新冠肺炎对印度尼西亚伊斯兰和常规股票的影响:基于小波的研究

Q2 Economics, Econometrics and Finance Buletin Ekonomi Moneter dan Perbankan Pub Date : 2021-03-08 DOI:10.21098/BEMP.V24I0.1480
Mohsin Ali, Urooj Anwar, M. Haseeb
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引用次数: 10

摘要

最近的文献显示,新冠肺炎在许多方面影响了世界各地的股票市场。在这篇论文中,我们考察了印尼股市对新冠肺炎的反应。我们将连续小波相干性方法应用于每日新冠肺炎相关死亡以及印度尼西亚每日传统和伊斯兰股票指数。我们发现,新冠肺炎对这两个指数的回报产生了负面影响,并增强了其波动性。我们发现,与新冠肺炎疫情期间的传统股指相比,伊斯兰股指波动更大。
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IMPACT OF COVID-19 ON ISLAMIC AND CONVENTIONAL STOCKS IN INDONESIA: A WAVELET-BASED STUDY
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 inIndonesia. 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.
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来源期刊
Buletin Ekonomi Moneter dan Perbankan
Buletin Ekonomi Moneter dan Perbankan Economics, Econometrics and Finance-Finance
CiteScore
2.20
自引率
0.00%
发文量
1
审稿时长
5 weeks
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