Russia’s invasion of Ukraine: The reaction of Islamic stocks in the energy sector of Indonesia

  • Received December 31, 2022;
    Accepted February 28, 2023;
    Published March 2, 2023
  • Author(s)
  • DOI
    http://dx.doi.org/10.21511/imfi.20(1).2023.19
  • Article Info
    Volume 20 2023, Issue #1, pp. 218-227
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This work is licensed under a Creative Commons Attribution 4.0 International License

The volatility of rising oil prices has certainly made the market more out of control. Market participants are very sensitive to various information and to global issues such as Russia’s invasion of Ukraine. This study aims to review the reaction of the Indonesian Islamic stock market in the energy sector before and after Russia’s invasion of Ukraine. The variables used are stock returns, abnormal returns, and trading volume activity. The sample of this study is represented by Indonesian sharia stocks in the energy sector using a purposive sampling method. The research period was from February 4, 2022 to March 18, 2022. The research method used was the Event Study Method (ESM) and paired sample different tests with the Microsoft Excel program and SPSS version 26. The results of the study show that there is a significant difference in the average stock returns in the periods of 3, 7, and 14 days before and after Russia’s invasion of Ukraine. There are also differences in abnormal returns for the 3-day and 14-day observation periods, while for the 7-day observation period, there are no significant differences in abnormal returns. Besides, there is an average difference in volume activity during the periods of 3 days, 7 days, and 14 days before and after the Russian invasion of Ukraine. Indirectly, this information about Russia’s invasion of Ukraine affected the performance of the capital market. This also shows that the semi-strong form of the efficient market hypothesis is proven in this study.

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    • Table 1. Normality test stock return
    • Table 2. Abnormal return normality test
    • Table 3. Normality test of trading volume activity variables
    • Table 4. Stock return difference test results
    • Table 5. Average abnormal return differential test results
    • Table 6. Results of the test of differences in trading volume activity
    • Conceptualization
      Nur Rizqi Febriandika, Rima Mila Wati, Mauizhotul Hasanah
    • Data curation
      Nur Rizqi Febriandika
    • Formal Analysis
      Nur Rizqi Febriandika, Rima Mila Wati, Mauizhotul Hasanah
    • Funding acquisition
      Nur Rizqi Febriandika
    • Methodology
      Nur Rizqi Febriandika
    • Project administration
      Nur Rizqi Febriandika
    • Resources
      Nur Rizqi Febriandika
    • Software
      Nur Rizqi Febriandika
    • Validation
      Nur Rizqi Febriandika, Rima Mila Wati, Mauizhotul Hasanah
    • Writing – original draft
      Nur Rizqi Febriandika, Rima Mila Wati, Mauizhotul Hasanah
    • Writing – review & editing
      Nur Rizqi Febriandika, Mauizhotul Hasanah
    • Investigation
      Rima Mila Wati, Mauizhotul Hasanah