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Connectedness between the COVID-19 related media coverage and Islamic equities: The role of economic policy uncertainty

Zaghum Umar, Khaled Mokni () and Ana Escribano

Pacific-Basin Finance Journal, 2022, vol. 75, issue C

Abstract: This paper examines the static and dynamic return and volatility connectedness among Islamic equity indices and a Coronavirus coverage index over the ongoing COVID-19 pandemic crisis. We employ ten major sectoral equity indices covering main economic sectors and the Coronavirus media coverage index (MCI) and apply the time-varying parameter vector autoregressive methodology (TVP-VAR). The results show a high degree of connectedness between the return and volatility series of the different sectoral indices. Moreover, the information transmission between these indices and the media coverage index shows that Islamic equities are net receivers of shocks from the coronavirus MCI. Additionally, we investigate the causality between the different connectedness measures and the Economic Policy Uncertainty (EPU). Our results indicate that EPU has predictive power on the net connectedness between the Islamic sectoral equities and the Coronavirus MCI.

Keywords: Islamic investments; Coronavirus media coverage index MCI; Connectedness; COVID-19 crisis; Economic policy uncertainty; TVP-VAR model (search for similar items in EconPapers)
JEL-codes: C22 C51 E60 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:75:y:2022:i:c:s0927538x22001469

DOI: 10.1016/j.pacfin.2022.101851

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