Sailing with the non-conventional stocks when there is no place to hide
Abdelaziz Chazi and
Journal of International Financial Markets, Institutions and Money, 2018, vol. 57, issue C, 1-16
This paper provides both theoretical and empirical support on how non-conventional (i.e., Islamic) stocks could act as a hedge during a tranquil environment and provide a shelter in times of a systematic economic and financial crisis. We build a three period model that focuses on Islamic equities’ financial filters, market wide liquidity and the role of Shariah conscious customers to show how Islamic stocks could provide a shelter during a financial crisis. We then offer empirical support by using quantile regressions to analyse the relation between conventional and non-conventional (i.e., Islamic) stock markets. Using major indices from around the world, we provide strong support for Islamic stocks as a hedge for majority of the markets under study suggesting that they offer a safe haven against most international markets. We suggest that during the major economic and financial crises, investors could use Islamic stocks to diversify their risks.
Keywords: Conventional stocks; Islamic stocks; Hedge; Safe haven; Financial crisis (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:57:y:2018:i:c:p:1-16
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