Islamic cryptocurrency integration for enhanced sustainable finance: evidence from time-frequency volatility transmission investigation

Emna Mnif, Yomna Daoud, Akrout Zied and Anis Jarboui

Journal of Chinese Economic and Business Studies, 2024, vol. 22, issue 4, 435-453

Abstract: This study explores the potential of Islamic gold-backed cryptocurrencies in sustainable finance by focusing on volatility transmission between these cryptocurrencies and conventional digital assets like Bitcoin and PaxGold. Using a Time-Varying Parameter Vector Autoregression (TVP-VAR) approach, we analyze data from December 2019 to July 2023, including the COVID-19 pandemic period. Findings reveal a complex volatility network, with Bitcoin and HelloGold as major transmitters of spillover shocks, while X8X and PaxGold mainly serve as net recipients. Notable interactions between Bitcoin and Islamic gold-backed cryptocurrency markets show short-lived pairwise volatility interactions. Islamic gold-backed cryptocurrencies, net recipients of volatility, absorb market shocks, making them suitable for hedging against volatility. This can aid in diversifying portfolios, mitigating adverse market impacts, and informing risk management and regulatory approaches. Our research emphasizes the importance of Islamic finance in ethical and sustainable investment within the evolving cryptocurrency market.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/14765284.2024.2388492 (text/html)
Access to full text is restricted to subscribers.

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:taf:jocebs:v:22:y:2024:i:4:p:435-453

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RCEA20

DOI: 10.1080/14765284.2024.2388492

Access Statistics for this article

Journal of Chinese Economic and Business Studies is currently edited by Professor Xiaming Liu

More articles in Journal of Chinese Economic and Business Studies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().