Assessing the safe haven characteristic of Sukuk in Iran's financial market: Fresh evidence for portfolio management

Farzaneh Ahmadian- Yazdi, Soheil Roudari and Walid Mensi

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the spillover effects between Sukuk and key alternative assets- conventional stock, gold, and currency- in Iran from July 2013 to December 2024. Using three advanced models-Quantile-on-Quantile (Gabauer & Stenfors, 2024), the contemporaneous and lagged R2 decomposed connectedness (Balli et al., 2023), and a portfolio approach (Broadstock et al., 2022)-the study finds that Iran's Sukuk market lacks depth for hedging against gold, currency, and stock risks across direct and reverse quantiles and under various shocks. Results show that the USD is the main contemporaneous driver, while Sukuk is a net receiver in average and contemporaneous connections. Sukuk also offers low long-term returns, making it less competitive. Gold proves optimal for long-term investment, mainly when currency acts short-term. Currency is the primary source of short-term volatility, but Sukuk fails as a stabilizing tool. Thus, including Sukuk in portfolios does not enhance diversification for risk-averse investors during crises due to its limited hedging ability in Iran.

Keywords: Sukuk; Stock market; Gold; Currency; Risk spillover; Portfolio management (search for similar items in EconPapers)
JEL-codes: C58 G32 (search for similar items in EconPapers)
Date: 2025-03-17
New Economics Papers: this item is included in nep-min
References: Add references at CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/126962/1/MPRA_paper_126962.pdf original version (application/pdf)

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:pra:mprapa:126962

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().