Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management

Aktham Maghyereh, Basel Awartani () and Abul Hassan
Additional contact information
Abul Hassan: King Fahad University of Petroleum and Minerals

Journal of Asset Management, 2018, vol. 19, issue 6, No 4, 394-412

Abstract: Abstract In this paper, we investigate whether gold hedges Sharia-compliant stocks and Sukuk during the period from September 2005 to October 2017. The inference is taken by using both the DCC-GARCH model and the wavelet coherence analysis. On the whole, our finding suggests that gold is not effective in hedging the fluctuations of Sharia-compliant securities. However, we find that combining gold with stocks (and Sukuk) is useful in diversification and portfolio optimization. These results imply that, while gold is an excellent hedge for plain vanilla securities, it is not for Islamic exposures. This is important in light of the increasing amount of assets that are managed according to Islamic screening.

Keywords: Sharia-compliant stocks; Sukuk; Gold; Hedge; Portfolio optimization; Wavelet coherence analysis (search for similar items in EconPapers)
JEL-codes: C11 C14 C21 C32 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://link.springer.com/10.1057/s41260-018-0090-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:19:y:2018:i:6:d:10.1057_s41260-018-0090-y

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/s41260-018-0090-y

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().