The performance of Islamic stock indices during the Covid-19 crisis

Résumé

The purpose of our study is to compare the performance of the Dow Jones Islamic Index against its conventional counterpart Dow Jones Index of 9 countries during the crisis of Covid-19 and post Covid-19. In general, we study the impact of Islamic finance on the structure of stock market returns of 9 countries that have a majority of Muslim population and are the predecessors of the integration of Islamic finance. The data was collected over a period of 21 months (January 2020 to September 2021), two sub-periods were defined: the first one from January 2001 to June 2020 (the market collapse), and the second one from July 2020 to September 2021 (the market recovery phase). The results reveal that Dow Jones Islamic index outperform their conventional Dow Jones Index counterparts in terms of risk-adjusted returns during Covid-19 and post Covid-19 crisis. In the same trend, the results of Echarch model confirm that conventional DJI stock indices are more volatile compared to their Islamic DJII counterparts. This leads to the conclusion that Islamic stock market indices perform better and are less risky than their conventional counterparts.