Faith-based investments and the Covid-19 pandemic: Analyzing equity volatility and media coverage time-frequency relations

Umar, Zaghum; Gubareva, Mariya

doi:10.1016/j.pacfin.2021.101571

Cited by 67 publications

(34 citation statements)

References 34 publications

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“…However, when there is a big swing in the market, the risk-averse nature of IEIs pays off resulting in better performance than unrestricted BEIs. These findings are in line with the existing literature that shows that faith-driven investments do provide hedging benefits during crises situations such as the COVID-19 pandemic ( Umar and Gubareva, 2021 ; Mohammad and Ashraf, 2015 ).…”

Section: Introductionsupporting

confidence: 91%

“…Investment vehicles following Islamic finance principles have specific characteristics such as debt avoidance (low risk), linkages with the real economy, and risk-sharing that may provide a buffer to economic shocks ( Abedifar et al, 2015 ; Chapra, 1985 ; Ebrahim, 2009 ; Ibrahim, 2016 ; Umar et al, 2020 ; Shahzad et al, 2017 ; Umar and Gubareva, 2021 ). Empirical literature supports this argument by showing better performance of Islamic indexes in the immediate aftermath of the GFC ( Alam and Rajjaque, 2016 ; Ashraf, 2013 ; Hoepner et al, 2011 ; Masih et al, 2018 ; Saiti et al, 2014 ).…”

Section: Introductionmentioning

confidence: 99%

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Islamic equity investments and the COVID-19 pandemic

Ashraf¹,

Rizwan²,

Ahmad³

2022

Pacific-Basin Finance Journal

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Section: Introductionsupporting

confidence: 91%

Section: Introductionmentioning

confidence: 99%

Islamic equity investments and the COVID-19 pandemic

Ashraf¹,

Rizwan²,

Ahmad³

2022

Pacific-Basin Finance Journal

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“…It is especially important to make people accept more easily curfews, lock-downs, and other mobility limitations and be prepared for the economic recovery from the Covid-19 slowdown. Behavioral finance literature provides multiple cases when the mass media tracking is used to gauge both, complex behavior of society and that of financial market ( [30,[51][52][53][54][55][56][57]; and the references therein). In general terms, all these studies agree that media tracking is a powerful mean allowing for data gathering, focused on less rational factors, e.g., market sentiments of investorsć ommunities, public mood at the level of a society, among many other behavioral drivers.…”

Section: Media Coverage Influence On Financial Marketsmentioning

confidence: 99%

The impact of the Covid-19 related media coverage upon the five major developing markets

2021

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This paper analyses the influence of the Covid-19 coverage by the social media upon the shape of the sovereign yield curves of the five major developing countries, namely Federative Republic of B razil, Russian Federation, Republic of India, People’s Republic of China, and the Republic of South Africa (BRICS). The coherenc e between the level, slope, and the curvature of the sovereign yield term structures and the Covid-19 medi a coverage is found to vary between low and high ranges, depending on the phases of the pandemic. The empirical estimations of the yield-curve factors a re performed by means of the Diebold–Li modified version of the Nelson–Siegel model. The intervals of low coherence reveal the capacity of the two latent factors, level and slope, to be used for creating cross-factor diversification strategies, workable under crisis conditions, as evidenced on the example of the ongoing pandemic. Diverse coherence patterns are reported on a per-country basis, highlighting a promising potential of sovereign debt investments for designing cross-country and cross-factor fixed-income strategies, capable of hedging downside risks.

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“… Korobilis and Yilmaz, 2018 , Umar and Gubareva, 2021 , Umar et al, 2021 , Yousaf and Yarovaya, 2021 , Crow and Ostroff, 2021a , Dowling, 2022 , Frijns and Huynh, 2018 …”

Section: Uncited Referencesmentioning

confidence: 99%