonomi Moneter Dan Perbankan, 24, 15–32. https://doi.org/10.21098/BEMP.V24I0.1480
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