Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?

This study draws a comparison between the Global Financial Crisis (GFC) and the COVID-19 pandemic crisis to assess the safe-haven potential of Islamic stocks for G7 stock markets We employ the cross-quantilogram framework of Han et al , which considers the non-linearity in the relationship, and thus captures the correlation between the Islamic and G7 stock markets across various quantiles reflecting different market conditions The analysis also includes the time-varying cross-quantile correlation to observe the evolution of Islamic stocks' safe-haven potential Our full sample analysis shows that Islamic stocks do not exhibit safe-haven properties for G7 stock markets During the GFC period, Islamic stocks show some diversification benefits for the G7 stock markets Notably, Islamic stocks emerged as a robust safe-haven asset for the G7 stock markets during the pandemic crisis The study carries essential insights for equity investors and regulators of G7 and other countries to implement diversification/hedging strategies that would involve Islamic stocks to protect equity investments and the overall financial system amid the financial downturns © 2021 The Author(s) Published by Informa UK Limited, trading as Taylor & Francis Group