Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions

Muhammad Abubakr Naeem, Fiza Qureshi, Muhammad Arif, Faruk Balli

Research output: Contribution to journalArticlepeer-review

24 Citations (Scopus)


We investigate the interdependence between the returns of gold and Dow Jones world Islamic index along with ten Islamic sectoral indices using quantile based methodologies that ascertain the interdependence under various market conditions. Our quantile-on-quantile (QQR) regression results confirm the asymmetric relationship between gold and Islamic indices returns. Additionally, we find gold to be a diversifier for the overall Islamic equity index and most of the Islamic stock sectors during normal market conditions. Moreover, using a cross-quantilogram (CQ) approach, we ascertain the lead-lag relationship between gold and Islamic indices, finding gold to offer limited safe-haven potential only for non-cyclical industries. Notably, using Islamic sectoral indices, our study contributes to the extant literature by reconciling the contradicting evidence on gold's ability to provide safe-haven avenues for Islamic equity investors as we identify the sectors where gold possesses the notable safe-haven potential and otherwise.

Original languageEnglish
Article number102067
JournalResources Policy
Publication statusPublished - Aug 2021
Externally publishedYes


  • Asymmetry
  • Cross-quantilogram
  • Gold
  • Islamic stocks
  • Quantile-on-Quantile

ASJC Scopus subject areas

  • Sociology and Political Science
  • Economics and Econometrics
  • Management, Monitoring, Policy and Law
  • Law


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