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Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis

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  • Hoang, Thi-Hong-Van
  • Zhu, Zhenzhen
  • El Khamlichi, Abdelbari
  • Wong, Wing-Keung

Abstract

This article investigates the relationship between stocks and gold while considering the impact of the Shari’ah screening applied by Dow Jones. The main contribution of this paper relies on the distinction between risk-averse and risk-seeking investors as well as between stocks’ sectors. Using daily data from the Dow Jones indexes and the London gold market over the 2002–2014 period, the results show that there is a significant difference between Shari’ah-compliant and conventional stocks for most sectors. Risk-averters prefer investing in conventional stocks, while risk-seekers prefer investing in Shari’ah-compliant stocks. Considering the role of gold, risk-averters prefer investing in portfolios with gold, while risk-seekers prefer investing in portfolios without gold, regardless of Shari’ah-compliant or conventional stocks. A time-varying analysis shows that gold is a safe haven for risk-averse investors in downward periods of stocks’ prices.

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  • Hoang, Thi-Hong-Van & Zhu, Zhenzhen & El Khamlichi, Abdelbari & Wong, Wing-Keung, 2019. "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Resources Policy, Elsevier, vol. 61(C), pages 617-626.
    • Handle: RePEc:eee:jrpoli:v:61:y:2019:i:c:p:617-626
    DOI: 10.1016/j.resourpol.2018.10.002
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    15. Aktham Maghyereh & Basel Awartani & Abul Hassan, 2018. "Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 394-412, October.
    16. Delle Foglie, Andrea & Panetta, Ida Claudia, 2020. "Islamic stock market versus conventional: Are islamic investing a ‘Safe Haven’ for investors? A systematic literature review," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
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    More about this item

    Keywords

    Gold; Stock portfolios; Shari’ah screening; Economic sectors; Risk aversion;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    Statistics

    Access and download statistics

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