The University of Southampton
University of Southampton Institutional Repository

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
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
1544-6123
1-11
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Elsayed, Ahmed H.
fd4ed0bd-14e7-4fcc-9ff0-bfb3e3efff14
Hammoudeh, Shawkat
ace4da65-c72d-4c11-9172-e9ce0c582eef
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, 1-11, [101979]. (doi:10.1016/j.frl.2021.101979).

Record type: Article

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.

Text
COVID19_islamic_markets_paper_accepted - Accepted Manuscript
Download (127kB)
Text
COVID19 islamic markets paper_accepted
Restricted to Repository staff only
Request a copy

More information

Accepted/In Press date: 11 February 2021
e-pub ahead of print date: 15 February 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
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 25 Mar 2021 18:20
Last modified: 28 Apr 2022 04:38

Export record

Altmetrics

Contributors

Author: Larisa Yarovaya ORCID iD
Author: Ahmed H. Elsayed
Author: Shawkat Hammoudeh

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×