Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2023.2263524
Are emerging Islamic equity markets immune from contagion effects during the COVID-19 pandemic crisis? Evidence from the higher-order comoment-based contagion tests
Nour El Houda Benzarti
Zouheir Mighri
Sažetak
In this paper, we investigate the possible contagion effects of the
COVID-19 pandemic on twenty-four emerging Islamic equity markets.
To test for contagion, we use statistical tests based on
changes in correlation and higher-order comoments. We also split
the full sample into three sub-periods while identifying two
phases of the COVID-19 crisis. Our main empirical findings indicate
significant evidence of contagion during the two COVID-19
phases, especially through the coskewness, cokurtosis, and covolatility
channels. Interestingly, we find that most emerging Islamic
equity markets are not immune from the contagious effects of
the COVID-19 pandemic. Furthermore, we draw on six behavioural
indicators and construct a new index entitled ‘Feverish sentiment’
to examine the causal relationships between investor sentiment
and emerging Islamic equity index returns during the COVID-19
pandemic. Using both traditional and frequency-domain Granger
causality tests, we find significant causal linkages between
investor sentiment and some emerging Islamic equity markets in
low, medium, and high frequencies. In particular, the results highlight
an increase in the predictive power of investor sentiment
during the second phase of the COVID-19 pandemic.
Ključne riječi
Contagion; COVID-19 pandemic; higher-order comoments; Islamic equity markets; investor sentiment
Hrčak ID:
315151
URI
Datum izdavanja:
9.10.2023.
Posjeta: 368 *