Impact of the COVID-19 outbreak and its related announcements on the Chinese conventional and Islamic stocks’ connectedness

In this paper, we assess the impacts of COVID-19 counts (infected cases, deaths and recovered) related announcements on Islamic conventional stocks interplays in Chinese market. We test whether are perceived as assets providing diversification benefits time pandemic. Doing so, implement a multivariate GJR-GARCH model under dynamic conditional correlation (DCC) well multiple partial wavelet coherence methods to recent daily data ranging from 2 December 2019 8 May 2020 announcement for period. Our results models reveal that infected cases do impact mean DCCs between stocks, number recovered not have such impact, while none above any significant fluctuations. However, when analyze variation two (i.e. DCC volatility) our findings show 7 out 10 (mainly those with serious health treats or economic implications) effect volatilities equity The empirical coherences provide robust evidence instability co-movement indexes different scales over dissimilar sub-periods. Indeed, weakening co-movements is especially notable very short short-run where operating short-term investors. offer several key propositions policy makers portfolio managers China broad implications applicable other markets.