Islamic stocks, conventional stock market, or cryptocurrencies? Looking for a Safe Haven during Covid-19

Benbekhti Seyf Eddine, Hadjer Boulila and Mohamed Benbouziane
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Benbekhti Seyf Eddine: University of Tlemcen (Algeria)
Hadjer Boulila: University of Tlemcen (Algeria)
Mohamed Benbouziane: University of Tlemcen (Algeria)

IJEP, 2023, vol. 6, issue 2, Pages: 177-199

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 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:bjm:ijep00:v:6:y:2023:i:2:id:271

DOI: 10.54241/2065-006-002-010

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