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Safe havens in Islamic financial markets: COVID-19 versus GFC

M. Kabir Hassan, Hadrian Geri Djajadikerta, Tonmoy Choudhury and Muhammad Kamran

Global Finance Journal, 2022, vol. 54, issue C

Abstract: Using a bivariate dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) model, this study compares the safe-haven properties of various assets against the major Gulf Cooperation Council (GCC) stock indexes during two periods of financial turmoil, the COVID-19 pandemic and the 2008 Global Financial Crisis (GFC). Sovereign bonds offered the highest hedging benefits under both crises. The traditional safe assets, gold and silver, which were reasonably productive under the GFC, have been less so during the pandemic. The Japanese yen emerged as a very safe choice for investors holding GCC stock indexes. Both sector indexes and stock indexes failed to safeguard investors most of the time during each crisis.

Keywords: Covid-19; GFC; Safe havens; GCC stock indexes; DCC-GARCH (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000417

DOI: 10.1016/j.gfj.2021.100643

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