Tail dependence between gold and Islamic securities

Aktham Maghyereh; Hussein Abdoh

doi:10.1016/j.frl.2020.101503

Tail dependence between gold and Islamic securities

Aktham Maghyereh, Hussein Abdoh

Department of Accounting and Finance

Research output: Contribution to journal › Article › peer-review

16 Citations (Scopus)

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
Article number	101503
Journal	Finance Research Letters
Volume	38
DOIs	https://doi.org/10.1016/j.frl.2020.101503
Publication status	Published - Jan 2021

Keywords

Cross-Spectral Analysis
Gold
Islamic Stocks
Quantile Coherency
Sukuk

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2020.101503

Cite this

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title = "Tail dependence between gold and Islamic securities",

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 Barun{\'i}k 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.",

keywords = "Cross-Spectral Analysis, Gold, Islamic Stocks, Quantile Coherency, Sukuk",

author = "Aktham Maghyereh and Hussein Abdoh",

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journal = "Finance Research Letters",

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AU - Maghyereh, Aktham

AU - Abdoh, Hussein

PY - 2021/1

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AB - 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.

KW - Cross-Spectral Analysis

KW - Gold

KW - Islamic Stocks

KW - Quantile Coherency

KW - Sukuk

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JO - Finance Research Letters

JF - Finance Research Letters

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Tail dependence between gold and Islamic securities

Abstract

Keywords

ASJC Scopus subject areas

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