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Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis

We empirically explore the effect of the COVID-19 pandemic on Islamic and conventional stock markets from a global perspective. We also explore the co-movement between Islamic and conventional stock markets. Two comparable pairs of conventional and Islamic stock indices - Dow Jones Index and FTSE In...

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Main Authors: Hasan, Md Bokhtiar, Mahi, Masnun, Hassan, M. Kabir, Bhuiyan, Abul Bashar
Format: Article
Published: Elsevier 2021
Subjects:
HC Economic History and Conditions
Business
Online Access:http://eprints.um.edu.my/26513/
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spelling my.um.eprints.265132022-03-09T07:57:38Z http://eprints.um.edu.my/26513/ Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis Hasan, Md Bokhtiar Mahi, Masnun Hassan, M. Kabir Bhuiyan, Abul Bashar HC Economic History and Conditions Business We empirically explore the effect of the COVID-19 pandemic on Islamic and conventional stock markets from a global perspective. We also explore the co-movement between Islamic and conventional stock markets. Two comparable pairs of conventional and Islamic stock indices - Dow Jones Index and FTSE Index are considered in this study. Employing Wavelet-based multi-timescales techniques on the daily data from 21st January to 27th November 2020, our findings indicate that the pandemic creates identical volatility in both stock markets. Our findings further suggest that both markets are strongly associated and tend to co-move highly during our sample period, rebutting the decoupling hypothesis of the Islamic stock market from the conventional market. However, the Shariah screening process fails to provide immunity to Islamic stock markets against financial crises. Our findings suggest that investors should be aware that Islamic stocks' conservative features do not present a superior investment alternative, especially in economic turmoil. Elsevier 2021-11 Article PeerReviewed Hasan, Md Bokhtiar and Mahi, Masnun and Hassan, M. Kabir and Bhuiyan, Abul Bashar (2021) Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis. The North American Journal of Economics and Finance, 58. ISSN 1062-9408, DOI https://doi.org/10.1016/j.najef.2021.101504 <https://doi.org/10.1016/j.najef.2021.101504>. 10.1016/j.najef.2021.101504
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic HC Economic History and Conditions
Business
spellingShingle HC Economic History and Conditions
Business
Hasan, Md Bokhtiar
Mahi, Masnun
Hassan, M. Kabir
Bhuiyan, Abul Bashar
Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis
description We empirically explore the effect of the COVID-19 pandemic on Islamic and conventional stock markets from a global perspective. We also explore the co-movement between Islamic and conventional stock markets. Two comparable pairs of conventional and Islamic stock indices - Dow Jones Index and FTSE Index are considered in this study. Employing Wavelet-based multi-timescales techniques on the daily data from 21st January to 27th November 2020, our findings indicate that the pandemic creates identical volatility in both stock markets. Our findings further suggest that both markets are strongly associated and tend to co-move highly during our sample period, rebutting the decoupling hypothesis of the Islamic stock market from the conventional market. However, the Shariah screening process fails to provide immunity to Islamic stock markets against financial crises. Our findings suggest that investors should be aware that Islamic stocks' conservative features do not present a superior investment alternative, especially in economic turmoil.
format Article
author Hasan, Md Bokhtiar
Mahi, Masnun
Hassan, M. Kabir
Bhuiyan, Abul Bashar
author_facet Hasan, Md Bokhtiar
Mahi, Masnun
Hassan, M. Kabir
Bhuiyan, Abul Bashar
author_sort Hasan, Md Bokhtiar
title Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis
title_short Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis
title_full Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis
title_fullStr Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis
title_full_unstemmed Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis
title_sort impact of covid-19 pandemic on stock markets: conventional vs. islamic indices using wavelet-based multi-timescales analysis
publisher Elsevier
publishDate 2021
url http://eprints.um.edu.my/26513/
_version_ 1735409422232977408
score 13.211869

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