The Threshold Effect of Covid19 on Shariah Indices:an Empirical Analysis of GCC Countries

This paper examines the volatility of Shariah indices of the gulf cooperative council due to coronavirus. Do GCC Shariah indices that are affected by the bad news of coronavirus? and attempts to analyze the impact of (Cov-NC) and (Cov-DC) on the movements of Shariah indices. The study used the GCC Shariah Indices viz., S&P Domestic Shariah of each country separately. New corona cases (Cov-NC) and new death cases (Cov-DC) are the dependent and independent variables used from Jan 1, 2020, to Dec. 31, 2020. The threshold-GARCH model is used to make the study more significant in terms of volatility in stock index prices due to the outbreak of the pandemic. The analysis shows that there is a negative leverage effect of bad news has more than the impact on conditional variance than good news. Here, GCC Shariah Indices are impacted due to coronavirus (Covid- New cases, Covid death cases) news spread in the market. Diagnostic analysis is based on AIC, SIC, and HQC criteria. Bahrain, Kuwait, Oman Shariah indices are lower values in comparison to the higher values of Qatar, Saudi Arabia and UAE Shariah indices. At-last T-GARCH model is more suitable for Bahrain, Oman, and Kuwait Islamic indices. © 2022, Statistical Economic and Social Research and. All rights reserved.