SHARIAH RISK FACTOR AND STOCK RETURN IN THE INDONESIAN STOCK MARKET DURING COVID-19 AND THE RUSSIA-UKRAINE CONFLICT
Using a sample of 544 Indonesian stocks, we examine the performance of the Shariah and non-Shariah stocks from 2018-2023. Employing panel regressions to investigate the impact of the Shariah investment principles on the average stock returns, we observe a positive relationship between the Shariah fi...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Bank Indonesia
2024-02-01
|
| Series: | Journal of Islamic Monetary Economics and Finance |
| Subjects: | |
| Online Access: | https://jimf-bi.org/index.php/JIMF/article/view/2020 |
| _version_ | 1797232824242143232 |
|---|---|
| author | Munusamy Dharani M. Kabir Hassan Danny Hermawan |
| author_facet | Munusamy Dharani M. Kabir Hassan Danny Hermawan |
| author_sort | Munusamy Dharani |
| collection | DOAJ |
| description | Using a sample of 544 Indonesian stocks, we examine the performance of the Shariah and non-Shariah stocks from 2018-2023. Employing panel regressions to investigate the impact of the Shariah investment principles on the average stock returns, we observe a positive relationship between the Shariah firms and average stock return in the market. Consequently, the study forms the Shariah and non-Shairah portfolios and analyzes their performance using the asset pricing model. We document evidence that the Shariah portfolio provides a higher abnormal return than the non-Shariah portfolio. Further, we report that the Shariah portfolio provides a higher abnormal return than the non-Shariah portfolio after controlling COVID-19 and the Russia-Ukraine war. Finally, we create the Shariah risk factor and conclude that it is one factor that explains the deviation in the stock return in the Indonesian stock market. The study recommends that policymakers consider this factor to derive the cost of equity, discount rate, and cost of capital. |
| first_indexed | 2024-04-24T16:06:25Z |
| format | Article |
| id | doaj.art-71abac4f48c84f85985167aad35b2486 |
| institution | Directory Open Access Journal |
| issn | 2460-6146 2460-6618 |
| language | English |
| last_indexed | 2024-04-24T16:06:25Z |
| publishDate | 2024-02-01 |
| publisher | Bank Indonesia |
| record_format | Article |
| series | Journal of Islamic Monetary Economics and Finance |
| spelling | doaj.art-71abac4f48c84f85985167aad35b24862024-04-01T02:56:14ZengBank IndonesiaJournal of Islamic Monetary Economics and Finance2460-61462460-66182024-02-0110117719210.21098/jimf.v10i1.20202020SHARIAH RISK FACTOR AND STOCK RETURN IN THE INDONESIAN STOCK MARKET DURING COVID-19 AND THE RUSSIA-UKRAINE CONFLICTMunusamy Dharani0M. Kabir Hassan1Danny Hermawan2Indian Institute of Management Tiruchirappalli, Trichy, Tamil Nadu, IndiaUniversity of New Orleans, USABank Indonesia Institute, IndonesiaUsing a sample of 544 Indonesian stocks, we examine the performance of the Shariah and non-Shariah stocks from 2018-2023. Employing panel regressions to investigate the impact of the Shariah investment principles on the average stock returns, we observe a positive relationship between the Shariah firms and average stock return in the market. Consequently, the study forms the Shariah and non-Shairah portfolios and analyzes their performance using the asset pricing model. We document evidence that the Shariah portfolio provides a higher abnormal return than the non-Shariah portfolio. Further, we report that the Shariah portfolio provides a higher abnormal return than the non-Shariah portfolio after controlling COVID-19 and the Russia-Ukraine war. Finally, we create the Shariah risk factor and conclude that it is one factor that explains the deviation in the stock return in the Indonesian stock market. The study recommends that policymakers consider this factor to derive the cost of equity, discount rate, and cost of capital.https://jimf-bi.org/index.php/JIMF/article/view/2020shariah investment, shariah risk factor, asset pricing model, ethical investment. |
| spellingShingle | Munusamy Dharani M. Kabir Hassan Danny Hermawan SHARIAH RISK FACTOR AND STOCK RETURN IN THE INDONESIAN STOCK MARKET DURING COVID-19 AND THE RUSSIA-UKRAINE CONFLICT Journal of Islamic Monetary Economics and Finance shariah investment, shariah risk factor, asset pricing model, ethical investment. |
| title | SHARIAH RISK FACTOR AND STOCK RETURN IN THE INDONESIAN STOCK MARKET DURING COVID-19 AND THE RUSSIA-UKRAINE CONFLICT |
| title_full | SHARIAH RISK FACTOR AND STOCK RETURN IN THE INDONESIAN STOCK MARKET DURING COVID-19 AND THE RUSSIA-UKRAINE CONFLICT |
| title_fullStr | SHARIAH RISK FACTOR AND STOCK RETURN IN THE INDONESIAN STOCK MARKET DURING COVID-19 AND THE RUSSIA-UKRAINE CONFLICT |
| title_full_unstemmed | SHARIAH RISK FACTOR AND STOCK RETURN IN THE INDONESIAN STOCK MARKET DURING COVID-19 AND THE RUSSIA-UKRAINE CONFLICT |
| title_short | SHARIAH RISK FACTOR AND STOCK RETURN IN THE INDONESIAN STOCK MARKET DURING COVID-19 AND THE RUSSIA-UKRAINE CONFLICT |
| title_sort | shariah risk factor and stock return in the indonesian stock market during covid 19 and the russia ukraine conflict |
| topic | shariah investment, shariah risk factor, asset pricing model, ethical investment. |
| url | https://jimf-bi.org/index.php/JIMF/article/view/2020 |
| work_keys_str_mv | AT munusamydharani shariahriskfactorandstockreturnintheindonesianstockmarketduringcovid19andtherussiaukraineconflict AT mkabirhassan shariahriskfactorandstockreturnintheindonesianstockmarketduringcovid19andtherussiaukraineconflict AT dannyhermawan shariahriskfactorandstockreturnintheindonesianstockmarketduringcovid19andtherussiaukraineconflict |