 Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with goldWalid Chkili, Aymen Ben Rejeb and Arfaoui Mongi () Resources Policy, 2021, vol. 74, issue C Abstract: This paper applies the DCC-FIGARCH model to investigate the role of Bitcoin as a hedge and safe haven for Islamic stock markets in comparison with gold. We use daily data for the period January 2010–May 2020, which covers the recent COVID-19 pandemic. Empirical results show that the dynamic correlation between Bitcoin and Islamic stock markets is low and usually negative during major economic and political events suggesting that Bitcoin qualifies as a safe haven against Islamic stock markets downturns. Extending our analysis to portfolio management, findings reveal that the diversification benefits of Bitcoin are most times stable and increase significantly during turbulent periods. Thereby, adding Bitcoin in a portfolio of Islamic stocks reduce the risk of portfolio. Finally, as regards the COVID-19 outbreak period, we find that the hedging strategy involving Bitcoin leads to a higher cost during the crisis. These results provide substantial recommendations for Islamic investors and portfolio managers. Keywords: Bitcoin; Gold; Hedge; Safe haven; Islamic stock market; FIGARCH model; COVID-19 (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004165 DOI: 10.1016/j.resourpol.2021.102407 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.