IMPACT OF COVID-19 ON ISLAMIC AND CONVENTIONAL STOCKS IN INDONESIA: A WAVELET-BASED STUDY

Abstract

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.