Description:
The impact of the COVID-19 pandemic on Islamic equities in leading Islamic capital markets. We investigate whether Islamic equities provide diversification benefits in a time of the COVID-19 pandemic. To this end, we use daily data spanning from 01 January 2017 to 22 October 2021 and employ the MGARCH-DCC technique. The empirical results reveal that the sample countries are less correlated than expected. As expected, the COVID-19 pandemic outbreak raised the volatility across the sample markets. However, its impact faded away relatively soon. This provides evidence that Islamic equities have safe haven features and offer portfolio diversification benefits to investors. The findings of this study would help policymakers and diverse investors in making their decisions on portfolio diversification. Investors and portfolio managers could benefit by focusing on countries with negative volatility and building optimal portfolios of the Islamic equities during the crisis period, such as the COVID-19