Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis

Purpose The purpose of the study is to measure cross-country stock market correlation and volatility transmission during global coronavirus disease 2019 (COVID-19) pandemic. paper traces trajectory Islamic equity investments in order get insights on behavior markets crisis. Design/methodology/approach uses generalized method moments (GMM), autoregressive distributed lag (ARDL) multivariate GARCH (MGARCH) models for analysis dynamic causality, cointegration, between indices. Findings result normal share indices show move together. ARDL cointegration test shows returns are cointegrated as a group. To further make sense data; were grouped into four different categories, then tests conducted. results that subgroups except low COVID-19 subgroup. Based MGARCH findings, possibility crisis high. usual herd mentality common period Originality/value Unlike other works this area, attempt trace investment relevant arrives at appropriate ways responding