The Impact of Global Financial Crisis on Jakarta Islamic Index (JII): A Trading Volume Perspective

Trading volume response of Sharia stocks to economic news during to the Global Financial Crisis (GFC) has not been examined before. This study investigated the impact of GFC toward Jakarta Islamic Index (JII) at Indonesia Stock Exchange (IDX) in October 2008. The main purpose of this study was to investigate whether JII stocks had the same trading activity comparing with Sharia and Non-Sharia stocks in perspective of Trading Volume Activity (TVA) regarding this issue. The interesting aspect of this study was that we also investigated whether ethical investment in this case is JII with respect to their characteristics could help their TVA in GFC. The data used in this study split into 3 groups: JII, Sharia and Non-Sharia. We found that after announcement, JII stocks experience smaller TVA than pre-announcement as well as Sharia stocks and Non-Sharia stocks experience significantly higher than pre-announcement. This result was consistent with the theory in which regarding to the bad news, investors will conduct more transaction on risky stocks (Non-Sharia) to avoid loss. However, we reported that basically there was no difference performance on TVA between JII, Sharia and Non-Sharia stocks during research period.