Assessing the impact of media sentiment on the returns of sukuks during the Covid-19 crisis

Author First name, Last name, Institution

Zaghum Umar, Zayed UniversityFollow
Mariya Gubareva, ISEG Lisbon School of Economics and Management
Tatiana Sokolova, HSE University

Document Type

Article

Source of Publication

Applied Economics

Publication Date

1-1-2022

Abstract

The wavelet approach covering simultaneously the time and frequency domains is employed to study the impact of the Covid-19 coverage in mass media on the performance of the Dow Jones Sukuk investment grade total return indices. The overall coherence level for the media-coverage–sukuk pairs is found to increase with the investment horizon. Multiple time-frequency regions with low level of coherence, observable along the Covid-19 systemic crisis, imply attractive diversification attributes of investing in Islamic fixed-income securities especially in times of financial stress and turmoil. We investigate coherence and phase difference patterns, which differ for distinct maturity buckets of the Sukuk indices, further highlighting their potentiality for the downside risk hedge, workable under economic and financial distress.

DOI Link

10.1080/00036846.2022.2097187

ISSN

0003-6846

Publisher

Informa UK Limited

Disciplines

Business

Keywords

Covid-19, DJ sukuk indices, Islamic fixed-income securities, leads-and-lags, comovements, media sentiment, social media coverage, wavelet analysis

Scopus ID

85134603426

Recommended Citation

Umar, Zaghum; Gubareva, Mariya; and Sokolova, Tatiana, "Assessing the impact of media sentiment on the returns of sukuks during the Covid-19 crisis" (2022). All Works. 5222.
https://zuscholars.zu.ac.ae/works/5222

Indexed in Scopus

yes

Open Access

no