Connectedness and hedging between gold and Islamic securities: A new evidence from time-frequency domain approaches

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    54 Citations (Scopus)

    Abstract

    This paper investigates the dynamic connectedness between gold, sukuk and Islamic equities at multiple investment horizons, it also computes optimal hedge ratios and portfolio weights for these assets. Our findings suggest that gold hedges the risk of sukuk in the short and medium terms, and that gold plays an average but stable role in hedging and diversifying Islamic equities across all investment horizons. Moreover, we document a diversification benefits of portfolios combining gold and Islamic equities in the short term. These empirical findings highlight the important role that gold plays in the diversification and hedging of Islamic assets.

    Original languageEnglish
    Pages (from-to)13-28
    Number of pages16
    JournalPacific Basin Finance Journal
    Volume54
    DOIs
    Publication statusPublished - Apr 2019

    Keywords

    • Connectedness
    • Frequency
    • Gold
    • Optimal hedge ratio
    • Sharia-compliant stocks
    • Sukuk
    • Wavelet analysis

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

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