| By: |
Benbekhti Seyf Eddine (Université Aboubekr Belkaid - University of Belkaïd Abou Bekr [Tlemcen]);
Boulila Hadjer (Université Aboubekr Belkaid - University of Belkaïd Abou Bekr [Tlemcen]);
Benbouziane Mohamed (Université Aboubekr Belkaid - University of Belkaïd Abou Bekr [Tlemcen]) |
| Abstract: |
This paper investigates the safe haven potential of Islamic stocks within the
context of the London stock market, alongside other prominent hedging assets,
namely gold, Brent crude, and Bitcoin, using the M-DCC GARCH model. The study
finds that Islamic finance no longer demonstrates robust safe haven
characteristics but instead serves as a diversifier during periods of market
stability. In contrast, gold exhibits notable hedging properties both prior to
the COVID-19 pandemic and during market turmoil, outperforming all assets
except Bitcoin |
| Keywords: |
Islamic stocks safe haven M-DCC GARCH model covid-19. JEL Classification Codes: G11 G15 G17 G21 Islamic stocks conventional stock market or cryptocurrencies? Looking, Islamic stocks, safe haven, M-DCC GARCH model, covid-19. JEL Classification Codes: G11, G15, G17, G21 Islamic stocks, conventional stock market, or cryptocurrencies? Looking |
| Date: |
2023–11–30 |
| URL: |
https://d.repec.org/n?u=RePEc:hal:journl:halshs-04521347 |