Resilience of Islamic Equities against Uncertainty

Abstract

This research aims to analyze the resilience of Islamic Equities against the economy and non-economic uncertainty within the past decades. Islamic Equities are represented by the developed, emerging, and frontier market S&P BMI Shariah Index. The World Uncertainty Index and economic policy uncertainty measure uncertainty. This paper uses a time-series approach utilizing the Vector Autoregressive (VAR) model to estimate the resilience of Islamic equities based on quarterly stock return, the World Uncertainty Index, and the Economic Uncertainty Index from 2013 to 2023. It shows that Islamic equities are resilient to economic uncertainty but not non-economic uncertainty.