A note on COVID-19 instigated maximum drawdown in Islamic markets versus conventional counterparts
Hassan M.K. Chowdhury M.I.H. Balli F. Hasan R.
May 2022Elsevier Ltd
Finance Research Letters
2022#46
This study uncovers the impact of the COVID-19 on the Islamic equity markets compared to their conventional counterparts. The extremely large-scale drawdown across the markets signifies an indiscriminate impact. To some extent, Asian Islamic markets show relative resilience to their counterparts. Both Islamic and non-Islamic Asian markets signpost a quicker recovery than the rest of the regions, the Middle East & Africa, Europe, and America. It appears that a higher return leads to a smaller maximum drawdown, while higher volatility leads to a larger maximum drawdown. Despite the large-scale drawdown, a number of markets secure a positive return where Islamic markets outperform the counterparts. Conventional markets respond to the COVID-19 aftershock homogenously as a result of their high interlinkages. Collectively, these results reinforce the view that in the crisis period, Islamic markets are more resilient.
COVID-19 , Islamic equity market , Maximum drawdown
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Department of Economics and Finance, University of New Orleans, New Orleans
School of Economics and Finance, Massey University, New Zealand & Al Farabi Kazakh National University, Almaty, Kazakhstan
Al-Farabi Kazakh National University, Kazakhstan
Department of Finance, Coventry University, UK, United Kingdom
Department of Economics and Finance
School of Economics and Finance
Al-Farabi Kazakh National University
Department of Finance
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