COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence

Adil Saleem, Judit Bárczi and Judit Sági
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Adil Saleem: Doctoral School of Economics and Regional Sciences, Hungarian University of Agriculture and Life Sciences, H-2100 Gödöllő, Hungary
Judit Bárczi: Doctoral School of Economics and Regional Sciences, Hungarian University of Agriculture and Life Sciences, H-2100 Gödöllő, Hungary
Judit Sági: Faculty of Finance and Accountancy, Budapest Business School-University of Applied Sciences, H-1149 Budapest, Hungary

JRFM, 2021, vol. 14, issue 8, 1-22

Abstract: The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. The market model of event study methodology was employed to analyze Islamic stock market reactions in nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized autoregressive conditional heteroscedasticity (GARCH) method was used. Nine Islamic stock indices were selected for this study from the Thomson Reuters data stream. The results suggest that, in the short run, the Islamic Australian stock index and Islamic GCC stock index remained stable for the first 15 days following news of the pandemic. The Islamic stock indexes of Qatar, UAE, ASEAN, MENA, MENASA, and Bahrain were significantly affected by the outbreak in the short-term. On the other hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by the WHO. Moreover, volatility shocks tended to persist for a longer period after COVID-19.

Keywords: Islamic stocks; COVID-19; abnormal return; volatility (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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