Are Islamic investments still safe assets during the COVID- 19 pandemic?

While looking for safe-haven assets, the literature obtained mixed and varying results, changing from one period to the next, or one geographical area to an- other. Recently, this field of research grew even more, motivated by the changing environment resulting from the global financial crisis and the current COVID-19 pandemic. We compare five Islamic and five conventional leading financial in- dexes for the period 2004–2020, covering both global and regional data (Asia- Pacific, Europe, GCC, and the United States). By employing DCC GARCH and extended GARCH (1,1) models, we find a lower volatility and higher persistence in Islamic indexes when compared to their conventional alternatives, holding also when traditional safe-haven assets are included in comparative terms and across geographical areas. We therefore provide robust evidence on the consist- ent behavior of Islamic assets: Their defensive properties remain and are even stronger in the current unprecedented and ongoing crisis.