COVID-19 and the ASEAN stock market: a wavelet analysis of conventional and Islamic equity indices

被引:6
作者
Ali, Mohsin [1 ]
Khattak, Mudeer Ahmed [2 ]
Khan, Shabeer [3 ]
Khan, Noureen [2 ]
机构
[1] Taylors Univ, Taylors Business Sch, Subang Jaya, Malaysia
[2] IQRA Univ, Fac Business Adm, Islamabad, Pakistan
[3] Sukkur IBA Univ, Dept Business Adm, Sukkur, Pakistan
关键词
Islamic equities; COVID-19; ASEAN stock market; Conventional equities; C58; F37; G14; MACROECONOMIC VARIABLES; VOLATILITY; INTEGRATION; DEPENDENCE; RETURNS; PERFORMANCE; EFFICIENCY; IMPACT; EVENT; MEDIA;
D O I
10.1108/SEF-10-2021-0457
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Purpose The purpose of this study is to examine the impact of the COVID-19 pandemic on Association of Southeast Asian Nations (ASEAN) Islamic and conventional equities. Design/methodology/approach To study the impact of the COVID-19 pandemic on ASEAN Islamic and conventional equities, first, the authors calculated the volatility by using exponential generalized autoregressive conditional heteroscedasticity methodology and then used Wavelet methodology to see the co-movement between the volatility and returns of ASEAN equity market indicators and COVID-19 cases. Findings The authors find that until the beginning of August, COVID-19 adversely relates to the returns of both the indices. The conventional index seemed to have increased volatility during the time period, whereas the Islamic index seemed to have declined volatility. Originality/value To the best of the authors' knowledge, this is one of the very few studies examining the impact of the COVID-19 pandemic on ASEAN Islamic and conventional equities. Additionally, this study adds value by comparing Islamic and conventional equities.
引用
收藏
页码:687 / 707
页数:21
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