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Gold and Islamic Stocks: A Hedge and Safe Haven Comparison in Time - Grequency domain for BRICS

Author

Listed:
  • Raza, Naveed
  • Ibrahimy, Ahmad
  • Ali, Azwadi

Abstract

ABSTRACT This paper has investigated the role of safe haven asset in time and frequency domain while comparing returns on gold and Dow Jones Islamic world Emerging Market index for two different crises periods by using the daily data from January 1st 1996 to December 31st 2014. Wavelet coherency has been utilized to ascertain the best time frequency to determine hedge and safe haven ability of gold. Our result indicates that gold maintain its capacity as hedging instrument for BRICS in short and long-run during Asian financial crises of 1997-98 and in 2007 global financial crises gold exhibits a weak safe haven in long-run and hedge or safe haven property of gold is market specific. Islamic stock index (DJIEM) and conventional stock markets are co-integrated except china where low correlation is witnessed. Gold has also played a leading role in world Islamic emerging markets and displayed negative correlation across a range of frequencies. Moreover, results of the panel co-integration depicted that the Islamic emerging and BRICS equity markets are co-integrated and global investor should carefully monitor the risk associated with the varying diversification benefits.

Suggested Citation

  • Raza, Naveed & Ibrahimy, Ahmad & Ali, Azwadi, 2015. "Gold and Islamic Stocks: A Hedge and Safe Haven Comparison in Time - Grequency domain for BRICS," MPRA Paper 69366, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:69366
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    More about this item

    Keywords

    Gold; BRICS; Islamic stocks; Wavelet Coherency; Co-integration.;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G01 - Financial Economics - - General - - - Financial Crises

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