Impact of Covid-19 on Islamic Stock Markets: An Investigation using Threshold Volatility and Event Study Models

Irfan, Mohammad; Kassim, Salina; Dhimmar, Sonali

doi:10.18196/ijief.v4i1.10480

Cited by 23 publications

(22 citation statements)

References 18 publications

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“…The study concluded that the initial market reaction was a tsunami that engulfed many banks, and the best-capitalized and more profitable banks were able to face the shocks of crisis. Further Irfan, Kassim, and Dhimmar (2020) explores the impact of the COVID-19 pandemic crisis on the Islamic stock markets in Indian Stock Exchange (represented by the Bombay Stock Exchange -BSE Shariah Index) and Indonesian Stock Exchange (represented by the Jakarta Islamic Indices). The results show that the BSE Shariah and JII have positive coefficients, with the BSE Shariah Index shows negative response to the announcement of the COVID-19 as global pandemic.…”

Section: Background Of the Studymentioning

confidence: 99%

Impact of the Covid-19 Pandemic on Islamic Bank Indices of the GCC Countries

2021

ijibfr

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The present study explores the impact of the COVID-19 pandemic on Islamic bank indices in GCC countries banking sector. The research aims to know the ability of Islamic Bank indices to face the COVID-19 crisis and examine whether Islamic bank indices can respond to the volatility in the stock exchanges. The study uses data of stock exchanges and Dow Jones Islamic Market Index in GCC countries banking sector to relate the data before and during the COVID-19 crisis. It is found that Islamic banks have ability to respond the financial and economic crisis. Also, Islamic banks are able to provide their valuable services continuously and perform their financial activities during and after the crisis competently. The results also indicate that Islamic Bank Indices in GCC countries have performed better during 2019 with significant closing prices compared to 2020. As during 2020 fifteen banks recorded normal decreasing in its indices and six Islamic banks achieved growth in its indices. In Q1, Q2 of 2021 the Islamic banks achieved positive growth in its indices price. This specifies that Islamic Banks have managed the financial and economic crisis in an efficient manner.

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Section: Background Of the Studymentioning

confidence: 99%

Impact of the Covid-19 Pandemic on Islamic Bank Indices of the GCC Countries

2021

ijibfr

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“…Other studies have explored the response of Islamic stocks relative to their conventional counterparts to the same shock enforced by the pandemic (I. Agustin, 2021;Ali et al, 2021;Irfan et al, 2021;Erdo gan et al, 2020;Sherif, 2020). Al-Awadhi et al (2020), Ashraf (2020) and Bahrini and Filfilan (2020) have investigated the correlation between the rise of COVID-19 cases and related deaths and the stock market return using panel data analysis.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Similar findings were concluded in the study conducted by Ali et al (2021), in which the Indonesian stock market reacted negatively and with enhanced volatility toward COVID 19. Along the same line, a study conducted by Irfan et al (2021) aimed to identify the impact of the COVID-19 announcement on the Islamic stock indices listed in the Bombay Stock Exchange -BSE Shariah Index and Indonesian Stock Exchange -Jakarta Islamic Indices (JII) was further analyzed using threshold volatility and event study models. The analyses of both countries showed different direction movements; the Islamic stock index was recorded to experience less volatility in comparison to its conventional counterpart after the announcement.…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility transmission within financial markets during the COVID-19 pandemic: are faith-based investors well off in Tunisia?

Akinlaso

Robbana

Mohamed³

2021

JIABR

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Purpose This paper aims to investigate the risk-return and volatility spillover within the Tunisian stock market during the COVID-19 pandemic analyzing both the Islamic and conventional stocks’ performance. Design/methodology/approach Both symmetric (GARCH and GARCH-M) and asymmetric (Threshold GARCH and Exponential GARCH) models are used to analyze the market returns and volatility response. Standard and Poor’s (S&P) index has been used to test both the Islamic and conventional stocks within the Tunisian stock market. Findings The findings suggest that both Tunisia Islamic and conventional stock markets are highly persistent; however, the conventional stock index showed a negative return spillover on the Islamic stocks during the pandemic. The conventional stock index has also shown a higher exposure to risk for a lower amount of return, and evidence of potential diversification benefit between both indexes was found during the pandemic, whereas the Islamic market showed a positive leverage effect, indicating a positive correlation between past return and future return; the conventional index implied a negative leverage effect. Originality/value The value of this paper emerges in studying three main aspects that are specific to the Tunisian stock market. This includes COVID-19 effect of return spillovers, volatility transmission across both conventional and Islamic stock market within the local financial market.

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“…Hence, their findings do not confirm the information content of dividend. Irfan et al (2021) investigate the impact of COVID-19 on Islamic stocks in Indian and Indonesian Stock Markets and find that the reaction of a stock exchange is dependent on the other economic factors related to the specific country and results in the event impact of COVID-19 to vary from one country to another.…”

Section: Literature Reviewmentioning

confidence: 99%

Investigating beta anomaly: comparison of Shariah-compliant and conventional stocks

Qamar

Hassan

Nazir

et al. 2021

IMEFM

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Purpose The purpose of this paper is to examine the impact of dividend announcements on the stock return of Shariah-compliant and conventional stocks. Design/methodology/approach An event study methodology is applied to study the beta anomaly. Market-adjusted return model, mean-adjusted return model and market model have been applied to calculate excess returns. Estimation period used in this study is 130 days, and event period consists of 21 days in total, i.e. starting from the day –10 “before the cash dividend announcement” to day +10 “after the cash dividend announcements. Findings It has been concluded from the results that dividend plays an informational role in the Pakistan Stock Exchange. As the investors in Pakistan react favorably to the dividend increase announcements and unfavorably to the dividend decrease announcements, they consider dividend increase announcement as good news and dividend decrease announcement as bad news. Practical implications The findings of this study have several implications for different participants of the stock market, such as investors, academicians, researchers, fund managers and policymakers. They can use this information to make decisions while making efficient portfolios. Investors may get abnormal returns by focusing on the dividend announcement patterns. This can influence the attitude of investors toward efficient investments in the stock market and ultimately contribute to the betterment of society. This study is also beneficial for academicians and researchers, as it provides a comparative analysis of Shariah-compliant and conventional stocks and the anomalous effect of dividend announcements on stock return. Originality/value Limited research in the world’s context and null is available in Pakistani context on the subject matter. The comparative analysis of “Shariah-compliant” and “conventional” stocks provides insight into the asset pricing of Shariah-compliant stocks that have not been explored earlier. This study also uses three different methods (mean model, market model and market-adjusted return models) to compare Shariah-compliant and conventional stocks

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Impact of Covid-19 on Islamic Stock Markets: An Investigation using Threshold Volatility and Event Study Models

Cited by 23 publications

References 18 publications

Impact of the Covid-19 Pandemic on Islamic Bank Indices of the GCC Countries

Impact of the Covid-19 Pandemic on Islamic Bank Indices of the GCC Countries

Volatility transmission within financial markets during the COVID-19 pandemic: are faith-based investors well off in Tunisia?

Investigating beta anomaly: comparison of Shariah-compliant and conventional stocks

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