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Re-evaluating the hedge and safe-haven properties of Islamic indexes, gold and Bitcoin: evidence from DCC–GARCH and quantile models

Author

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  • Slah Bahloul
  • Mourad Mroua
  • Nader Naifar

Abstract

Purpose - This paper aims to investigate the hedge, safe-haven and diversifier properties of Islamic indexes, Bitcoin and gold for ten of the most affected countries by the coronavirus, which are the USA, Brazil, the UK, Italy, Spain, Germany, France, Russia, China and Malaysia. Design/methodology/approach - This research uses the Ratner and Chiu (2013) methodology based on the dynamic conditional correlation models to improve Baur and McDermott (2010). The authors adopt a careful investigation of the features of a diversifier, hedge and safe haven using the dynamic conditional correlation–GARCH and quantile regression models. Findings - Empirical results indicate that Islamic indexes are not considered as hedge assets for the conventional market for all studied countries during the COVID-19 pandemic crisis period. However, gold works as a strong hedge in all countries, except for Brazil and Malaysia. Bitcoin is a strong hedge in the USA and a strong hedge and safe haven in China. Practical implications - International investors in China and the US stock markets should replace Islamic ‎indexes with Bitcoin in their conventional portfolio of securities during the pandemic. Originality/value - To the best of the authors’ knowledge, this is the first paper that re-evaluates the hedge, safe-haven and diversifier properties of Islamic indexes, Bitcoin and gold for ten of the most affected countries by the coronavirus.

Suggested Citation

  • Slah Bahloul & Mourad Mroua & Nader Naifar, 2023. "Re-evaluating the hedge and safe-haven properties of Islamic indexes, gold and Bitcoin: evidence from DCC–GARCH and quantile models," Journal of Islamic Accounting and Business Research, Emerald Group Publishing Limited, vol. 14(8), pages 1167-1181, January.
    • Handle: RePEc:eme:jiabrp:jiabr-03-2022-0076
    DOI: 10.1108/JIABR-03-2022-0076
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    Cited by:

    1. Tarchella, Salma & Khalfaoui, Rabeh & Hammoudeh, Shawkat, 2024. "The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods," Research in International Business and Finance, Elsevier, vol. 67(PB).

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