Author

Danyal Haroon

Student Number

13666

Degree

Master of Science in Islamic Banking & Finance

Department

Department of Finance

Faculty/ School

Faculty of Business Administration (FBA)

Date of Award

Spring 2021

Advisor

Dr. Irum Saba, Associate Professor, Department of Finance, Institute of Business Administration (IBA), Karachi

Project Type

MS IBF Thesis

Access Type

Restricted Access

Pages

1-23

Abstract

Previous literature has shown that the sensitivity of Islamic and conventional stocks is not homogenous to different uncertainties (Narayan and Phan 2017; Godil et al.,2020). During the recent crises of COVID-19 has brought the attention of academic scholars to empirically test the performance of stock markets during the pandemic period (Mazur et al., 2020; Zang et al., 2020). As the performance of markets varies with respect to investors’ sentiments and in such uncertain situation, the pattern of news plays a key role in deviating the markets index. In a recent study Haroon and Rizwi (2020) show that investors’ sentiments created by the news related to COVID-19 significantly affect the market volatility. Motivated from the previous literature, we empirically test the effect of COVID-19 on the Dow Jones Islamic and Conventional stocks returns. We use daily data of stocks return from Compustat. For data analysis we applied Garch Arch (1/1) model.

Included in

Finance Commons

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