Did the Islamic Stock Index Provide Shelter for Investors during the COVID-19 Crisis? Evidence from an Emerging Stock Market
The economic and financial chaos caused by COVID-19 has been a discussion topic since the beginning of 2020. This study intends to provide a parallel comparison of volatility change and external shock persistence of the Islamic and conventional stock indexes of the Pakistan Stock Exchange. The daily...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-05-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/10/6/109 |
| _version_ | 1827656918124986368 |
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| author | Kashif Ali Muhammad Ashfaque Adil Saleem Judit Bárczi Judit Sági |
| author_facet | Kashif Ali Muhammad Ashfaque Adil Saleem Judit Bárczi Judit Sági |
| author_sort | Kashif Ali |
| collection | DOAJ |
| description | The economic and financial chaos caused by COVID-19 has been a discussion topic since the beginning of 2020. This study intends to provide a parallel comparison of volatility change and external shock persistence of the Islamic and conventional stock indexes of the Pakistan Stock Exchange. The daily stock index was extracted from Eikon Thomson Reuters for the conventional and Islamic stock index from Jan 2018 to April 2021, which was further divided in three periods, i.e., full, pre-, and post-pandemic period. The data have been analyzed using generalized autoregressive conditional heteroscedasticity (GARCH). An optimally parameterized GARCH (1,1) model is used to measure volatility change for both the pre- to post-pandemic periods. The results suggest that the magnitude of risk in a conventional index is significantly higher than that of the Islamic stock index for the period of study. However, the level of COVID shock persistence is longer in the KSE (conventional) index compared to the KMI (Islamic) index. |
| first_indexed | 2024-03-09T22:35:04Z |
| format | Article |
| id | doaj.art-b196bdfd8102499eb2bc6972c08b2a1e |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-09T22:35:04Z |
| publishDate | 2022-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-b196bdfd8102499eb2bc6972c08b2a1e2023-11-23T18:49:56ZengMDPI AGRisks2227-90912022-05-0110610910.3390/risks10060109Did the Islamic Stock Index Provide Shelter for Investors during the COVID-19 Crisis? Evidence from an Emerging Stock MarketKashif Ali0Muhammad Ashfaque1Adil Saleem2Judit Bárczi3Judit Sági4Kingston Business School, Kingston University, London KT2 7LB, UKDepartment of Management Sciences, Virtual University of Pakistan, Lahore 54000, PakistanDoctoral School of Economic and Regional Studies, Hungarian University of Agriculture and Life Sciences, H-2100 Gödöllő, HungaryDoctoral School of Economic and Regional Studies, Hungarian University of Agriculture and Life Sciences, H-2100 Gödöllő, HungaryFaculty of Finance and Accountancy, Budapest Business School, University of Applied Sciences, H-1149 Budapest, HungaryThe economic and financial chaos caused by COVID-19 has been a discussion topic since the beginning of 2020. This study intends to provide a parallel comparison of volatility change and external shock persistence of the Islamic and conventional stock indexes of the Pakistan Stock Exchange. The daily stock index was extracted from Eikon Thomson Reuters for the conventional and Islamic stock index from Jan 2018 to April 2021, which was further divided in three periods, i.e., full, pre-, and post-pandemic period. The data have been analyzed using generalized autoregressive conditional heteroscedasticity (GARCH). An optimally parameterized GARCH (1,1) model is used to measure volatility change for both the pre- to post-pandemic periods. The results suggest that the magnitude of risk in a conventional index is significantly higher than that of the Islamic stock index for the period of study. However, the level of COVID shock persistence is longer in the KSE (conventional) index compared to the KMI (Islamic) index.https://www.mdpi.com/2227-9091/10/6/109emerging marketIslamic stocksCOVID-19risk and volatility |
| spellingShingle | Kashif Ali Muhammad Ashfaque Adil Saleem Judit Bárczi Judit Sági Did the Islamic Stock Index Provide Shelter for Investors during the COVID-19 Crisis? Evidence from an Emerging Stock Market Risks emerging market Islamic stocks COVID-19 risk and volatility |
| title | Did the Islamic Stock Index Provide Shelter for Investors during the COVID-19 Crisis? Evidence from an Emerging Stock Market |
| title_full | Did the Islamic Stock Index Provide Shelter for Investors during the COVID-19 Crisis? Evidence from an Emerging Stock Market |
| title_fullStr | Did the Islamic Stock Index Provide Shelter for Investors during the COVID-19 Crisis? Evidence from an Emerging Stock Market |
| title_full_unstemmed | Did the Islamic Stock Index Provide Shelter for Investors during the COVID-19 Crisis? Evidence from an Emerging Stock Market |
| title_short | Did the Islamic Stock Index Provide Shelter for Investors during the COVID-19 Crisis? Evidence from an Emerging Stock Market |
| title_sort | did the islamic stock index provide shelter for investors during the covid 19 crisis evidence from an emerging stock market |
| topic | emerging market Islamic stocks COVID-19 risk and volatility |
| url | https://www.mdpi.com/2227-9091/10/6/109 |
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