Table 6a.
Cumulative abnormal returns (Islamic and conventional funds).
|
Fund Type |
Average Cumulative Abnormal Returns using GARCH (1, 1) CAPM Specification |
|||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Islamic | Pre Covid | Covid Outbreak | Stage 1 | Stage 2 | Stage 3 | Stage 4 | Stage 5 | Stage 6 | ||||||||
| Malaysia | 0.0523% | *** | 0.0354% | ** | 0.0473% | ** | 0.0269% | ** | 0.0273% | ** | 0.0283% | ** | 0.0306% | *** | 0.0338% | ** |
| Pakistan | 0.0781% | *** | 0.0292% | ** | 0.0409% | ** | 0.0364% | *** | 0.0368% | ** | 0.0383% | ** | 0.0414% | ** | 0.0456% | ** |
| Saudi Arabia | 0.0299% | ** | 0.0122% | *** | 0.0810% | ** | 0.0187% | *** | 0.0190% | ** | 0.0197% | ** | 0.0213% | ** | 0.0235% | ** |
| Qatar | 0.0674% | *** | 0.0528% | ** | 0.0733% | ** | 0.0471% | ** | 0.0477% | *** | 0.0496% | ** | 0.0536% | *** | 0.0591% | ** |
| Kuwait | 0.1008% | *** | 0.0550% | ** | 0.0786% | ** | 0.0604% | ** | 0.0612% | *** | 0.0636% | ** | 0.0687% | *** | 0.0757% | *** |
| UAE |
0.0224% |
** |
0.0124% |
** |
0.0464% |
** |
0.0121% |
** |
0.0122% |
** |
0.0127% |
*** |
0.0138% |
*** |
0.0152% |
** |
| Conventional | Pre Covid | Covid Outbreak | Stage 1 | Stage 2 | Stage 3 | Stage 4 | Stage 5 | Stage 6 | ||||||||
| Malaysia | 0.0656% | *** | −0.0282% | ** | −0.0261% | *** | −0.0135% | *** | 0.0180% | ** | −0.0142% | ** | −0.0135% | ** | 0.0122% | ** |
| Pakistan | 0.0887% | ** | −0.0254% | *** | −0.0240% | *** | −0.0173% | ** | 0.0244% | ** | −0.0182% | ** | −0.0174% | ** | 0.0157% | ** |
| Saudi Arabia | 0.0345% | *** | −0.0106% | *** | −0.0506% | ** | −0.0093% | *** | −0.0125% | ** | −0.0098% | ** | −0.0094% | ** | 0.0084% | ** |
| Qatar | 0.0448% | *** | −0.0462% | ** | −0.0481% | ** | −0.0158% | ** | −0.0315% | ** | −0.0166% | ** | −0.0159% | ** | 0.0143% | ** |
| Kuwait | 0.0806% | ** | −0.0499% | ** | −0.0551% | ** | −0.0246% | ** | −0.0404% | *** | −0.0259% | ** | −0.0247% | ** | 0.0222% | ** |
| UAE | 0.0230% | ** | −0.0081% | ** | −0.0235% | *** | −0.0058% | ** | 0.0081% | *** | −0.0061% | *** | −0.0058% | ** | 0.0052% | ** |
|
Results of ARCH LM Test |
||||
|---|---|---|---|---|
| Category | No of Funds | Estimate | Test Statistic | Prob. |
| Malaysia | 377 | F-statistic | 7.129*** | 0.0001 |
| Obs*R-squared | 6.032*** | 0.0001 | ||
| Pakistan | 155 | F-statistic | 7.0161** | 0.0001 |
| Obs*R-squared | 7.061** | 0.0200 | ||
| Saudi Arabia | 183 | F-statistic | 5.067** | 0.0095 |
| Obs*R-squared | 6.007** | 0.0099 | ||
| Qatar | 151 | F-statistic | 8.013** | 0.0012 |
| Obs*R-squared | 6.128** | 0.0115 | ||
| Kuwait | 121 | F-statistic | 6.086*** | 0.0057 |
| Obs*R-squared | 6.053*** | 0.0069 | ||
| UAE | 80 | F-statistic | 6.012** | 0.0001 |
| Obs*R-squared | 8.015*** | 0.0001 | ||
***represent significance at 1%, ** at 5% and * at 10%.