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Table 4 Regression results for the impact of COVID-19 on Islamic stock market returns (%)

From: The impact of COVID-19 pandemic on Islamic versus conventional stock markets: international evidence from financial markets

Panel (A2): during COVID-19 pandemic

Sample

Initial full sample

First sub-sample

Second sub-sample

Third sub-sample

Fourth sub-sample

1st case day–April 30

March 12–March 31

March 12–April 10

March 12–April 17 March 12–April 17

March 12–April 30

Variable

Islamic stock market returns (%)

(1)

(2)

(1)

(2)

(1)

(2)

(1)

(2)

(1)

(2)

Growth in confirmed cases

− 0.009*

− 0.010

− 0.010*

− 0.000

− 0.011**

− 0.008

− 0.011**

− 0.008

− 0.011**

− 0.009

(0.080)

(0.144)

(0.061)

(0.983)

(0.021)

(0.308)

(0.025)

(0.242)

(0.018)

(0.146)

Democratic accountability

− 0.048

 

− 0.197

 

− 0.132

 

− 0.046

 

− 0.022

 

(0.669)

 

(0.507)

 

(0.518)

 

(0.785)

 

(0.864)

 

Uncertainty avoidance

− 0.001

 

0.008

 

0.008

 

0.003

 

0.003

 

(0.871)

 

(0.704)

 

(0.535)

 

(0.761)

 

(0.678)

 

Investment freedom

0.009

 

0.022

 

0.016

 

0.013

 

0.010

 

(0.503)

 

(0.523)

 

(0.489)

 

(0.484)

 

(0.500)

 

Log (GDP)

0.226

 

0.543

 

0.517

 

0.339

 

0.293

 

(0.386)

 

(0.426)

 

(0.253)

 

(0.364)

 

(0.304)

 

Constant

− 3.478

− 0.284

− 7.192

5.468***

− 9.692

1.230

− 4.457

5.007***

− 3.344

5.382***

(0.340)

(0.645)

(0.415)

(0.007)

(0.105)

(0.367)

(0.364)

(0.004)

(0.369)

(0.002)

Week fixed-effects

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Country fixed-effects

 

Yes

 

Yes

 

Yes

 

Yes

 

Yes

Number of observations

564

564

168

168

263

263

329

329

446

446

Number of countries

15

15

15

15

15

15

15

15

15

15

R2

0.075

0.089

0.065

0.118

0.077

0.114

0.069

0.098

0.070

0.096

  1. ***, **, *Represent statistical significance at 1%, 5%, and 10% levels, respectively; p-values are given in parenthesis; Panel (A2) represents the period during COVID-19 (the day when 1st COVID-19 case was confirmed in a country – April 30, 2020); VIF values for each model do not indicate multicollinearity problem; 1st case day denotes 1st COVID-19 case was confirmed in a country; March 12, 2020 is the first day when all the 15 countries in the sample reported at least one positive case (see Table 1) as conducted by Topcu and Gulal [21]; The panel pooled OLS regression is employed with the heteroskedasticity robust standard errors