RESUMEN
The recent COVID-19 pandemic or Global Health Crisis (GFH) has distorted the normal functioning of the global economies and financial markets. Previous research has shown that Islamic equities were relatively more stable than conventional ones during the 2008 Global Financial Crisis (GFC). So, this study aims to assess the effect of the COVID-19 pandemic on the performance and co-movement of the leading Islamic finance markets by employing MGARCH-DCC on daily frequency data spanning from January 01, 2017 to October 22, 2021. The findings suggest that, as expected, the pandemic outbreak has increased the volatility across the sample markets, but it faded relatively soon, indicating that Islamic equities carry hedging features and offer portfolio diversification benefits to investors. Moreover, the sample countries are less correlated during the sample period than expected. The findings have important implications for policymakers and diverse investors deciding on portfolio diversification. Global ethical and Islamic investors, including fund managers, could benefit by focusing on more stable markets and building optimal portfolios of Shari'ah-complaint equities during turbulent market conditions, such as the COVID-19 pandemic.
RESUMEN
This study assesses the role of gold, crude oil and cryptocurrency as a safe haven for traditional, sustainable, and Islamic investors during the COVID-19 pandemic crisis. Using Wavelet coherence analysis and spillover index methodologies in bivariate and multivariate settings, this study examines the correlation of these assets for different investment horizons. The findings suggest that gold, oil and Bitcoin exhibited low coherency with each stock index across almost all considered investment horizons until the onset of the COVID-19. Conversely, with the outbreak of the pandemic, the return spillover is more intense across financial assets, and a significant pairwise return connectedness between each equity index and hedging asset is observed. Hence, gold, oil, and Bitcoin do not exhibit safe-haven characteristics. However, by decomposing the time-varying co-movements into different investment horizons, we find that total and pairwise connectedness among the assets are primarily driven by a higher-frequency band (up to 4 days). It indicates that investors have diversification opportunities with gold, oil, and Bitcoin at longer horizons. The results are robust over different types of equity investors (traditional, sustainable, and Islamic) and various investment horizons.