An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets

Fahad Ali, Elie Bouri, Nader Naifar, Syed Jawad Hussain Shahzad and Mohammad AlAhmad

Research in International Business and Finance, 2022, vol. 63, issue C

Abstract: This study investigated the safe-haven role of two gold-backed Islamic cryptocurrencies, i.e., OneGram Coin (OGC) and X8X Token (X8X), for 15 Islamic equity indices at the global, regional, and country levels. For this purpose, we used four-moment modified value at risk, dynamic conditional correlation-based hedge and safe-haven hypotheses, directional spillover in quantiles, and daily data from February 17, 2019, to May 5, 2021, including the post-pandemic period from February 1, 2020, to May 5, 2021. Based on the findings, OGC was a strong safe-haven for several Islamic equity markets, especially during the COVID-19 pandemic. We also constructed two novel polarity and subjectivity measures using natural language processing, which indicated that when negativity in the market (e.g., polarity, subjectivity, and economic/market uncertainty) is higher on social media platforms, OGC produces positive returns in order to reduce the losses in equity indices. These results hold after controlling for trading volume.

Keywords: Islamic equity; Gold-backed Islamic cryptocurrencies; Stablecoins; Safe-haven; Twitter-based sentiments; COVID-19 (search for similar items in EconPapers)
JEL-codes: F39 G11 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001544

DOI: 10.1016/j.ribaf.2022.101768

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