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COVID-19 and the ASEAN stock market: a wavelet analysis of conventional and Islamic equity indices

Author

Listed:
  • Mohsin Ali
  • Mudeer Ahmed Khattak
  • Shabeer Khan
  • Noureen Khan

Abstract

Purpose - The purpose of this study is to examine the impact of the COVID-19 pandemic on Association of Southeast Asian Nations (ASEAN) Islamic and conventional equities. Design/methodology/approach - To study the impact of the COVID-19 pandemic on ASEAN Islamic and conventional equities, first, the authors calculated the volatility by using exponential generalized autoregressive conditional heteroscedasticity methodology and then used Wavelet methodology to see the co-movement between the volatility and returns of ASEAN equity market indicators and COVID-19 cases. Findings - The authors find that until the beginning of August, COVID-19 adversely relates to the returns of both the indices. The conventional index seemed to have increased volatility during the time period, whereas the Islamic index seemed to have declined volatility. Originality/value - To the best of the authors’ knowledge, this is one of the very few studies examining the impact of the COVID-19 pandemic on ASEAN Islamic and conventional equities. Additionally, this study adds value by comparing Islamic and conventional equities.

Suggested Citation

  • Mohsin Ali & Mudeer Ahmed Khattak & Shabeer Khan & Noureen Khan, 2022. "COVID-19 and the ASEAN stock market: a wavelet analysis of conventional and Islamic equity indices," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(4), pages 687-707, October.
    • Handle: RePEc:eme:sefpps:sef-10-2021-0457
    DOI: 10.1108/SEF-10-2021-0457
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    More about this item

    Keywords

    Islamic equities; COVID-19; ASEAN stock market; Conventional equities; C58; F37; G14;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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