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Does Bitcoin Provide a Hedge to Islamic Stock Markets During and Post-COVID-19 Outbreak? Evidence From Asia Based on a Multivariate-GARCH Approach

Author

Listed:
  • Siok Jin Lim
  • Andaeus Zun Khan Neoh

    (Finance and Accounting, New Era University College, Malaysia)

Abstract

This paper applies the DCC-MGARCH model to investigate the role of Bitcoin as a hedge for Islamic stocks in Asia during the COVID-19 pandemic. Despite being a highly volatile cryptocurrency, evidence of low dynamic correlation between Bitcoin and Islamic stocks is confirmed across the Asian region. We find that Bitcoin’s diversification benefits improve towards the later stages of the pandemic when countries were transitioning to an endemic phase.

Suggested Citation

  • Siok Jin Lim & Andaeus Zun Khan Neoh, 2023. "Does Bitcoin Provide a Hedge to Islamic Stock Markets During and Post-COVID-19 Outbreak? Evidence From Asia Based on a Multivariate-GARCH Approach," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 4(2), pages 1-7.
    • Handle: RePEc:ayb:jrnael:92
    DOI: 2023/06/12
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    More about this item

    Keywords

    Pandemics; Bitcoin; Islamic index;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • F3 - International Economics - - International Finance
    • G01 - Financial Economics - - General - - - Financial Crises

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