Volatility and correlation of Islamic and conventional indices during crises

Abdelaziz Chazi, Anis Samet and A.S.M. Sohel Azad

Global Finance Journal, 2023, vol. 55, issue C

Abstract: We examine the correlation and volatility of Islamic indices and their conventional counterparts during the 2008–2009 Global Financial Crisis as well as the Covid-19 pandemic. We provide evidence that the volatility of Islamic indices is relatively lower than that of conventional peers during turmoil periods. Consistent with the decoupling hypothesis, our results indicate that the volatility of Islamic and the volatility of conventional indices tend to move in tandem in tranquil times but diverge in times of crises. Our results also indicate that the correlation between Islamic and conventional indices is a priced risk factor for Islamic index returns.

Keywords: Volatility; Islamic stock index; Ethical investing; Crises; Covid-19 (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322001028

DOI: 10.1016/j.gfj.2022.100800

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