Tail dependence between gold and Islamic securities

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)

Abstract

We examine the dynamic dependence of extreme returns between gold and Islamic securities under different investment horizons using a novel quantile cross-spectral dependence approach from Baruník and Kley (2019) over the period 2006–2019. Our results indicate that gold does not act as a diversifier, hedge, or safe haven tool for Islamic portfolios in the medium- and long term, particularly during both bearish and bullish gold market conditions.

Original languageEnglish
Article number101503
JournalFinance Research Letters
Volume38
DOIs
Publication statusPublished - Jan 2021

Keywords

  • Cross-Spectral Analysis
  • Gold
  • Islamic Stocks
  • Quantile Coherency
  • Sukuk

ASJC Scopus subject areas

  • Finance

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