Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?

Figures & data

Figure 1. Evolution of DJIM World and MSCI G7 group and country indices returns.

Note: Data spans from 2/01/1996 to 29/01/2021.

Table 1. Descriptive statistics and unit root.

	ABB	Mean (%)	Max	Min	Std. Dev.	J-B	ADF
DJIM	Dow Jones Islamic World Index	0.028	9.775	−9.639	1.019	23885.590***	−73.572***
MSG7	MSCI G7 Index	0.020	9.118	−10.728	1.018	36352.600***	−76.886***
MSUSA	MSCI USA	0.028	11.043	−12.922	1.209	32716.810***	−88.923***
MSCAN	MSCI Canada	0.023	12.205	−14.245	1.362	48879.100***	−30.885***
MSUK	MSCI UK	0.006	12.161	−14.205	1.308	34415.680***	−32.069***
MSFRN	MSCI France	0.017	11.844	−14.903	1.480	16314.470***	−38.862***
MSGER	MSCI Germany	0.016	11.589	−15.094	1.532	10820.730***	−80.475***
MSITA	MSCI Italy	0.004	12.470	−20.544	1.621	27129.010***	−81.602***
MSJPN	MSCI Japan	0.002	12.272	−9.513	1.369	6261.070***	−61.166***

Note: J-B represent Jarque-Berra test for normality. ADF is augmented Dicky-Fuller test of data stationarity.

Table 2. BDS test of non-linearity.

m	MSG7	MSUSA	MSJPN	MSITA	MSCAN	MSUK	MSGER	MSFRN
2	16.058***	14.868***	15.181***	15.257***	16.349***	17.451***	15.356***	16.114***
3	23.160***	22.904***	20.670***	21.230***	24.277***	23.057***	22.176***	23.168***
4	28.736***	29.062***	25.221***	26.944***	30.152***	28.298***	28.339***	29.167***
5	34.020***	35.353***	29.539***	32.713***	36.688***	33.573***	34.087***	35.095***
6	39.644***	42.694***	34.194***	39.128***	44.309***	39.373***	41.588***	42.021***

Note: Table 2 contains (Broock et al., 1996) test statistics of non-linearity.

Broock, W. A., Scheinkman, J. A., Dechert, W. D., & LeBaron, B. (1996). A test for independence based on the correlation dimension. Econometric Reviews, 15(3), 197–235. https://doi.org/10.1080/07474939608800353

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Availability of data

The data for this study is available upon request.