key: cord-0719398-4uk590rz
authors: Mzoughi, Hela; Bleaid, Fateh; Amar, Amine Ben; Guesmi, Khaled
title: The Impact of COVID-19 Pandemic on Islamic and Conventional Financial Markets: international empirical evidence
date: 2022-04-27
journal: Q Rev Econ Finance
DOI: 10.1016/j.qref.2022.04.007
sha: f711d4c3d9c9d601dbd28941de3de1ff8700759c
doc_id: 719398
cord_uid: 4uk590rz

The current global COVID-19 pandemic is adversely affecting financial markets, including commodities, conventional stocks, and Islamic stocks. This paper empirically investigates the extent to which COVID-19 effects may drive interdependence in markets. We fit copulas to pairs of returns before and during the ongoing epidemic shock, analyze the observed changes in the dependence structure, and discuss asymmetries on the propagation of crisis. We also use the findings to construct portfolios possessing desirable expected behavior. We find that the dependence structure changes significantly during the global pandemic providing valuable information on how the COVID-19 crisis affects inter-dependencies. The selected portfolio, including gold and Islamic return indices, has the best performance outside the COVID-19 crisis, and slightly more performing during the bear markets validating gold’s intrinsic characteristic to be a safe haven. However, the portfolio performances, when combining the Brent with Islamic or conventional indices, have the same trend for the whole period. Our findings contribute to help investors better adjust their investment strategies.

Compared to conventional nance, "Islamic nance" is relatively recent. Indeed, it is only since the end of the Second World War and the beginning of the independence movements of the countries of Islamic tradition that the rst reections on what will later be qualied as Islamic nance emerge. For several decades, Islamic nance remained a mere intellectual exercise. However, from the early 1960s onwards, we have witnessed the rst attempts to make it a reality, whether under the aegis of governments or private individuals. For example, in 1962, the Malaysian government sponsored a pilgrimage fund ( [30] ), and in 1963 the Egyptian economist Ahmad Al-Najjar established a small savings bank in the agricultural town of Mit Ghamr (See Appendix 1). However, the beginning of the independence movements was neither the only nor the main factor that explains the emergence of Islamic nance: instead, the enormous revenues realized by the Gulf Cooperation Council countries following the oil shocks allowed its realization and fueled its growth. On the economic level, the oil embargo declared in October 1973 by the Gulf region's oil-producing countries led to a quadrupling of the oil price between October and December 1973. This shock led to a transfer of revenues from Western countries to oil-exporting countries. GCC member countries rapidly accumulated wealth through which Islamic nance, hitherto an embryonic concept, became a feasible project (See Appendix 2) . The link between the development of Islamic nance and the level of oil revenues was veried following the fall in hydrocarbon prices in the rst half of the 1980s.

This shock signicantly contributed to the slowdown in the development of Islamic nancial institutions in the Gulf countries ( [49] ).

With assets amounting, according to ICD Thomson Reuters, to approximately $2523.5 billion in 2019, Islamic nance has become an essential part of the international nancial system and, at a double-digit average annual growth rate over the last decade ( [51] ), has undoubtedly been one of its most dynamic components. This dynamics is mainly explained by the revenues accumulated by the Gulf countries following the rise in oil prices ( [39] ; [10] ). According to ICD Thomson Reuters' estimates, the Islamic nance industry in 2019 includes 2601 nancial institutions, including 301 banks, 335 takaful, and retakaful companies, 1701 funds, and 592 other nancial institutions.

