Time-frequency dependency between stock market volatility, and Islamic gold-backed and conventional cryptocurrencies

Md. Mamunur Rashid and Md. Ruhul Amin
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Md. Mamunur Rashid: Department of Finance and Banking, Islamic University, Kushtia-7003, Bangladesh
Md. Ruhul Amin: Department of Finance and Banking, Islamic University, Kushtia-7003, Bangladesh

Financial Economics Letters, 2023, vol. 2, issue 1, 1-10

Abstract: We extend the Shariah-compliant digital assets and Islamic Fintech literature through exploring the time-frequency associations between the volatility index (VIX) and cryptocurrencies (both Islamic and traditional). Employing wavelet-based technique, we find that Islamic cryptocurrencies demonstrate low or no coherency with stock market volatility compared to traditional cryptocurrencies (except Tether) during the whole time and frequency bands, highlighting the hedging capabilities of Islamic cryptocurrencies. Tether also serves the same against VIX, as there is a low or favorable link between these variables. Finally, our findings would be prolific to digital currency traders and investors in designing the portfolio strategies.

Keywords: Stock market volatility; Islamic gold-backed cryptocurrencies; Conventional cryptocurrencies; Time-frequency dependency (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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