GMM dependency model for Shariah and underlying indices of India during Covid-19 period

Saif Siddiqui; Sumbul

doi:10.13135/2421-2172/7108

Saif Siddiqui Department of Management Studies, Jamia Millia Islamia, New Delhi, India
Sumbul Department of Management Studies, Jamia Millia Islamia, New Delhi, India

DOI: https://doi.org/10.13135/2421-2172/7108

Keywords: Shariah Indices, GMM, NSE, Modelling, Covid-19

Abstract

The National Stock Exchange of India (NSE) has presented Nifty 50 Shariah and Nifty 500 Shariah indices to provide unconventional indices for Sharia-compliant companies. These indices follow Sharia laws and can be used in portfolios that are culturally dependable commodities for investors who do not wish to put their money into the undesired business. NSE witnessed big movements in the indices during the Covid-19 period. This study seeks to understand the association between Nifty 500 Sharia and Nifty 50 Sharia and their respective selected indexes, Nifty 500 and Nifty 50, during the Covid-19 pandemic. The period from 27/01/2020 to 31/05/2022 has been taken for this study. The techniques applied, like correlation, co-integration, GMM, etc. based on the objectives of this paper. We conclude that the return of Sharia indices is better compared to the other indices. Also, stocks compliant with Sharia Indices are less risky and a better alternative for the portfolio during pandemic times.

Author Biography

Saif Siddiqui, Department of Management Studies, Jamia Millia Islamia, New Delhi, India

Professor

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