Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?

Walid Mensi, Shawkat Hammoudeh, Juan Reboredo and Duc Khuong Nguyen

Emerging Markets Review, 2015, vol. 24, issue C, 101-121

Abstract: This study examines whether the Sharia-compliant stocks measured by Dow Jones Islamic World Emerging Market index (DJIWEM), gold and the U.S. Treasury bills (T-bills) can serve as a hedge and/or a safe-haven asset in the six GCC stock markets, by using a vine copula approach. The results show that GCC and global investors can realize both risk diversification benefits and downside risk reductions during tranquil and downturn periods by including gold or DJIWEM in their portfolios but not the T-bills.

Keywords: Sharia-compliant stocks; Gold; U.S. Treasury bills; GCC stock markets; Vine copulas (search for similar items in EconPapers)
JEL-codes: C32 C58 G1 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (74)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:24:y:2015:i:c:p:101-121

DOI: 10.1016/j.ememar.2015.05.007

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