COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence

The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social economic aspects world. This study investigated Islamic stock market’s reaction changes in volatility before during this pandemic. market model event methodology was employed analyze reactions nine different markets around globe. To examine persistence risk, generalized autoregressive conditional heteroscedasticity (GARCH) method used. Nine indices were selected for from Thomson Reuters data stream. results suggest that, short run, Australian index GCC remained stable first 15 days following news indexes Qatar, UAE, ASEAN, MENA, MENASA, Bahrain significantly affected by outbreak short-term. On other hand, substantially amplified after global crisis declared WHO. Moreover, shocks tended persist a longer period COVID-19.