Impact of the COVID-19 Pandemic on the Efficiency of the Sharia Stock Market (ISSI) and IHSG: A Multifractal Detrended Fluctuation Analysis (MF-DFA) Approach

Covid-19 pandemic has made a major disruption to the world, including the stock market in Indonesia. This research is showing evidence towards the change of market efficiency during pre-Covid-19 pandemic and recession until Indonesia has exited the economic recession in 2021. This research is using Multifractal De-trended Fluctuation Analysis (MF-DFA) to capture the accurate information related to market efficiency, as the stock market exhibits multifractal characteristics. This research has three main findings. First, ISSI and IHSG exhibits multifractal characteristics. Second, the Covid-19 pandemic and recession impacted the efficiency of ISSI and IHSG. ISSI behaves more efficiently than IHSG on the pre-Covid-19 pandemic and recession period, meanwhile IHSG behave more efficiently than ISSI on the post-Covid-19 recession period. Third, on overall, ISSI and IHSG still considered as weak-form efficient. Keywords: Market efficiency, Efficient Market Hypothesis (EMH), Multifractal, ISSI, IHSG