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Research Article

Are emerging Islamic equity markets immune from contagion effects during the COVID-19 pandemic crisis? Evidence from the higher-order comoment-based contagion tests

Nour El Houda Benzartia Institute of Higher Commercial Studies of Sousse, University of Sousse, Sousse, Tunisia

Zouheir Mighrib Higher Institute of Finance and Taxation of Sousse, Department of Economics and Quantitative Methods, University of Sousse, Sousse, TunisiaCorrespondence[email protected]

https://orcid.org/0000-0002-8850-7812

Figures & data

Table 1. Descriptive statistics for MSCI equity index return series during the pre-COVID-19 phase.

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Table 2. Descriptive statistics for MSCI equity index return series during the COVID-19 phase 1.

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Table 3. Descriptive statistics for MSCI equity index return series during the COVID-19 phase 2.

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Table 4. Mean and variance comparison test results.

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Table 5. Comoment statistics for emerging Islamic equity index returns (in percent) during the pre-COVID-19 phase and COVID-19 phase 1 (source of contagion: China).

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Table 6. Comoment statistics for emerging Islamic equity index returns (in percent) during the pre-COVID-19 phase and COVID-19 phase 2 (source of contagion: U.S.).

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Table 7. Comoment statistics for emerging Islamic equity index returns (in percent) during the pre-COVID-19 phase and COVID-19 phase 2 (source of contagion: WORLD).

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Table 8. Comoment tests of contagion during COVID-19 phase 1 ( $i$ = China).

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Table 9. Comoment tests of contagion during the COVID-19 phase 2 ( $i$ = U.S.).

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Table 10. Comoment tests of contagion during the COVID-19 phase 2 ( $i$ = WORLD).

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Table 11. Data description of behavioural indicators.

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Table 12. Summary statistics of FSI.

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Table 13. Test results of GC and FDGC from the percentage change in FSI to MSCI emerging Islamic equity index returns.

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Figure A1. Breitung-Candelon Spectral Ganger causality test during the COVID-19 phase 1 ( $i =$ China). Source: Authors’ calculations.

Figure A2. Breitung-Candelon Spectral Ganger causality test during the COVID-19 phase 2 ( $i =$ U.S.). Source: Authors’ calculations.

Figure A3. Breitung-Candelon Spectral Ganger causality test during the COVID-19 phase 2 ( $i =$ WORLD). Source: Authors’ calculations.

Are emerging Islamic equity markets immune from contagion effects during the COVID-19 pandemic crisis? Evidence from the higher-order comoment-based contagion tests

Table 1. Descriptive statistics for MSCI equity index return series during the pre-COVID-19 phase.

Table 2. Descriptive statistics for MSCI equity index return series during the COVID-19 phase 1.

Table 3. Descriptive statistics for MSCI equity index return series during the COVID-19 phase 2.

Table 4. Mean and variance comparison test results.

Table 5. Comoment statistics for emerging Islamic equity index returns (in percent) during the pre-COVID-19 phase and COVID-19 phase 1 (source of contagion: China).

Table 6. Comoment statistics for emerging Islamic equity index returns (in percent) during the pre-COVID-19 phase and COVID-19 phase 2 (source of contagion: U.S.).

Table 7. Comoment statistics for emerging Islamic equity index returns (in percent) during the pre-COVID-19 phase and COVID-19 phase 2 (source of contagion: WORLD).

Table 8. Comoment tests of contagion during COVID-19 phase 1 ( $i$ = China).

Table 9. Comoment tests of contagion during the COVID-19 phase 2 ( $i$ = U.S.).

Table 10. Comoment tests of contagion during the COVID-19 phase 2 ( $i$ = WORLD).

Table 11. Data description of behavioural indicators.

Table 12. Summary statistics of FSI.

Table 13. Test results of GC and FDGC from the percentage change in FSI to MSCI emerging Islamic equity index returns.

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Are emerging Islamic equity markets immune from contagion effects during the COVID-19 pandemic crisis? Evidence from the higher-order comoment-based contagion tests

Figures & data

Table 1. Descriptive statistics for MSCI equity index return series during the pre-COVID-19 phase.

Table 2. Descriptive statistics for MSCI equity index return series during the COVID-19 phase 1.

Table 3. Descriptive statistics for MSCI equity index return series during the COVID-19 phase 2.

Table 4. Mean and variance comparison test results.

Table 5. Comoment statistics for emerging Islamic equity index returns (in percent) during the pre-COVID-19 phase and COVID-19 phase 1 (source of contagion: China).

Table 6. Comoment statistics for emerging Islamic equity index returns (in percent) during the pre-COVID-19 phase and COVID-19 phase 2 (source of contagion: U.S.).

Table 7. Comoment statistics for emerging Islamic equity index returns (in percent) during the pre-COVID-19 phase and COVID-19 phase 2 (source of contagion: WORLD).

Table 8. Comoment tests of contagion during COVID-19 phase 1 (i = China).

Table 9. Comoment tests of contagion during the COVID-19 phase 2 (i = U.S.).

Table 10. Comoment tests of contagion during the COVID-19 phase 2 (i = WORLD).

Table 11. Data description of behavioural indicators.

Table 12. Summary statistics of FSI.

Table 13. Test results of GC and FDGC from the percentage change in FSI to MSCI emerging Islamic equity index returns.

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Table 8. Comoment tests of contagion during COVID-19 phase 1 ( $i$ = China).

Table 9. Comoment tests of contagion during the COVID-19 phase 2 ( $i$ = U.S.).

Table 10. Comoment tests of contagion during the COVID-19 phase 2 ( $i$ = WORLD).