Tail dependence between gold and Islamic securities

Aktham Maghyereh and Hussein Abdoh

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We examine the dynamic dependence of extreme returns between gold and Islamic securities under different investment horizons using a novel quantile cross-spectral dependence approach from Baruník and Kley (2019) over the period 2006–2019. Our results indicate that gold does not act as a diversifier, hedge, or safe haven tool for Islamic portfolios in the medium- and long term, particularly during both bearish and bullish gold market conditions.

Keywords: Islamic Stocks; Sukuk; Gold; Quantile Coherency; Cross-Spectral Analysis (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320300921

DOI: 10.1016/j.frl.2020.101503

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