Do <i>Ṣukūk</i> and Islamic indexes act as safe refuge to conventional stock markets? Evidence from Markov-switching CAPM approach

Purpose The objective of this paper is twofold. First, to study the safe-haven characteristic Islamic stock indexes and Ṣukūk during crises time. Second, evaluate property in last pandemic. This employs daily dataset from June 15, 2015, 2020, for most affected countries by earlier disease. Design/methodology/approach uses Markov-switching Capital Asset Pricing Model (CAPM) approach basic CAPM main analysis safe haven index (SHI) recently developed Baur Dimpfl (2021) robustness test. Findings Based on Lucey's (2010) definition, empirical findings indicate that cannot be a refuge throughout crisis regime all selected conventional markets. However, are strong Brazilian, Russian Malaysian For remainder countries, except Italy, USA Spain, offers weak protection against serious market downturns. Similar conclusions obtained COVID-19 global period. Finally, results confirmed using SHI. Originality/value To best authors’ knowledge, first evaluates effectiveness SHI impacted outbreak.