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Time-frequency dependency between stock market volatility, and Islamic gold-backed and conventional cryptocurrencies

Author

Listed:
  • Md. Mamunur Rashid

    (Department of Finance and Banking, Islamic University, Kushtia-7003, Bangladesh)

  • Md. Ruhul Amin

    (Department of Finance and Banking, Islamic University, Kushtia-7003, Bangladesh)

Abstract

We extend the Shariah-compliant digital assets and Islamic Fintech literature through exploring the time-frequency associations between the volatility index (VIX) and cryptocurrencies (both Islamic and traditional). Employing wavelet-based technique, we find that Islamic cryptocurrencies demonstrate low or no coherency with stock market volatility compared to traditional cryptocurrencies (except Tether) during the whole time and frequency bands, highlighting the hedging capabilities of Islamic cryptocurrencies. Tether also serves the same against VIX, as there is a low or favorable link between these variables. Finally, our findings would be prolific to digital currency traders and investors in designing the portfolio strategies.

Suggested Citation

  • Md. Mamunur Rashid & Md. Ruhul Amin, 2023. "Time-frequency dependency between stock market volatility, and Islamic gold-backed and conventional cryptocurrencies," Financial Economics Letters, Anser Press, vol. 2(1), pages 1-10, April.
    • Handle: RePEc:bba:j00007:v:2:y:2023:i:1:p:1-10:d:128
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    References listed on IDEAS

    as
    1. Yousaf, Imran & Yarovaya, Larisa, 2022. "Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    2. Baur, Dirk G. & Hoang, Lai T., 2021. "A crypto safe haven against Bitcoin," Finance Research Letters, Elsevier, vol. 38(C).
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