Table 7 Variable definitions and the data source

Dependent variables

Islamic stock market returns (%)

The daily change in the Islamic stock index of a country which is calculated as: (Index value_t − Index value_{t − 1}/Index value_{t − 1}) × 100

Ashraf [4, 5]

www.investing.com

Conventional stock market returns (%)

The daily change in the conventional stock index of a country which is calculated as: (Index value_t − Index value_{t − 1}/Index value_{t − 1}) × 100

Main independent variable

Growth in confirmed cases

The daily growth rate of COVID-19 confirmed cases for a country which is calculated as ((Cases_t – Cases_{t − 1})/Cases_{t − 1})

Ashraf [4, 5]

Authors calculation with data from the website of EU Open data portal

Control variables

Democratic accountability

Democratic accountability index represents the quality of political institutions. The higher values show higher democratic accountability and vice versa

Ashraf [4, 5]

International country risk guide database

Uncertainty avoidance

Uncertainty avoidance index is used to control for cross-country differences in the level of uncertainty aversion in investors. Index values range from 0 to 100 where higher values represent higher national-level uncertainty avoidance and vice versa

Ashraf [4, 5]

Hofstede et al. [13]

Investment freedom

Investment freedom index measures the level of freedom to invest in financial markets. It is used to control for stock market liberalization. The index ranges from 0 to 100 where higher values represent higher investment freedom and vice versa

Ashraf [4, 5]

Heritage foundation [11]

Log (GDP)

The natural logarithm of annual gross domestic product (GDP) of each country. It measures the level of economic development

Ashraf [4, 5]

The world economic outlook database, international monetary fund website [20]