Are Islamic gold-backed cryptocurrencies different?
Are Islamic gold-backed cryptocurrencies different?
We assess the differential impact of geopolitical risk on Islamic and conventional gold backed cryptocurrencies using a multivariate Generalized Autoregressive Conditional Heteroscedasticity (M-GARCH) modeling. We unveil that Islamic gold-backed cryptocurrencies behave differently from their conventional counterparts. Sharia compliant cryptocurrencies are positively correlated to the yellow metal, while the conventional ones are weakly and negatively associated to gold. We find that the geopolitical risk intensifies the dependency of GBC to gold returns and volatility. Our results are of great interest for policy makers, Islamic portfolio managers and digital currency traders when undertaken their investment and hedging strategies during periods of high uncertainty and worsen geopolitical circumstances.
DCC, GJR-GARCH, Geopolitical risk, Gold-backed cryptocurrencies, Islamic cryptocurrencies
Aloui, Chaker
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Hamida, Hela ben
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Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Aloui, Chaker
83abae9e-6c56-46f0-8f64-bb5c9dc99e28
Hamida, Hela ben
c23793d2-c516-44c7-9b42-0d57d85f3a4f
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Aloui, Chaker, Hamida, Hela ben and Yarovaya, Larisa
(2020)
Are Islamic gold-backed cryptocurrencies different?
Finance Research Letters, [101615].
(doi:10.1016/j.frl.2020.101615).
Abstract
We assess the differential impact of geopolitical risk on Islamic and conventional gold backed cryptocurrencies using a multivariate Generalized Autoregressive Conditional Heteroscedasticity (M-GARCH) modeling. We unveil that Islamic gold-backed cryptocurrencies behave differently from their conventional counterparts. Sharia compliant cryptocurrencies are positively correlated to the yellow metal, while the conventional ones are weakly and negatively associated to gold. We find that the geopolitical risk intensifies the dependency of GBC to gold returns and volatility. Our results are of great interest for policy makers, Islamic portfolio managers and digital currency traders when undertaken their investment and hedging strategies during periods of high uncertainty and worsen geopolitical circumstances.
Text
Are Islamic Gold-backed cryptocurrencies different
- Accepted Manuscript
More information
Accepted/In Press date: 27 May 2020
e-pub ahead of print date: 29 May 2020
Keywords:
DCC, GJR-GARCH, Geopolitical risk, Gold-backed cryptocurrencies, Islamic cryptocurrencies
Identifiers
Local EPrints ID: 441296
URI: http://eprints.soton.ac.uk/id/eprint/441296
ISSN: 1544-6123
PURE UUID: 024a4316-5cdf-4027-bd0a-26d7a9e1e30e
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Date deposited: 09 Jun 2020 16:30
Last modified: 17 Mar 2024 05:37
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Author:
Chaker Aloui
Author:
Hela ben Hamida
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