1 Interest in Islamic nance has grown considerably since the early 1990s and was reinforced after the nancial crisis in 2007 2 which, according to some empirical studies, showed that Islamic banks were more resilient than conventional banks (e.g. [67] ; [23] ) and that countries that integrated Islamic nance into their nancial systems were relatively less aected ( [35] 3 ). According to [58] , this can be explained by the requirements of Islamic law [which, according to him, reduce] the exposure [of banks] to the risk that could be generated by toxic credits. Indeed, and since investment with an ex-ante xed income (riba) is prohibited, as well as hoarding, the saver is, ipso facto, an investor, which implies the absence of a gap between investment and savings in Islamic nance. Moreover, backing any nancial transaction with a tangible asset is one of the fundamental principles of Islamic nance. [4] recognizes the danger of the absence of a real counterpart on the stability of the world economy: if it is possible to buy without paying or sell without holding, the trade-o between the present and the future can create macroeconomic imbalances, he says. In Islamic nance, any nancial transaction must be systematically backed by a real and not imaginary or notional asset ( [72] ; [36] ). Thus, Islamic nance is supposed to ensure a close link between the real economy and nance. [36] adds that the link is obvious not only because Islamic nancial institutions cannot sell what they do not own, but also, and above all, because they consider their clients as partners.

Nevertheless, the superiority of Islamic nance in terms of resilience remains ambiguous at both the empirical and the theoretical levels. In the theoretical literature, there is a debate between the supporters of Islamic nance and its detractors who think that it is nothing but religious hypocrisy. Proponents of Islamic nance argue that its business model diers signicantly from that of conventional nance and that this dierence enhances its eciency and stability ( [41] ; [42] ). However, those who regard Islamic nance as religious hypocrisy 1 Banks, although they are the least numerous of these nancial institutions, hold by themselves more than 80% of the assets of Islamic nance. 2 It should be noted that from the 2000s onwards, interest in Islamic nance has extended beyond the geographical borders of Muslim countries to become a global issue. For example, in 2004, the German Länder of Saxony-Anhalt issued the rst Sukuk in a Western country. This issue was fully subscribed, 60% of which was subscribed by investors from Bahrain. In the same year, the Islamic Bank of Britain, the rst Islamic retail bank in the UK, was established. Currently, there are 16 Islamic banks in the British nancial system. 3 It should be noted that, while some studies suggest that the integration of Islamic nance has enhanced economic activity ( [65] ; [40] ; [35] ; [27] ; [36] ), others nd that there are no proofs of the superiority of Islamic nance over the conventional one ( [19] ; [70] ; [45] ; [46] ; [15] ; [71] ; [25] ; [6] ; [30] ). 3 J o u r n a l P r e -p r o o f (e.g., [45] ) point out that Islamic and conventional nance are dierent in form but similar in substance and add that Islamic banks have no particular advantages in terms of eciency and stability. This debate can also be found in the empirical literature. Indeed, recent studies have shown that Islamic banks are not necessarily more resilient than conventional ones ( [55] ; [12] ; [10] ). Islamic nance's relative resilience is still relevant today, especially with the recent COVID-19 pandemic shock, which changed the outlook unexpectedly and involved heavy human, economic and nancial consequences ( [21] ). As a result of the high level of uncertainty that the pandemic shock involved, in one week only, from the 24th to the 28th of February, global stock markets lost about US$6 trillion in terms of capitalization ( [56] ).

While the eects of the COVID-19 outbreak on economic growth and nancial markets are currently receiving increasing attention of economists and politicians (e.g., [9] ; [26] ; [53] ; [5] ; [11] ; [13] , [14] ), the existing literature has not yet examined the extent to which Islamic nance was more or less resilient than conventional nance to the pandemic shock. Thus, this paper aims to ll this gap and address these issues by focusing on the impact of the COVID-19 pandemic shock on Islamic and conventional stock markets for dierent geographical regions in relation with energy commodity markets.

This paper contributes to the existing Islamic empirical literature by providing investors with important information about the relationship between the selected markets, especially during crisis periods. Specically, it uses copula theory to analyze the impact of the COVID-19 crisis on conventional and Islamic stock markets, when combined with crude oil and gold markets.

