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Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis

Thi-Hong-Van Hoang, Zhenzhen Zhu, Abdelbari El Khamlichi and Wing-Keung Wong ()

Resources Policy, 2019, vol. 61, issue C, 617-626

Abstract: This article investigates the relationship between stocks and gold while considering the impact of the Shari’ah screening applied by Dow Jones. The main contribution of this paper relies on the distinction between risk-averse and risk-seeking investors as well as between stocks’ sectors. Using daily data from the Dow Jones indexes and the London gold market over the 2002–2014 period, the results show that there is a significant difference between Shari’ah-compliant and conventional stocks for most sectors. Risk-averters prefer investing in conventional stocks, while risk-seekers prefer investing in Shari’ah-compliant stocks. Considering the role of gold, risk-averters prefer investing in portfolios with gold, while risk-seekers prefer investing in portfolios without gold, regardless of Shari’ah-compliant or conventional stocks. A time-varying analysis shows that gold is a safe haven for risk-averse investors in downward periods of stocks’ prices.

Keywords: Gold; Stock portfolios; Shari’ah screening; Economic sectors; Risk aversion (search for similar items in EconPapers)
JEL-codes: G11 C58 (search for similar items in EconPapers)
Date: 2019
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