THE ASYMMETRIC VOLATILITY OF THE ISLAMIC CAPITAL MARKET DURING THE COVID-19 PANDEMIC

This study attempts to identify the existence of asymmetric volatility in Islamic capital market Indonesia during Covid-19 pandemic. The paper employs symmetric analysis GARCH (1,1) model and TGARCH order behaviour duringthe first 200 days after cases were confirmed. We used daily closing prices Sharia Stock Index (ISSI). revealed that current value return on ISSI does not have a significant impact its future value. On other hand, showed parameter coefficient was positive statistically significant. Good news bad same level returns ISSI. Furthermore, coefficients αi γi variance equation indicate good has higher than news. results investors should worry about effect theCovid-19 pandemic, while government continue mitigation spread coronavirus along with economic recovery policy.