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.
Ali, Mohsin; Anwar, Urooj; and Haseeb, Muhammad
"IMPACT OF COVID-19 ON ISLAMIC AND CONVENTIONAL STOCKS IN INDONESIA: A WAVELET-BASED STUDY,"
Bulletin of Monetary Economics and Banking: Vol. 24:
0, Article 4.
Available at: https://bulletin.bmeb-bi.org/bmeb/vol24/iss0/4
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