To this end, it focuses on the dependence structure between two strategic commodities, crude oil and gold, and a set of conventional and Islamic indices from dierent regions Europe, Asia, Pacic, Latin America, North America, and GCC countries , before and during the COVID-19 outbreak. Second, it estimates the tail dependencies between each of the two strategic commodities and each of the regional stock markets considered in order to identify the most performing pairs. The results reveal that all asset pairs exhibit a signicant shift in dependence structure between the two sub-periods considered (i.e., before and during the COVID-19 crisis), which provides information on how the COVID-19 pandemic aected interdependencies.

The rest of this paper is organized as follows: Section 2 describes the data and the method. Section 3 displays and discusses the empirical results. Section 4 concludes.

Marginal densities need to be specied before tting copulas. The conditional mean of the univariate margins µt has a dynamic behavior described by an autoregressive (AR) moving average (MA) process given by

where ξ t−k = σ t−k ν t−k and θ0, θj and ϕ k are constant parameters and the AR and MA parameters, respectively, and p and q are positive integers. Conditional volatility processes σ 2 t , exhibit a temporal dynamics described by generalized autoregressive conditional heteroskedasticity (GARCH)( [16] ):

where ω0 is a constant, while ω k , α h are the parameters of ARCH and GARCH respectively.

Copula theory has gained huge interest among researchers and practitioners when modeling the dependence structure between conventional nancial assets (e.g., [59] ; [17] ; [18] ; [50] ; [66] )

and Islamic nancial assets (e.g., [60] ; [61] and [68] ), due to their ability to capture not only the degree of the dependence but also its structure as well as potential asymmetry in the tail dependence, which are highly relevant and essential in risk analysis and portfolio management.

These functions may overcome the shortcomings of the classical correlation coecient, which is linear and incapable of providing information about the tail dependence. Hence, copulas are a exible alternative to correlation, whose detection can be enhanced for any distribution.

Making use of results of [62] , the dependence structure between crude oil and gold regarding their relationship with Islamic and conventional indices is statistically fully characterized by 4 J o u r n a l P r e -p r o o f their joint distribution expressed using copula functions. Consider a sample of random iid vectors Xi ∈ R p as Xi = (X1;i; :::; Xp;i) ∼ Xiid. Their margins are denoted by F1, ..., Fp. Let F be the distribution function of X and C the copula of X, thus:

Also, copula functions allow assessing the probability that two variables experience joint extreme upward or downward movements through upper (right) λU and lower (left) tail dependence λL, computed by:

Thus, a positive value of λL indicates that the two nancial market distributions simultaneously exhibit extreme downward movements.

When introducing copulas, these two coecients are [48] where both groups of indices experienced negative returns during the crisis, but Islamic indices performed slightly better than their conventional peers. Average returns were close to zero, whereas dierences in standard deviation indicate dispersion in volatility across crude oil, gold, and nancial indices. Indeed, crude oil is more volatile before the COVID-19 crisis and less volatile during the ongoing crisis. This nding is supported by the earlier graphical evidence (Figures 1 and 2) . Likewise, the skewness is negative before and during the current pandemic (except for gold and Brent before the pandemic), showing a shift to the left. High 4 The reader can refer to [37] and [54] for an introduction to copulas theory. This evidence can be explained by the fact that stock market indices have indeed a strong tendency to move together due to their similar nancial situation and even more during periods of high volatility. This is previously proved by [1] , who nds that both the Islamic banking nancing and stock market variables are cointegrated with several macroeconomic variables (ination, real exchange rate, interest rates, and economic activity as represented by the industrial production index) both before and during the subprime mortgage crisis. Next, examining the dependence structure between the daily returns needs a transformation into the uniform space. This will be obtained using the empirical cumulative distribution, and 5 December 31, 2019, represents the date on which the rst COVID-19 case was reported to the World Health Organization Country Oce in China. and 10 percent, respectively, and rejection of the null hypothesis for normality, unit root, stationarity, no autocorrelation, and conditional heteroscedasticity. (10) indicates autoregressive conditional heteroscedasticity tested through [22] at 20 lags.***, ** and * denote signicance levels at 1,5, and 10 percent, respectively, and rejection of the null hypothesis for normality, unit root, stationarity, no autocorrelation and conditional heteroscedasticity. 8 J o u r n a l P r e -p r o o f are constants for the mean and variance equation, respectively. Q (20) denotes the Ljung Box test statistics for serial correlation whereas ARCH (20) indicates autoregressive conditional heteroscedasticity, tested through [22] at lags 20. This table reports the optimal tted margin models based on the information criteria and the signicance of the estimated parameters at the 5% level. (20) indicates autoregressive conditional heteroscedasticity, tested through [22] at lags 20. The nonparametric copula densities, computed according to [20] , are reported in Figure A. 1 (see the Appendix). A visual inspection shows that the nonparametric densities point to major evidence of weakly or nonsymmetric comovement before and during the pandemic period between nancial markets and commodity markets, as indicated by the fact that the probability mass is unevenly located along the quadrant formed by the points (0,0) and (1, 1) . This result is consistent with the results of the dependence structure estimations. Tables 5 to 12 report, each, the estimation results for the eight considered copula functions.

