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Connectedness between the COVID-19 related media coverage and Islamic equities: The role of economic policy uncertainty

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  • Umar, Zaghum
  • Mokni, Khaled
  • Escribano, Ana

Abstract

This paper examines the static and dynamic return and volatility connectedness among Islamic equity indices and a Coronavirus coverage index over the ongoing COVID-19 pandemic crisis. We employ ten major sectoral equity indices covering main economic sectors and the Coronavirus media coverage index (MCI) and apply the time-varying parameter vector autoregressive methodology (TVP-VAR). The results show a high degree of connectedness between the return and volatility series of the different sectoral indices. Moreover, the information transmission between these indices and the media coverage index shows that Islamic equities are net receivers of shocks from the coronavirus MCI. Additionally, we investigate the causality between the different connectedness measures and the Economic Policy Uncertainty (EPU). Our results indicate that EPU has predictive power on the net connectedness between the Islamic sectoral equities and the Coronavirus MCI.

Suggested Citation

  • Umar, Zaghum & Mokni, Khaled & Escribano, Ana, 2022. "Connectedness between the COVID-19 related media coverage and Islamic equities: The role of economic policy uncertainty," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:pacfin:v:75:y:2022:i:c:s0927538x22001469
    DOI: 10.1016/j.pacfin.2022.101851
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    More about this item

    Keywords

    Islamic investments; Coronavirus media coverage index MCI; Connectedness; COVID-19 crisis; Economic policy uncertainty; TVP-VAR model;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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