Original scientific paper
https://doi.org/10.1080/1331677X.2021.1922089
Predicting financial market returns in the presence of health crisis: evidence from conventional and Islamic stock markets
Gülfen Tuna
Abstract
The purpose of this study is to examine the usability of the news
about the COVID-19 outbreak as a predictor in financial markets.
Index values of 11 different sectors in conventional and Islamic
stock markets and the index values obtained from COVID-19
deaths, COVID-19 cases and health news were used for this purpose. News variables indices were calculated through Google
search volume (G.S.V.) values obtained from Google trend. The
daily data between 19 March 2020 and 27 July 2020 were used in
the study for 25 index values in total. Regression analysis was
used in the study. According to the study results, COVID-19
deaths, COVID-19 cases and health news used as predictors have
higher performance than historical return values in all sectors of
both conventional and Islamic financial markets. In addition,
Islamic stock markets show more attention to the news about the
COVID-19 outbreak than conventional stock markets. Accordingly,
COVID-19 deaths, COVID-19 cases and health news can be used
as effective predictors in Islamic financial markets.
Keywords
COVID-19; Islamic stock markets; sectoral stock return; return predictability
Hrčak ID:
302238
URI
Publication date:
31.3.2023.
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