Performance of sectoral Islamic indices during COVID-19

This study examines the impact of oil prices, world uncertainty and pandemic uncertainty on sectoral Islamic stocks (Financial, Healthcare, industrial, oil and gas, the technology sector, telecommunication sector and utility). This study employs quantile on quantile regression and wavelet-based granger causality ranging from 1996Q1 to 2020Q4. The findings of the study confirm overall negative effect of world oil prices, world uncertainty and world pandemic uncertainty index on all the sectoral Islamic indices except technology and telecommunication sector. We find that world oil prices, world uncertainty and world pandemic uncertainty index positively affect the technology and telecommunication sector. However, the relationship between proposed variables varies over the quantiles depicting the heterogeneous response of financial markets due to various states of the economy. This study has policy implications related to sectoral Islamic indices; policies should be based on the sectoral performance of Islamic indices rather than overall index because of the heterogeneous performance of various sectors.