The study aims to analyze the impact of COVID-19 pandemic on the GCC Islamic market indices by taking daily prices of stock market indices from SP Global website during the period from 4th June 2019 to 4th July 2020. The study argues that the Dow Jones Islamic indices tend to follow the most conservative screening process, among other Islamic indices, which will allow us to have a clear comparison between them and the conventional counterpart. The study utilized three risk-adjusted performance measures including Sharpe ratio, Treynor ratio and Jensen alpha which are calculated pre- and during COVID-19 period. The study concludes that Islamic indices have outperformed the conventional indices during the COVID-19 period. The findings of the study indicate that the risk profile of the Islamic market indices is low as compared to the conventional indices. The findings of the study are expected to help the investors in better designing their portfolio. © 2021 IEEE.
COVID-19 and GCC Islamic market Indices