ABSTRACT

This article examines the nature of time-varying systematic risk for both Islamic and non-Islamic sectoral indices during COVID-19. The novelty lies in the analysis of behavioral changes in beta as the global health crisis moved from an epidemic to a pandemic. Using daily stock market return data on 10 different industry sectors, we show that both Islamic and conventional indices depict a similar pattern, but Islamic equities exhibit lower risk, indicating a subdued reaction to market movements. However, as the COVID-19 evolves from an epidemic to a pandemic the trend changes, with Consumer Services, Financials, Healthcare, and Oil & Gas sector betas depicting an overreaction in Islamic equities. These results remain robust to multiple additional tests. On this basis, we argue that a lower systematic risk of Islamic equities can offer portfolio diversification opportunities.

摘要

本文研究了 COVID-19 期间伊斯兰和非伊斯兰部门指数随时间变化的系统风险的性质。新颖之处在于，随着全球健康危机从流行病转变为大流行病，对 Beta 行为变化的分析。我们使用 10 个不同行业的每日股市回报数据表明，伊斯兰指数和传统指数都描绘了类似的模式，但伊斯兰股票的风险较低，表明对市场走势的反应较为温和。然而，随着 COVID-19 从流行病演变为大流行病，趋势发生了变化，消费者服务、金融、医疗保健和石油和天然气行业的贝塔系数显示了伊斯兰股票的过度反应。这些结果对多个额外的测试保持稳健。以这个为基础，