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

Impact of the COVID-19 outbreak and its related announcements on the Chinese conventional and Islamic stocks’ connectedness

“…However, our findings on the multiple and partial wavelets conflict with findings of Hasan et al (2021) who found also using wavelet-based method that the pandemic creates identical volatility in both Islamic and conventional stock markets. Yarovaya et al (2021) while using the VARMA-BEKK-AGARCH approach also found Islamic stocks to have stronger spillover with conventional ones at the global level.…”

“…Secondly, we distinguish between Large and Mid-cap stocks in our analysis and look at relation between different caps as well, while those two works do not make such distinction. Therefore, it can be concluded that our study is directly related to Chinese Islamic and conventional stock pairs and could also be to extended to some other emerging markets, whereas findings of Hasan et al, 2021 , Yarovaya et al, 2021 are more relevant if looked at the matter from a global investor’s perspective. Work by Uddin et al (2021) analyzing 34 developing and developed found that country-level economic characteristics and factor play a vital role in reducing the volatility of individual stock markets during pandemic.…”

“…In fact, if found that the pandemic increased spillovers between Islamic and conventional stock markets. Yet another paper by Hasan et al (2021) which looked at co-movement between Islamic and conventional stocks during 2020 from a global perspective has also found no evidence of decoupling between two stocks due to Covid-19 pandemic. The number of Covid-19 deaths was the variable used to represent severity of pandemic in wavelet-based analysis covering data from 21 January to 27 November, 2020.…”

“…There are two possible explanations for such outcomes which conflict with our findings. Firstly, both Hasan et al, 2021 , Yarovaya et al, 2021 used global stock market data, while our sample is taken from China stock market which also corresponds to slightly different time periods compare to above studies. Secondly, we distinguish between Large and Mid-cap stocks in our analysis and look at relation between different caps as well, while those two works do not make such distinction.…”

Make the Best from Comparing Conventional and Islamic Asset Classes: A Design of an All-Seasons Combined Portfolio

“…Haroon et al (2021) also reported Islamic equity diversification opportunities due to their lower systematic risk. However, Hasan et al (2021) contested the decoupling hypothesis of the Islamic stock market from the conventional one, since the Shariah screening process fails to provide immunity. Furthermore, the major Islamic stock indexes outperformed their counterparts during the period 2019-2020, especially after the stock-market crash in March 2020 (Sherif 2020).…”