Fundamentally, the analysis will be divided into two strands highlighting similarities and/or dierences between the crude oil market and the gold market with respect to regional MSCI conventional and Islamic indices. Specically, it is about answering two questions: What characterizes the dependence structure between the crude oil market and conventional and Islamic MSCI indices before and during the ongoing pandemic? and what characterizes the dependence structure between the gold market and conventional and Islamic MSCI indices?

The rst strand focuses on the relationship between the crude oil market and conventional and Islamic stock markets before and during the COVID-19 crisis. Indeed, ever since the seminal work of [31] 7 , a large body of the academic literature has been devoted to the study of the impact of oil prices on macroeconomic variables ( [24] ; [47] ; [52] ) and stock market returns.

8 A wide strand of the literature has examined the impact of oil prices on stock market returns. As the stock price is the present value of expected future cash-ows, the literature has identied two channels through which the oil price can aect stock prices: direct channels by altering future cash ows and indirect channels by aecting the equity risk premium and, consequently, the discount rate. While these direct channels are based on the idea that oil is necessary to produce many goods, and that uctuations in oil prices may alter the demand (i.e., consumption, investment and public expenditure decisions) and, consequently, income and cash ows ( [28] ), 9 the indirect channel is based on the hypothesis that changes in oil 6 For more details on the IFM, the reader can refer to [37] . 7 [31] was among the rst to document that oil price changes regularly have a signicant impact on economic activity in the US. 8 Stock market reactions to oil price changes have been widely treated in the literature, but remain ambiguous. Several empirical studies suggest that, for oil-importing economies, stock market returns respond negatively to positive oil price changes, whereas the reverse holds for oil-exporting economies ( [8] ; [24] ; [44] ; [69] ). For instance, [57] found a negative relationship between oil prices and stock returns in the US and twelve European countries (considered as an oil importer) whereas a positive relationship has been established for Norway (considered as an oil exporter) . Other studies show that, depending on whether oil price changes are supply-or demand-based, the directions and magnitudes of the reactions of the stock markets are not the same ([2]; [7] ; [29] ; [38] ; [43] ). 9 In theory, the value of a stock reects the sum of expected future cash ows, which depends on several economic prices could have an impact on the equity risk premium which, together with the nominal interest rate, is the main determinant of the rate at which future cash ows are discounted ( [3] ). Indeed, oil price uctuations can aect macroeconomic variables including GDP growth rates, ination, and exchange rates ( [32] ) and thus indirectly drive equity risk premiums' which in turn aect the discount rates applied to the cash-ows in stock valuation models.

