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Information Flow from COVID-19 Pandemic to Islamic and Conventional Equities: An ICEEMDAN-Induced Transfer Entropy Analysis

Complexity (New York, N.Y.), 2021-12, Vol.2021, p.1-20 [Peer Reviewed Journal]

Copyright © 2021 Ahmed Bossman. ;Copyright © 2021 Ahmed Bossman. This is an open access article distributed under the Creative Commons Attribution License (the “License”), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. https://creativecommons.org/licenses/by/4.0 ;ISSN: 1076-2787 ;EISSN: 1099-0526 ;DOI: 10.1155/2021/4917051

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  • Title:
    Information Flow from COVID-19 Pandemic to Islamic and Conventional Equities: An ICEEMDAN-Induced Transfer Entropy Analysis
  • Author: Bossman, Ahmed
  • Ferreira, Paulo Jorge Silveira ; Paulo Jorge Silveira Ferreira
  • Subjects: Coronaviruses ; COVID-19 ; Digital currencies ; Disease transmission ; Diversification ; Empirical analysis ; Entropy ; Information flow ; International finance ; Investments ; Islamic financing ; Noise ; Pandemics ; Portfolio management ; Securities markets ; Sovereign debt ; Stock exchanges
  • Is Part Of: Complexity (New York, N.Y.), 2021-12, Vol.2021, p.1-20
  • Description: With the steady growth in the data set on the COVID-19 pandemic, empirical works that employ novel and yet appropriate statistical techniques to corroborate previous findings of the pandemic and its consequences on financial markets are necessary. This paper examined the impact of COVID-19 information flow on the Islamic and conventional equities within the short-, mid-, and long-term horizons to assess possible diversification prospects in the era of the pandemic. To the studied equities markets, a novel technique based on a denoised frequency-domain entropy paradigm was applied. The operability of entrenched market dynamics in the long-term horizon of the COVID-19 pandemic period is reinforced by the results. The findings divulge diversification opportunities between Islamic and conventional equities in the short- and mid-term periods of the COVID-19 pandemic. The risks on equities from Japan or Bahrain could be diversified by equities from Jordan in the short-term, while in the intermediate-term stocks from Japan could diversify with the UAE and USA equities. The results imply that it is imperative for investors and fund managers to employ portfolio management techniques that show how to use benefits together with risk prevention and management across distinct time scales.
  • Publisher: Hoboken: Hindawi
  • Language: English
  • Identifier: ISSN: 1076-2787
    EISSN: 1099-0526
    DOI: 10.1155/2021/4917051
  • Source: ProQuest Central
    DOAJ Directory of Open Access Journals
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