 A note on COVID-19 instigated maximum drawdown in Islamic markets versus conventional counterpartsM. Kabir Hassan, Md Iftekhar Hasan Chowdhury, Faruk Balli and Rashedul Hasan Finance Research Letters, 2022, vol. 46, issue PB Abstract: This study uncovers the impact of the COVID-19 on the Islamic equity markets compared to their conventional counterparts. The extremely large-scale drawdown across the markets signifies an indiscriminate impact. To some extent, Asian Islamic markets show relative resilience to their counterparts. Both Islamic and non-Islamic Asian markets signpost a quicker recovery than the rest of the regions, the Middle East & Africa, Europe, and America. It appears that a higher return leads to a smaller maximum drawdown, while higher volatility leads to a larger maximum drawdown. Despite the large-scale drawdown, a number of markets secure a positive return where Islamic markets outperform the counterparts. Conventional markets respond to the COVID-19 aftershock homogenously as a result of their high interlinkages. Collectively, these results reinforce the view that in the crisis period, Islamic markets are more resilient. Keywords: Islamic equity market; COVID-19; Maximum drawdown (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004153 DOI: 10.1016/j.frl.2021.102426 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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