The estimated dependence structure between the crude oil market and regional MSCI conventional indices have mainly three types of copulas: (i) the Student copula (with Pacic, Asian, and North America indices), (ii) the Plackett copula (with European and Latin America indices) and (iii) the Clayton copula (with GCC countries index). As for the estimated dependence structure between the crude oil market and regional MSCI Islamic indices, the 10 This result is consistent with those of [33] 11

Regarding the relationship between the crude oil market and the conventional and the Islamic indices, we nd that the Student copula is the best function for capturing the dependence structure between each pair, except for the Asian stock market (modeled using the SJC copula). Notably, each of the two employed types of copula functions has signicant tail dependence values, indicating an extreme dependence that is more intense during the critical time period, even if the copula before the turbulent period does not allow dependence during extreme movements. These ndings argue that both conventional and Islamic indices were aected by the COVID-19 crisis. It is also interesting to note that the estimates (of the copula parameters and the upper and lower tail values) are more drastically higher when using the conventional indices than the Islamic indices. This nding is in accordance with the ndings of [63] that Islamic indices outperformed their conventional counterparts during crisis periods.

This may due to one of the characteristics of Islamic institutions, viz., that they support their investments.

The second strand focuses on the relationship between the gold market and conventional and Islamic stock markets before and during the current pandemic. The dependence structure between gold and MSCI conventional indices is captured using the Student copula allowing symmetric tail dependence, except for the European index (captured using the Plackett copula without tail dependence). Before the COVID-19 crisis, the dependence between the gold market and MSCI conventional stock, was more intense than that between the gold market and MSCI Islamic stocks, except for North America, where we see only a slight dierence.

The same results are to be seen when estimating the relationship between the gold market and the MSCI Islamic stocks after January 1, 2020. Indeed, the Student copula seems to be the best symmetric copula for modeling the dependence structure between the gold market and the selected nancial stock markets, taking into account the dependence during extreme events. The sign of the Student copula remains positive during the ongoing pandemic for the majority of the series, arming the impact of the crisis. This nding is consistent with [45] and [10] , indicating that, in practice, there are few dierences between the modus operandi of Islamic nance and the methods used in conventional nance, and with [34] , suggesting that the Sharia-compliance rules are not strong enough to make the Islamic stock universe conditions (i.e., income, economic growth, ination, interest rate) and macroeconomic events. The price of oil has a direct impact on these variables. Thus, it can be suggested that the oil price inuences stock returns and accordingly the functioning of stock markets. 10 Indeed, to protect their national economies from oil price volatility, the GCC governments have implemented discretionary counter-cyclical scal policies: when oil revenues fall, they use their reserves and/or go into debt to nance their expenditures. On the other hand, when oil revenues increase, they use part of their trade surplus to reduce their debt and/or replenish their reserves. Therefore, given the strong correlation between oil revenues and government expenditure, uctuations in oil prices are likely to inuence the dynamics of the non-oil GDP. This suggests that the non-oil private sector GDP is very sensitive to scal policy, which is itself dependent on oil revenues. Indeed, an increase in the price of oil, which increases the oil revenues of the government, can lead to an increase in public expenditure, which, through the multiplier eect, may stimulate private sector expenditure. In contrast, a collapse in oil prices can, through the same mechanisms, lead to a slowdown in private sector economic activity. 11 [33] investigate the relation between oil prices and stock prices for a panel of ve GCC countries and provide evidence that oil price changes signicantly and positively aect stock prices. very dierent from the conventional stock markets. The intensity of the relationship is higher during the corona-virus crisis than before, and is also higher with the MSCI conventional stocks than the MSCI Islamic stocks (except in Europe, North America, and Latin America, where the dierences are only slight). This is also supported by [64] , suggesting that Islamic indices are more resilient to crises than conventional indices. We then construct equally weighted portfolios and compare their cumulative returns in order to detect the best performing portfolio before and during the COVID-19 period. When comparing the cumulative returns between gold and both Asian Islamic (Gold-MIMS) and

conventional Pacic (Gold-MXPC) indices, we observe that the Gold-MIMS portfolio performs signicantly better, i.e., it records relatively higher cumulative returns (see Figure 3 ).

