The University of Southampton
University of Southampton Institutional Repository

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
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.

Gold-backed cryptocurrencies, Hedging effectiveness, Islamic Equity sectors, Islamic cryptocurrencies, Spillovers, Stablecoins
0927-538X
Yousaf, Imran
4c6ebdab-7527-42b4-986b-94db0f2749e9
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
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).

Record type: Article

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.

Text
Revised_Islamic cryptocurrency_final - Accepted Manuscript
Restricted to Repository staff only until 25 June 2023.
Request a copy
Text
1-s2.0-S0927538X21002122-main - Version of Record
Restricted to Repository staff only
Request a copy

More information

Accepted/In Press date: 25 December 2021
e-pub ahead of print date: 29 December 2021
Published date: 21 January 2022
Keywords: Gold-backed cryptocurrencies, Hedging effectiveness, Islamic Equity sectors, Islamic cryptocurrencies, Spillovers, Stablecoins

Identifiers

Local EPrints ID: 455100
URI: http://eprints.soton.ac.uk/id/eprint/455100
ISSN: 0927-538X
PURE UUID: 5438883b-5e40-472f-91b6-5ccb18d32842
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 09 Mar 2022 17:35
Last modified: 10 Mar 2022 02:52

Export record

Altmetrics

Contributors

Author: Imran Yousaf
Author: Larisa Yarovaya ORCID iD

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.

×