The Impact of U.S Monetary Policy and Macroeconomics Factors on Asia Emerging Islamic Stock Market During Covid-19.

This study explores the volatility spillover in six Asia emerging Islamic stock markets (China, India, Indonesia, Malaysia, Taiwan, and Thailand) affected by the US monetary policy and macroeconomic factors during the COVID-19 pandemic period. It is found that most Islamic stock markets in Asia are more susceptible to VIX and US 10-month T-bill yield volatility than UCT and monetary policy (US 3-month T-bill rate). However, the Taiwan Islamic stock market provides diversification benefits because it is not affected by monetary policy and global stock market uncertainty. This study also explores a novel Asia Islamic stock market causality relationship. GARCH-BEKK is employed for variance analysis.