Abstract
We examine the dynamic dependence of extreme returns between gold and Islamic securities under different investment horizons using a novel quantile cross-spectral dependence approach from Baruník and Kley (2019) over the period 2006–2019. Our results indicate that gold does not act as a diversifier, hedge, or safe haven tool for Islamic portfolios in the medium- and long term, particularly during both bearish and bullish gold market conditions.
Original language | English |
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Article number | 101503 |
Journal | Finance Research Letters |
Volume | 38 |
DOIs | |
Publication status | Published - Jan 2021 |
Keywords
- Cross-Spectral Analysis
- Gold
- Islamic Stocks
- Quantile Coherency
- Sukuk
ASJC Scopus subject areas
- Finance