Returns and Investors' Risk Perception as the Determinants of Sharia Index Integration During Covid-19

Capital market liberalization provides international diversification opportunities for investors in the capital market. However, developments in information technology that lead to the speed of information dissemination encourage capital market integration, in which a country's capital market will relate to other countries' capital markets. This study uses a quantitative approach and determines the Jakarta Islamic Index (JII) and the Dow Jones Islamic Market Index (DJIMI) as research samples. The method used is GARCH and Sobel test. The study results show that Indonesia's Islamic stock index is integrated with the global Islamic stock index. The index integration relationship is influenced by investors' risk perceptions, where investors' risk perceptions have an asymmetric negative relationship with stock index returns indicating a leverage effect. Meanwhile, investors' perceptions of risk cannot mediate the effect of returns on the integration of Islamic stock indices.