Comparison Performance of Environmental, Social, and Governance Stock Index with Sharia Stock Index Before and During the Covid-19 Pandemic in Southeast Asia

Abstract

Covid-19 is a pandemic event with a global impact from a health and economic point of view. The number of confirmed cases of Covid-19 that continues to grow has caused several countries to implement lockdown policies. However, this has implications for an increasingly depressed stock market. Thus, it can affect the performance of stock indexes in various countries. This research aims to examine the effects of Covid-19 on the Islamic stock index and the environmental, social, and governance stock index in Southeast Asia, and then compare the two indexes when responding to the Covid-19 pandemic. The models used in this research are event study and Vector Error Correction Model (VECM). This study utilizes time-series data with a five-month daily period starting from December 2019 to April 2020. The results of the event study model show that the number of positive cases of Covid-19 has a significant effect on the performance of the stock index studied, except for the ESG stock indexes in Singapore. Meanwhile, the results from the VECM show that the number of positive cases of Covid-19 has a significant effect on the stock index’s performance in the long and short term, except for the sharia stock index which does not have a significant impact on the short term in Singapore, and does not have a significant impact on the long term in Malaysia namely HIJRAH index.