Did the Islamic Stock Index Provide Shelter for Investors during the COVID-19 Crisis? Evidence from an Emerging Stock Market

The economic and financial chaos caused by COVID-19 has been a discussion topic since the beginning of 2020. This study intends to provide parallel comparison volatility change external shock persistence Islamic conventional stock indexes Pakistan Stock Exchange. daily index was extracted from Eikon Thomson Reuters for Jan 2018 April 2021, which further divided in three periods, i.e., full, pre-, post-pandemic period. data have analyzed using generalized autoregressive conditional heteroscedasticity (GARCH). An optimally parameterized GARCH (1,1) model is used measure both pre- periods. results suggest that magnitude risk significantly higher than period study. However, level COVID longer KSE (conventional) compared KMI (Islamic) index.