Determinants of spillovers between Islamic and conventional financial markets: exploring the safe haven assets during the COVID-19 pandemic
Determinants of spillovers between Islamic and conventional financial markets: exploring the safe haven assets during the COVID-19 pandemic
We analyse the impact of the COVID-19 pandemic on the spillovers between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, Bitcoin prices, and the risk measures VIX and EPU indexes affect the relationships between these different markets during the COVID-19 pandemic outbreak. The results show that the Islamic bonds (Sukuk) demonstrate safe haven properties during this pandemic crisis, while the spillovers between conventional and Islamic stock markets become stronger during the pandemic outbreak. COVID-19, Oil and gold are strong predictors of the conventional-Islamic markets spillovers, while Bitcoin is not a significant determinant of these relationships.
Bitcoin, COVID19, Gold, Islamic markets, Oil, Spillover effect
1-11
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Elsayed, Ahmed H.
fd4ed0bd-14e7-4fcc-9ff0-bfb3e3efff14
Hammoudeh, Shawkat
ace4da65-c72d-4c11-9172-e9ce0c582eef
November 2021
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Elsayed, Ahmed H.
fd4ed0bd-14e7-4fcc-9ff0-bfb3e3efff14
Hammoudeh, Shawkat
ace4da65-c72d-4c11-9172-e9ce0c582eef
Yarovaya, Larisa, Elsayed, Ahmed H. and Hammoudeh, Shawkat
(2021)
Determinants of spillovers between Islamic and conventional financial markets: exploring the safe haven assets during the COVID-19 pandemic.
Finance Research Letters, 43, , [101979].
(doi:10.1016/j.frl.2021.101979).
Abstract
We analyse the impact of the COVID-19 pandemic on the spillovers between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, Bitcoin prices, and the risk measures VIX and EPU indexes affect the relationships between these different markets during the COVID-19 pandemic outbreak. The results show that the Islamic bonds (Sukuk) demonstrate safe haven properties during this pandemic crisis, while the spillovers between conventional and Islamic stock markets become stronger during the pandemic outbreak. COVID-19, Oil and gold are strong predictors of the conventional-Islamic markets spillovers, while Bitcoin is not a significant determinant of these relationships.
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Accepted/In Press date: 11 February 2021
e-pub ahead of print date: 15 February 2021
Published date: November 2021
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Publisher Copyright:
© 2021
Keywords:
Bitcoin, COVID19, Gold, Islamic markets, Oil, Spillover effect
Identifiers
Local EPrints ID: 447884
URI: http://eprints.soton.ac.uk/id/eprint/447884
ISSN: 1544-6123
PURE UUID: db9e1a0a-4a46-4d7c-a0ff-7713c46e74b6
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Date deposited: 25 Mar 2021 18:20
Last modified: 17 Mar 2024 06:25
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Author:
Ahmed H. Elsayed
Author:
Shawkat Hammoudeh
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