|
Pre-COVID sample (8/31/2010 to 12/31/2019)
|
COVID-19 sample (01/01/2020 to 9/15/2020)
|
|
Islamic stocks
|
Conventional stocks
|
Islamic stocks
|
Conventional stocks
|
| Without control |
0.3760***
(0.1276)
[2.9455]
|
0.0884
(0.1134)
[0.7793]
|
0.0207
(0.0478)
[0.4328]
|
-0.0177
(0.0631)
[-0.2796]
|
| With control |
0.3273***
(0.1114)
[2.9385]
|
0.1069
(0.1111)
[0.9624]
|
0.0036
(0.0148)
[0.2421]
|
0.0022
(0.0197)
[0.1124]
|
| Nobs |
2366 |
2366 |
178 |
178 |
| Panel B: In-Sample forecast evaluation |
|
Pre-COVID sample (8/31/2010 to 12/31/2019)
|
COVID-19 sample (01/01/2020 to 9/15/2020)
|
|
Islamic stocks
|
Conventional stocks
|
Islamic stocks
|
Conventional stocks
|
| Without control |
1.1844 |
0.5785 |
2.1739*** |
1.2422 |
| With control |
2.8730*** |
3.2848*** |
2.3774*** |
2.3384*** |
| Nobs |
1775 |
1775 |
140 |
140 |
| Panel C: Out-of-Sample forecast evaluation [Pre-COVID sample (8/31/2010 to 12/31/2019)] |
|
Islamic stocks
|
Conventional stocks
|
|
h=10
|
h=20
|
h=30
|
h=10
|
h=20
|
h=30
|
| Without control |
1.2089 |
1.2131 |
1.2170 |
0.5390 |
0.4698 |
0.4414 |
| With control |
2.8929*** |
2.8922*** |
2.9057*** |
3.2675*** |
3.2375*** |
3.2305*** |
| Nobs |
1785 |
1795 |
1805 |
1785 |
1795 |
1805 |
| Panel D: Out-of-Sample forecast evaluation [COVID-19 sample (01/01/2020 to 9/15/2020)] |
|
Islamic stocks
|
Conventional stocks
|
|
h=5
|
h=10
|
h=20
|
h=5
|
h=10
|
h=20
|
| Without control |
2.1228*** |
2.0375*** |
2.1386*** |
1.1527 |
1.0643 |
1.0328 |
| With control |
2.3286*** |
2.2346*** |
2.4255*** |
2.2738*** |
2.2855*** |
2.2912*** |
| Nobs |
150 |
160 |
170 |
150 |
160 |
170 |