Conventional and Islamic stock market liquidity and volatility during COVID 19

Fredj Jawadi, Abdoulkarim Idi Cheffou, Nabila Jawadi and Hachmi Ben Ameur

Applied Economics, 2021, vol. 53, issue 60, 6944-6963

Abstract: The coronavirus pandemic has impacted several stock markets worldwide. Among other countries, the US has endured a significant impact of the pandemic, with over 605,000 deaths. This study investigates the effect of COVID-19 on the liquidity and volatility of the US conventional and Islamic stock indexes to assess their efficiency in a linear and nonlinear frammeworks. We use different stock market data (stock prices and trading volumes) and COVID-19 statistics. In particular, we specify liquidity and volatility differently, compute the speed of COVID-19 transmission, rely on robust linear and nonlinear regressions before and during the pandemic to determine different forms of coronavirus effects. The study finds that both liquidity and volatility (regardless of the proxy under consideration) exhibit an important time variation. Second, we find that the variation of contamination and death speeds related to the pandemic has been nonlinearly driving market trading, liquidity, and volatility, suggesting a significant reaction of stock market to exogenous news related to the coronavirus outbreak and inefficiency of these markets. Considering this dependency is crucial to improving the forecasting of stock market dynamics. Further, we find that Islamic funds are not more resilient than conventional funds towards the pandemic.

Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2021.1954595 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Conventional and Islamic stock market liquidity and volatility during COVID 19 (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:53:y:2021:i:60:p:6944-6963

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2021.1954595

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().