Being the health pandemic with the highest impact on the global financial market, the recent COVID-19 pandemic has led to significant risk transmissions across stock markets. Although an increasing number of studies have examined the effects of the pandemic on financial markets, we provide novel insights into the volatility connectedness between conventional and Islamic stock markets. First, the analysis is conducted at the sectoral level, considering nine sectors for each category. Second, a greater novelty is applied by determining if the actual COVID-19 occurrence or speculations or sentiments raised by it is responsible for the connectedness. Summarily, findings show that markets are strongly connected. In addition, the Technology and Utilities sectors of both stock market types, and the Oil and Gas conventional stocks are the net receivers of volatility shocks. On average, however, Islamic markets tend to be more immune to the pandemic than conventional markets. Finally, both causal factors considered significantly affect the connectedness measures, although the effect is heterogeneous and stronger for the speculative/sentiment indicators. These findings provide appropriate policy clues for both investors and policy makers.

作为对全球金融市场影响最大的健康大流行，最近的 COVID-19 大流行已导致股票市场的重大风险转移。尽管越来越多的研究研究了大流行对金融市场的影响，但我们对传统股票市场和伊斯兰股票市场之间的波动联系提供了新的见解。首先，分析是在部门层面进行的，每个类别考虑九个部门。其次，通过确定实际发生的 COVID-19 或由此引发的猜测或情绪是否对连通性负责，从而应用了更大的新颖性。总而言之，调查结果表明市场是紧密相连的。此外，两种股票市场类型的技术和公用事业部门，石油和天然气常规股票是波动性冲击的净接收者。然而，平均而言，伊斯兰市场往往比传统市场更能抵御这种流行病。最后，尽管投机/情绪指标的影响是异质的并且更强，但考虑的两个因果因素都会显着影响连通性度量。这些发现为投资者和政策制定者提供了适当的政策线索。