DIVERSIFYING ISLAMIC HAVEN ASSETS

Bayu Adi Nugroho ()
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Bayu Adi Nugroho: Independent Researcher, Indonesia

Journal of Islamic Monetary Economics and Finance, 2025, vol. 11, issue 3, 535-582

Abstract: This study reassesses the safe haven properties of gold and Sukuk using a new framework that incorporates nonstationary volatility and proposes a trading strategy to construct a gold – Sukuk – Islamic equities portfolio that can outperform the hard-to-beat naïve method and the covariance-based approaches. In line with previous studies, it employs data of four exchange-traded funds: Dow Jones Global Sukuk, Wahed FTSE USA Shariah, MSCI Emerging Market Islamic, and SPDR Gold. In the study, an enhanced version of wavelet quintile correlation is proposed to re-evaluate the haven qualities of gold and Sukuk. The results show that gold and Sukuk are safe haven assets. Next, applying a dual momentum strategy, we demonstrate that the risk-adjusted returns of our proposed trading strategy outshine the naïve method and the covariance-based approaches. Our research employs real returns and a rolling window approach to avoid money illusion, overfitting, look-ahead bias, and flawless hindsight. The main results prevail in the robustness tests.

Keywords: Dual momentum; Quantile correlation; Wavelet (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:idn:jimfjn:v:11:y:2025:i:3d:p:535-582

DOI: 10.21098/jimf.v11i3.2327

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