• Mohsin Ali Taylor's University, Malaysia.
  • Urooj Anwar Monash University, Malaysia.
  • Muhammad Haseeb Univrrsity of Malaya, Malaysia.
Keywords: Jakarta islamic index, Jakarta composite index, Co-movement, Wavelet coherence


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 in
Indonesia. 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.


Download data is not yet available.


Al-Awadhi, A.M., Al-Saifi, K., Al-Awadhi, A., & Alhamadi, S. (2020). Death and Contagious Infectious Diseases: Impact of the COVID-19 Virus on Stock Market Returns. Journal of Behavioral and Experimental Finance, 100326.

Albulescu, C. (2020). Coronavirus and Financial Volatility: 40 Days of Fasting and Fear. arXiv preprint arXiv:2003.04005.

Ali, M., Alam, N., & Rizvi, S.A.R. (2020). Coronavirus (COVID-19)–An Epidemic or Pandemic for Financial Markets. Journal of Behavioral and Experimental Finance, 100341.

Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor Psychology and Security Market Under‐and Overreactions. the Journal of Finance, 53, 1839-1885.

Devpura, N. (2020). Can Oil Prices Predict Japanese Yen? Asian Economics Letters,1.

Diela, T. (2017). Committee for Shariah Finance to Make Indonesia Global Hub for Islamic Economy. The Jarkarta Globe. Retrieved from

Djalante, R., Nurhidayah, L., Van Minh, H., Phuong, N.T.N., Mahendradhata, Y., Trias, A., Lassa, J., and Miller, M.A. (2020). COVID-19 and ASEAN Responses: Comparative Policy Analysis. Progress in Disaster Science, 8, 100129.

Donadelli, M. (2015). Google Search-Based Metrics, Policy-Related Uncertainty and Macroeconomic Conditions. Applied Economics Letters, 22, 801-807.

Engelberg, J.E., & Parsons, C.A. (2011). The Causal Impact of Media in Financial Markets. the Journal of Finance, 66, 67-97.

Ertuğrul, H.M., Güngör, B.O., & Soytaş, U. (2020). The Effect of the COVID-19 Outbreak on the Turkish Diesel Consumption Volatility Dynamics. Energy Research Letters, 1, 17496.

Goodell, J.W., & Goutte, S. (2020). Co-movement of COVID-19 and Bitcoin: Evidence from Wavelet Coherence Analysis. Finance Research Letters, 101625.

Grinsted, A., Moore, J.C., & Jevrejeva, S. (2004). Application of the Cross Wavelet Transform and Wavelet Coherence to Geophysical Time Series.

Haroon, O., & Rizvi, S.A.R. (2020). Flatten the Curve and Stock Market Liquidity– An Inquiry into Emerging Economies. Emerging Markets Finance and Trade, 56, 2151-2161.

He, P., Sun, Y., Zhang, Y., & Li, T. (2020). COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market. Emerging Markets Finance and Trade, 56, 2198-2212.

Hong, H., & Stein, J.C. (1999). A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets. the Journal of Finance, 54, 2143-2184.

Hong, H., Torous, W., & Valkanov, R. (2007). Do Industries Lead Stock Markets? Journal of Financial Economics, 83, 367-396.

Huang, W., & Zheng, Y. (2020). COVID-19: Structural Changes in the Relationship Between Investor Sentiment and Crude Oil Futures Price. Energy Research Letters, 1, 13685.

Iyke, B.N. (2020a). COVID-19: The Reaction of US Oil and Gas Producers to the Pandemic. Energy Research Letters, 1, 13912.

Iyke, B.N. (2020b). The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19, Emerging Markets Finance and Trade, 56, 2277-2297.

Iyke, B.N. (2020c). Economic Policy Uncertainty in Times of COVID-19 Pandemic. Asian Economics Letters, 1.

Iyke, B.N., & Ho, S.Y. (2020). Consumption and Exchange Rate Uncertainty: Evidence from Selected Asian Countries. The World Economy, 43, 2437-2462.

Iyke, B.N. & Ho, S.Y. (2021). Investor Attention on COVID-19 and African Stock Returns. MethodsX, 8, 101195.

Juhro, S M., Narayan, P.K., Iyke, B.N., & Trisnanto, B. (2020). Is There a Role for Islamic Finance and R&D in Endogenous Growth Models in the Case of Indonesia? Pacific-Basin Finance Journal, 62, 101297.

Narayan, P.K. (2020a). Oil Price News and COVID-19—Is there any Connection?. Energy Research Letters, 1, 13176.

Narayan, P.K. (2020b). Has COVID-19 Changed Exchange Rate Resistance to Shocks? Asian Economics Letters, 1.

Narayan, P.K. (2020c). Did Bubble Activity Intensify During COVID-19? Asian Economics Letters, 1.

Peress, J. (2014). The Media and the Diffusion of Information in Financial Markets: Evidence From Newspaper Strikes. the Journal of Finance, 69, 2007-2043.

Phan, D.H.B., & Narayan, P.K. (2020). Country Responses and the Reaction of the Stock Market To COVID-19—A Preliminary Exposition. Emerging Markets Finance and Trade, 56, 2138-2150.

Prabheesh, K.P., Padhan, R., & Garg, B. (2020). COVID-19 and the Oil Price–Stock Market Nexus: Evidence from Net Oil-Importing Countries. Energy Research Letters, 1, 13745.

Rattanasevee, P. (2014). Leadership in ASEAN: The Role of Indonesia Reconsidered. Asian Journal of Political Science, 22, 113-127.

Rizvi, S.A.R., Arshad, S., & Alam, N. (2018). A Tripartite Inquiry into Volatility- Efficiency-Integration Nexus-Case of Emerging Markets. Emerging Markets Review, 34, 143-161.

Rua, A., & Nunes, L.C. (2009). International Comovement of Stock Market Returns: A Wavelet Analysis. Journal of Empirical Finance, 16, 632-639.

Sharma, S.S. (2020). A Note on the Asian Market Volatility During the COVID-19 Pandemic. Asian Economics Letters, 1.

Torrence, C., & Compo, G.P. (1998). A Practical Guide to Wavelet Analysis. Bulletin of the American Meteorological society, 79, 61-78.

Torrence, C., & Webster, P.J. (1999). Interdecadal Changes in the ENSO–Monsoon System. Journal of climate, 12, 2679-2690.

Vidya, C.T., & Prabheesh, K.P. (2020). Implications of COVID-19 Pandemic on the Global Trade Networks. Emerging Markets Finance and Trade, 56, 2408-2421.

Yu, J.-S., & Hassan, M.K. (2008). Global and Regional Integration of the Middle East and North African (MENA) Stock Markets. The Quarterly Review of Economics and Finance, 48, 482-504.

How to Cite
Ali, M., Anwar, U., & Haseeb, M. (2021). IMPACT OF COVID-19 ON ISLAMIC AND CONVENTIONAL STOCKS IN INDONESIA: A WAVELET-BASED STUDY. Buletin Ekonomi Moneter Dan Perbankan, 24, 15-32.