IDEAS home Printed from https://ideas.repec.org/a/idn/jimfjn/v10y2024i1cp35-92.html
   My bibliography  Save this article

Revisiting The Dynamic Connectedness, Spillover And Hedging Opportunities Among Cryptocurrency, Commodities, And Islamic Stock Markets

Author

Listed:
  • Taicir Mezghani

    (Faculty of Economics and Management of Sfax, University of Sfax, Tunisia)

  • Mustafa Raza Rabbani

    (College of Business Administration, University of Khorfakkan, Sharjah, UAE)

  • Yousra Trichilli

    (Faculty of Economics and Management of Sfax, University of Sfax, Tunisia)

  • Boujelbène Abbes

    (Faculty of Economics and Management of Sfax, University of Sfax, Tunisia)

Abstract

The study investigates the dynamic interconnections and opportunities for hedging among cryptocurrency, commodity, and Islamic stock markets using DCC-GARCH and Spillover connectedness models. Using daily data covering the Russia-Ukraine war and COVID-19 outbreak from December 1, 2019 to April 15, 2022, we document weak and frequently negative correlation between Bitcoin and Islamic stock markets. Thus, Bitcoin could be viewed as a haven from Islamic stock market losses. The results also indicate that Bitcoin's diversification benefits are normally steady and increase considerably during turbulence. Furthermore, the net return spillovers from the Bitcoin market remain above zero during most of the study period. We also find that utilizing Bitcoin as a hedge during the COVID-19 pandemic phase leads to higher expenses. The outcomes of this investigation are expected to carry substantial ramifications for Indonesian investors and portfolio managers who adhere to Shariah law since they will enable them to comprehend the advantages of diversifying portfolios across various periods of stock holding or investment horizons.

Suggested Citation

  • Taicir Mezghani & Mustafa Raza Rabbani & Yousra Trichilli & Boujelbène Abbes, 2024. "Revisiting The Dynamic Connectedness, Spillover And Hedging Opportunities Among Cryptocurrency, Commodities, And Islamic Stock Markets," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 10(1), pages 35-92, March.
    • Handle: RePEc:idn:jimfjn:v:10:y:2024:i:1c:p:35-92
    DOI: https://doi.org/10.21098/jimf.v10i1.1813
    as

    Download full text from publisher

    File URL: https://jimf-bi.org/index.php/JIMF/article/view/1813/960
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.21098/jimf.v10i1.1813?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Bitcoin; COVID-19; Connectedness; Financial market; Russia-Ukraine war; Spillover;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • O33 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Technological Change: Choices and Consequences; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:idn:jimfjn:v:10:y:2024:i:1c:p:35-92. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lutzardo Tobing or Jimmy Kathon (email available below). General contact details of provider: https://edirc.repec.org/data/bigovid.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.