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Perbandingan Leverage Effect: Indeks Saham Syariah dan Konvensional di Berbagai Negara Selama Pandemi COVID-19 Periode 2020-2021
This study aims at analyzing the volatility characteristics of Sharia-compliant stock indices amidst COVID-19 pandemic. The said characteristics have been analyzed using GJR-GARCH and EGARCH models to identify the effect and measure the level of volatility asymmetry or leverage effect of each index. Leverage effect has been identified on 15 Sharia indices and 11 conventional indices. This suggests that the volatility of Sharia indices, along with their non-Sharia counterparts, are more sensitive to negative shocks. Signifcant leverage effect was not found on DFM (UAE) and FTTWSH (Taiwan) which implies better resiliency to negative shocks. Empirical results suggest that diversification can be a significant factor on resilience to negative shock of Sharia-compliant equity, where well-diversified Sharia indices tend to record lower leverage effect than comparable conventional indices. On average, Middle-Eastern Sharia indices record lower leverage effect than Sharia North America, despite being exposed to oil price war sentiment during 2020. Results also suggest that policies such as trading halt, auto reject, and price floor can limit the impact of negative shock to the volatility by reducing the range of daily return of a stock index. Thus, policymakers and exchanges should consider using this approach in response to financial crisis..Ada Tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 13561 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Program Studi Manajemen Fakultas Ekonomi dan Bisnis UI 2022 |
|---|---|
| Edisi | - |
| Subjek | Financial crisis Sharia Stocks Leverage Effect |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xiii, 115 p. ; diagr. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |