Islamic Stock indices and COVID-19 pandemic

Salisu, Afees A.; Shaik, Muneer

doi:10.1016/j.iref.2022.02.073

Cited by 38 publications

(14 citation statements)

References 68 publications

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“…Secondly, on the one hand, existing hedging literature only examines the in-sample hedge effectiveness after the epidemic happened [25] , [26] , [27] , [28] , [29] , [30] . However, how to evaluate the investment performance depends on the out-of-sample tests [18] .…”

Section: Introductionmentioning

confidence: 99%

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

Zhu

Chen

2022

Physica A: Statistical Mechanics and its Applications

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Section: Introductionmentioning

confidence: 99%

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

Zhu

Chen

2022

Physica A: Statistical Mechanics and its Applications

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“…They discover that economic policy uncertainty (EPU) has a much larger effect on oil prices than GPR. Salisu et al . (2022) note that even after adjusting for oil price, GPR and EPU, the single-factor prediction model for pandemics and epidemics still shows that Islamic stocks have better hedging potential than conventional stocks during the COVID-19 pandemic.…”

Section: Review Of Literature and Theoretical Frameworkmentioning

confidence: 99%

Revisiting the impact of geopolitical risk on Sukuk, stocks, oil and gold markets during the crises period: fresh evidence from wavelet-based approach

Raza Rabbani,

Hassan,

Jamil

et al. 2023

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Purpose In this study, the authors analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.Design/methodology/approach The study used a mix of wavelet-based approaches, including continuous wavelet transformation and discrete wavelet transformation. The analysis used data from the Geopolitical Risk index (GP{R), Dow Jones Sukuk index (SUKUK), Dow Jones Islamic index (DJII), Dow Jones composite index (DJCI), one of the top crude oil benchmarks which is based on the Europe (BRENT) (oil fields in the North Sea between the Shetland Island and Norway), and Global Gold Price Index (gold) from May 31, 2012, to June 13, 2022.Findings The results of the study indicate that during the COVID-19 and Russia–Ukraine conflict period geopolitical risk (GPR) was in the leading position, where BRENT confirmed the lagging relationship. On the other hand, during the COVID-19 pandemic period, SUKUK, DJII and DJCI are in the leading position, where GPR confirms the lagging position.Originality/value The present study is unique in three respects. First, the authors revisit the influence of GPR on global asset markets such as Islamic stocks, Islamic bonds, conventional stocks, oil and gold. Second, the authors use the wavelet power spectrum and coherence analysis to determine the level of reliance based on time and frequency features. Third, the authors conduct an empirical study that includes recent endogenous shocks generated by health crises such as the COVID-19 epidemic, as well as shocks caused by the geopolitical danger of a war between Russia and Ukraine.Highlights We analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.The results of the wavelet-based approach show that Dow Jones composite and Islamic indexes have observed the highest mean return during the study period.GPR and BRENT are estimated to have the highest amount of risk throughout the observation period.Dow Jones Sukuk, Islamic and composite stock show similar trend of volatility during the COVID-19 pandemic period and comparatively gold observes lower variance during the COVID-19 pandemic and Russia–Ukraine conflict.

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“…They revealed ESG markets has noteworthy time-varying features, and the ESG market in developed nations is the primary source of risk spillover in worldwide markets. The recent health pandemic, COVID-19 has impacted the global economy across all asset classes (Salisu and Shaik, 2022 ; Singh et al, 2021 ). The study by Umar et al, ( 2021 ) use a time frequency investigation to understand the influence of COVID-19 induced panic on the precariousness of ESG indices.…”

Section: Literature Reviewmentioning

confidence: 99%

The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model

Shaik

Rehman

2022

Asia-Pac Financ Markets

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This study investigates the dynamic volatility connectivity of important environmental, social, and governance (ESG) stock indexes from May 2010 to March 2021. The empirical research is focused on five major S&P ESG stock indexes from the US, Latin America, Europe, the Middle East and Africa, and Asia Pacific regions. The study reveals that ESG stock indexes in the Middle East Africa, and Latin America are net shock transmitters, whereas the United States and Asia Pacific are net volatility receivers. Furthermore, the study finds that bilateral intercorrelations are higher among US, Latin America, and Europe region group pairs and weaker in relation to Middle East Africa and Asia Pacific region group pairs, indicating the presence of contagion within developed and/or emerging regions, which has relevance for portfolio and risk management.

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Islamic Stock indices and COVID-19 pandemic

Cited by 38 publications

References 68 publications

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

Revisiting the impact of geopolitical risk on Sukuk, stocks, oil and gold markets during the crises period: fresh evidence from wavelet-based approach

The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model

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