These ndings are in line with [34] , who arming the usefulness of the information to investors respecting Sharia and diversication with commodities such as gold. Indeed, backing any nancial transaction with a tangible asset is one of the fundamental principles of Islamic nance. Thus, in Islamic nance, any nancial transaction must be systematically backed by a real asset and not an imaginary or notional one ( [72] ; [36] ). As a result, Islamic nance is supposed to ensure a close link between the performance of real assets and that of purely nancial assets. The incorporation of crude oil in two portfolios, the rst, -including the North American conventional index (MXNA) and the second the North American Islamic index (MINA), allowed us to detect that, over the entire period, that the Brent-MINA combination is slightly better performing, in terms of cumulative portfolio return, than the Brent-MXNA combination, even if it is negative (see Figure 5 ). In particular, unprecedented negative returns appear when crude oil prices become very volatile, mainly due to the price war between Russia and OPEC and the collapse in demand. As for the conventional and Islamic MSCI Pacic indices, Figure 6 shows a similar pattern for the two portfolios including crude oil, while the portfolio incorporating the conventional index (Brent-MXPC) performs slightly better than the one incorporating the Islamic index (Brent-MIPC). In addition, the results also suggest that portfolios combining Brent with either the conventional or Islamic Pacic or North American indices allow investors to have the same performance. Furthermore, our results reveal that gold, when combined with stock market indices (whether Islamic or conventional), provides investors with a better performance. 

J o u r n a l P r e -p r o o f information for investors in their investment decision on the relationship between the selected markets, especially during a bear period. The method used is based on the theory of copulas in order to model the dependence structure before and during the ongoing pandemic and assess the probability that two series in two dierent markets experience join extreme upward or downward movements. Evidently, before tting bivariate copulas, the marginal densities have to be specied. The dynamic behavior of the conditional mean has been described by an AutoRegressive Moving Average (ARMA) process and the dynamic behavior of the conditional volatility described by a Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) process.

The results highlight that all markets show a signicant persistence in their volatility process, as benets a crisis. A notable change in the dependence structure between crude oil and Islamic and conventional indices before and during the unprecedented event provides valuable information on how the COVID-19 pandemic aects the inter-dependencies. It is also interesting to note that the estimates (of the copula parameters and the upper and lower tail values) are more drastically higher when using the conventional indices than the Islamic indices. This is at least partly due to the principles of Islamic nance, particularly the backing any nancial transaction with a tangible asset.

Regarding the dependence structure between gold and Islamic and conventional indices, the estimates show an increase of the parameters of the Student copula, highlighting the impacts of the crisis, except the European indices, for which the copula function changes. The results are in line with previous studies (e.g., [45] and [10] ), indicating that, in practice, there are few dierences between the modus operandi of Islamic nance and the methods used in conventional nance. Moreover, it seems that the Sharia-compliance rules are not strong enough to make the Islamic stock universe very dierent from the conventional stock markets ( [34] ). To sum up, our ndings may support the conclusions of [64] suggesting that Islamic indices are more resilient towards crisis than conventional indices.

Furthermore, we investigated portfolio risk management issues based on previous estimates. For future research, it may be attractive to extend our empirical analysis in many directions. -We fit copulas to pairs of returns before and during the ongoing epidemic shock, analyze the observed changes in the dependence structure, and discuss asymmetries on the propagation of crisis.

-We also use the findings to construct portfolios possessing desirable expected behavior.

-We find that the dependence structure changes significantly during the global pandemic providing valuable information on how the COVID-19 crisis affects inter-dependencies.

-The selected portfolio, including gold and Islamic return indices, has the best performance outside the COVID-19 crisis, and slightly more performing during the bear markets validating gold's intrinsic characteristic to be a safe haven.

-However, the portfolio performances, when combining the Brent with Islamic or conventional indices, have the same trend for the whole period.

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