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"Following the blueprint of the ASEAN integration 2015, the integration of the financial marketsin this region will increase. This study investigates the existence of a volatility spillover from the Singaporeanstock market into Indonesia, including its transmission pattern. Singapore, as an advancedcountry in the ASEAN region, has played an important role as the information leader in the market ofthis region, so that it is very possible that the shocks in the Singapore?s stock market will be transmittedto another stock market in this region. Using TGARCH (1,1) model specification regarding thedata of the daily return of the Indonesia market index (IHSG) for the period of January 2008 ? August2012, it is observed that the shock that took place in the Singapore stock market is immediately transmittedto the Indonesia stock market with two important asymmetric patterns. The transmission ofthe shock from the Singapore stock exchange becomes stronger when this market (1) experiences anegative return, and (2) is in the bearish phase."

"Tujuan dari studi ini adalah untuk meneliti apakah tingkat return harian dari indeks milik perusahaan Morgan Stanley Capital International Emerging Market memiliki ketahanan terhadap volatilitas asimetris yang muncul ketika dihadapkan dengan pandemi Covid-19. Alasan utama munculnya volatilitas yang asimetris ini dikarenakan pasar keuangan dilanda oleh krisis, yaitu pandemi Covid-19 yang menyerang seluruh negara di dunia dan dampaknya paling dirasakan oleh negara-negara berkembang. Sampel dari penelitian ini terdiri 24 negara berkembang dari wilayah Asia, Eropa, Timur Tengah, Afrika, dan Amerika. Metode yang digunakan untuk menganalisis hal tersebut adalah GJR-GARCH. Penelitian ini menemukan bahwa wilayah dengan tingkat leverage effect paling rendah merupakan negara-negara berkembang di Asia dikarenakan negara-negara berkembang di Asia bagian Tenggara (ASEAN) memiliki mayoritas saham dengan nilai yang masih berkembang sehingga memiliki tingkat sentimen investor yang lebih kecil dibandingkan dengan negara-negara yang sahamnya sudah memiliki nilai tinggi.

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The purpose of this study is to examine whether the daily rate of return of the index belonging to the company Morgan Stanley Capital International Emerging Markets has resistance to the asymmetric volatility that arises when faced with the Covid-19 pandemic. The main reason for the emergence of this asymmetrical volatility is because the financial market was hit by a crisis, which is the Covid-19 pandemic that attacked all countries in the world and its impact was felt most by developing countries. The sample of this study consisted of 24 developing countries from Asia, Europe, the Middle East, Africa, and America. The method used to analyze this event is GJR-GARCH. This study found that the regions with the lowest levels of leverage effect are developing countries in Asia, especially developing countries in Southeast Asia (ASEAN) most of their stocks have a value that is still small and developing so that they have a lower level of investor’s sentiment compared to other countries. countries whose stocks already have a high value."

"Penelitian ini membahas karakteristik volatilitas dari indeks saham Syariah selama krisis pandemi COVID-19. Karakteristik tersebut akan diteliti menggunakan metodologi GJR- GARCH dan EGARCH yang dapat mengidentifikasi dan mengukur leverage effect atau tingkatkeasimetrisanvolatilitasreturnindeks.Leverageeffectyangsignifikanditemukan pada 15 indeks saham Syariah dan 11 indeks saham konvensional. Temuan tersebut menunjukkan bahwa mayoritas indeks Syariah memiliki volatilitas yang asimetris layaknya indeks konvensional, sehingga rentan terhadap negative shock. Hasil penelitian indeks Syariah dengan tingkat diversifikasi yang memadai merupakan lindung nilai yang superior terhadap risiko sentimen dibandingkan indeks konvensional. Indeks Syariah asal Timur Tengah, DFM, dan Taiwan, FTTWSH memiliki leverage effect yang tidak signifikan, sehingga memiliki karakterisitk lindung nilai terbaik. Indeks Syariah asal Timur Tengah juga terpapar risiko sentimen dari pasar minyak global, namun masih lebih resilien dibandingkan pasar Amerika Utara. Kebijakan bursa yang dapat membatasi negative return dari pasar saham dapat mengurangi keasimetrisan volatilitas dan dampak negative shock di periode krisis. Oleh sebab itu, penelitian ini menyarankan bahwa kebijakan seperti auto reject dan trading halt dapat dipertimbangkan dalam merespon krisis pasar keuangan.

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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.SignifcantleverageeffectwasnotfoundonDFM(UAE)andFTTWSH (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 recordlowerleverageeffectthanShariaNorthAmerica,despitebeingexposedtooilprice 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."