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      Faith-based investments and the Covid-19 pandemic: Analyzing equity volatility and media coverage time-frequency relations

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          Abstract

          We perform time-frequency wavelet-based analysis to explore how the media coverage of the Covid-19 pandemic influenced the volatility of the Islamic equity indices, covering various sectors of economic activity. Our results show that the coherence between the Media Coverage Index and the moves of the Islamic stocks varies from low and medium to high levels. We attribute the intervals of low coherence to the diversification potential of Islamic equity investments during a systemic pandemic such as Covid-19. We document differences in the patterns exhibited by various indices per sector, showing their potential role for designing hedging strategies across sectors, based on stocks of companies which comply with Shariah.

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          A Practical Guide to Wavelet Analysis

          Christopher Torrence, Gilbert P. Compo (1998)
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            Financial markets under the global pandemic of COVID-19

            Dayong Zhang, Min Hu, Qiang Ji (2020)
            Highlights • The COVID-19 pandemic has significant impacts on global financial markets. • Substantial increases of volatility are found in global markets due to the outbreak. • Global stock markets linkages display clear different patterns before and after the pandemic announcement. • Policy responses may create further uncertainties in the global financial markets.
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              COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach

              Arshian Sharif, Chaker Aloui, Larisa Yarovaya (2020)
              In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality tests applied to US recent daily data unveil the unprecedented impact of COVID-19 and oil price shocks on the geopolitical risk levels, economic policy uncertainty and stock market volatility over the low frequency bands. The effect of the COVID-19 on the geopolitical risk substantially higher than on the US economic uncertainty. The COVID-19 risk is perceived differently over the short and the long-run and may be firstly viewed as an economic crisis. Our study offers several urgent prominent implications and endorsements for policymakers and asset managers.
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                Author and article information

                Journal
                Title: Pacific-Basin Finance Journal
                Publisher: Elsevier B.V.
                ISSN (Print): 0927-538X
                ISSN (Electronic): 0927-538X
                Publication date PMC-release: 4 May 2021
                Publication date (Print): June 2021
                Publication date (Electronic): 4 May 2021
                Volume: 67
                Page: 101571
                Affiliations
                [a ]College of Business, Zayed University, P.O. Box 144534, Abu Dhabi, United Arab Emirates
                [b ]South Ural State University, Lenin Prospect 76, Chelyabinsk 454080, Russian Federation
                [c ]ISCAL – Lisbon Accounting and Business School, Instituto Politécnico de Lisboa, Av. Miguel Bombarda, 20, 1069-035 Lisbon, Portugal
                [d ]SOCIUS/CSG - Research in Social Sciences and Management, Rua Miguel Lupi, 20, 1249-078 Lisbon, Portugal
                Author notes
                [* ]Corresponding author at: ISCAL – Lisbon Accounting and Business School, Instituto Politécnico de Lisboa, Av. Miguel Bombarda, 20, 1069-035 Lisbon, Portugal.
                Article
                Publisher Item ID: S0927-538X(21)00078-0 Publisher ID: 101571
                DOI: 10.1016/j.pacfin.2021.101571
                PMC ID: 9188484
                SO-VID: c30ee63e-6f96-41ad-b225-0ed5f62e0da4
                Copyright © © 2021 Elsevier B.V. All rights reserved.
                License:

                Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.

                History
                Date received : 29 December 2020
                Date revision received : 25 March 2021
                Date accepted : 2 May 2021
                Categories
                Subject: Article

                Keywords: covid-19,islamic stock market,social media coverage,volatility,wavelet coherence phase-difference,dow jones islamic indices,coherence,phase difference,causality,co-movements,leads and lags
                Data availability:
                Keywords: covid-19, islamic stock market, social media coverage, volatility, wavelet coherence phase-difference, dow jones islamic indices, coherence, phase difference, causality, co-movements, leads and lags

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