Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis
Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis
This study examines the return and volatility transmission between the Islamic gold-backed cryptocurrencies (Onegram and X8X) and global Islamic equity sectors during the pre-COVID and COVID-19 periods. We also estimate the optimal weights, hedge ratios, and hedging effectiveness for all pairs of markets. Our results suggest that the COVID-19 crisis intensified the spillover effect between the selected Islamic assets. We show that investors could increase their allocations in Onegram gold-backed cryptocurrency to reduce the risk of the equity sector portfolio during the COVID-19 pandemic. Moreover, the hedging costs for all pairs have increased during the COVID-19 period in comparison to the pre-pandemic level. Finally, the analysis of hedging effectiveness suggests that investors can reduce the risk of Islamic sectorial equity portfolios by adding the Islamic Sharia-based cryptocurrencies during both sample periods.
COVID-19, Gold-backed cryptocurrencies, Hedging effectiveness, Islamic cryptocurrencies, Islamic equity sectors, Spillovers, Stablecoins
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
February 2022
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Yousaf, Imran and Yarovaya, Larisa
(2022)
Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis.
Pacific-Basin Finance Journal, 71, [101705].
(doi:10.1016/j.pacfin.2021.101705).
Abstract
This study examines the return and volatility transmission between the Islamic gold-backed cryptocurrencies (Onegram and X8X) and global Islamic equity sectors during the pre-COVID and COVID-19 periods. We also estimate the optimal weights, hedge ratios, and hedging effectiveness for all pairs of markets. Our results suggest that the COVID-19 crisis intensified the spillover effect between the selected Islamic assets. We show that investors could increase their allocations in Onegram gold-backed cryptocurrency to reduce the risk of the equity sector portfolio during the COVID-19 pandemic. Moreover, the hedging costs for all pairs have increased during the COVID-19 period in comparison to the pre-pandemic level. Finally, the analysis of hedging effectiveness suggests that investors can reduce the risk of Islamic sectorial equity portfolios by adding the Islamic Sharia-based cryptocurrencies during both sample periods.
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Accepted/In Press date: 25 December 2021
e-pub ahead of print date: 29 December 2021
Published date: February 2022
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© 2022 Elsevier B.V.
Keywords:
COVID-19, Gold-backed cryptocurrencies, Hedging effectiveness, Islamic cryptocurrencies, Islamic equity sectors, Spillovers, Stablecoins
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Local EPrints ID: 455100
URI: http://eprints.soton.ac.uk/id/eprint/455100
ISSN: 0927-538X
PURE UUID: 5438883b-5e40-472f-91b6-5ccb18d32842
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Date deposited: 09 Mar 2022 17:35
Last modified: 17 Mar 2024 07:09
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Author:
Imran Yousaf
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