 Spillovers and hedging effectiveness between islamic cryptocurrency and metal markets: Evidence from the COVID-19 outbreakImran Yousaf, Shoaib Ali, Mohamed Marei and Mariya Gubareva International Review of Economics & Finance, 2024, vol. 92, issue C, 1126-1151 Abstract: This study investigates the static and dynamic interdependence of the Islamic cryptocurrency and metal markets using the TVP-VAR methodology. The empirical findings suggest that Islamic cryptocurrencies are the recipients of both return and volatility spillovers, while most metals act as transmitters of these spillovers. The dynamic spillovers are intensified in the COVID-19 period compared to the pre-COVID-19 period. We find that the return connectedness is short-lived lived whereas the volatility connectedness is a long-term phenomenon. Finally, we also compute the optimal weights, hedge ratios, and hedging effectiveness during COVID-19. The results suggest that investors should add Islamic cryptocurrencies to metals portfolios in order to get maximum risk-adjusted returns during the pandemic crisis. Our findings are helpful for portfolio managers and investors in making decisions regarding diversification, portfolio allocation, forecasting, and hedging. Keywords: Islamic cryptocurrencies; Metal markets; Spillovers; 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:reveco:v:92:y:2024:i:c:p:1126-1151 DOI: 10.1016/j.iref.2024.02.075 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
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