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Are Islamic gold-backed cryptocurrencies different?

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
1544-6123
Aloui, Chaker
83abae9e-6c56-46f0-8f64-bb5c9dc99e28
Hamida, Hela ben
c23793d2-c516-44c7-9b42-0d57d85f3a4f
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).

Record type: Article

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.

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Are Islamic Gold-backed cryptocurrencies different - Accepted Manuscript
Restricted to Repository staff only until 27 May 2022.
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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
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 09 Jun 2020 16:30
Last modified: 09 Jan 2022 04:06

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Contributors

Author: Chaker Aloui
Author: Hela ben Hamida
Author: Larisa Yarovaya ORCID iD

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