Are Islamic gold-backed cryptocurrencies different?

Chaker Aloui, Hela ben Hamida and Larisa Yarovaya

Finance Research Letters, 2021, vol. 39, issue C

Abstract: We assess the differential impact of geopolitical risk on Islamic and conventional gold backed cryptocurrencies using a multivariate Generalized Autoregressive Conditional Heteroscedasticity (M-GARCH) modeling. We unveil that Islamic gold-backed cryptocurrencies behave differently from their conventional counterparts. Sharia compliant cryptocurrencies are positively correlated to the yellow metal, while the conventional ones are weakly and negatively associated to gold. We find that the geopolitical risk intensifies the dependency of GBC to gold returns and volatility. Our results are of great interest for policy makers, Islamic portfolio managers and digital currency traders when undertaken their investment and hedging strategies during periods of high uncertainty and worsen geopolitical circumstances.

Keywords: Islamic cryptocurrencies; Gold-backed cryptocurrencies; GJR-GARCH; DCC; Geopolitical risk (search for similar items in EconPapers)
JEL-codes: F3 F39 G1 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320302907

DOI: 10.1016/j.frl.2020.101615

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