COVID-19 Pandemic and Dependence Structures Among Oil, Islamic and Conventional Stock Markets Indexes

• 발행기관: 한국유통과학회
• 저자명: Huthaifa ALQARALLEH Alaa Adden ABUHOMMOUS
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.5, 515~521쪽, 전체 7쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.05.30

영문 초록

The popularity of Islamic financial instruments among Muslims is not surprising. The Islamic capital market is where sharia-compliant financial assets are transacted. It works parallel to the conventional market and helps investors find sharia-compliant investment opportunities. At a time of collective confusion when the COVID-19 epidemic is contributing to unprecedented change, this paper is keen to understand how attractive conventional and Islamic stock markets have been to investors recently. Second, this paper takes advantage of the time-scale decomposition property of the wavelet to simultaneously capture risk exposure and distinguish the risks faced by short- and long-term investors. To this end, this research conducted a two-step investigation of the daily closing equity market price indices for three Islamic stock markets and their conventional counterparts. Given that different financial decisions occur with greater or less frequency, the paper examines the connectedness of stock markets operating at heterogeneous rates and identifies the timescales using wavelet-DCC-GARCH analysis to take account of both the time and the frequency domains of stock market connectedness. The paper findings highlight the strong evidence of contagion that can be seen in nearly all conventional stock markets in the COVID-19 pandemic; they reach a high level of dependency in such health crises. Furthermore, Islamic stock markets prove to be a rich ground for global diversification.

목차

1. Introduction

2. Literature Review

3. The Empirical Methodology

4. Empirical Results

5. Conclusion

키워드

International Diversification Time and Frequency Domains Dependency Wavelet-DCC-GARCH Stock Market Connectedness Financial Economics