Connectedness and hedging between gold and Islamic securities: A new evidence from time-frequency domain approaches
Aktham I. Maghyereh,
Hussein Abdoh and
Pacific-Basin Finance Journal, 2019, vol. 54, issue C, 13-28
This paper investigates the dynamic connectedness between gold, sukuk and Islamic equities at multiple investment horizons, it also computes optimal hedge ratios and portfolio weights for these assets. Our findings suggest that gold hedges the risk of sukuk in the short and medium terms, and that gold plays an average but stable role in hedging and diversifying Islamic equities across all investment horizons. Moreover, we document a diversification benefits of portfolios combining gold and Islamic equities in the short term. These empirical findings highlight the important role that gold plays in the diversification and hedging of Islamic assets.
Keywords: Sharia-compliant stocks; Sukuk; Gold; Optimal hedge ratio; Connectedness; Frequency; Wavelet analysis (search for similar items in EconPapers)
JEL-codes: C32 C18 G32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:54:y:2019:i:c:p:13-28
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