TY - JOUR
T1 - Connectedness and hedging between gold and Islamic securities
T2 - A new evidence from time-frequency domain approaches
AU - Maghyereh, Aktham I.
AU - Abdoh, Hussein
AU - Awartani, Basel
N1 - Publisher Copyright:
© 2019 Elsevier B.V.
PY - 2019/4
Y1 - 2019/4
N2 - This paper investigates the dynamic connectedness between gold, sukuk and Islamic equities at multiple investment horizons, it also computes optimal hedge ratios and portfolio weights for these assets. Our findings suggest that gold hedges the risk of sukuk in the short and medium terms, and that gold plays an average but stable role in hedging and diversifying Islamic equities across all investment horizons. Moreover, we document a diversification benefits of portfolios combining gold and Islamic equities in the short term. These empirical findings highlight the important role that gold plays in the diversification and hedging of Islamic assets.
AB - This paper investigates the dynamic connectedness between gold, sukuk and Islamic equities at multiple investment horizons, it also computes optimal hedge ratios and portfolio weights for these assets. Our findings suggest that gold hedges the risk of sukuk in the short and medium terms, and that gold plays an average but stable role in hedging and diversifying Islamic equities across all investment horizons. Moreover, we document a diversification benefits of portfolios combining gold and Islamic equities in the short term. These empirical findings highlight the important role that gold plays in the diversification and hedging of Islamic assets.
KW - Connectedness
KW - Frequency
KW - Gold
KW - Optimal hedge ratio
KW - Sharia-compliant stocks
KW - Sukuk
KW - Wavelet analysis
UR - http://www.scopus.com/inward/record.url?scp=85060539880&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85060539880&partnerID=8YFLogxK
U2 - 10.1016/j.pacfin.2019.01.008
DO - 10.1016/j.pacfin.2019.01.008
M3 - Article
AN - SCOPUS:85060539880
SN - 0927-538X
VL - 54
SP - 13
EP - 28
JO - Pacific Basin Finance Journal
JF - Pacific Basin Finance Journal
ER -