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Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management

Author

Listed:
  • Aktham Maghyereh

    (United Arab Emirates University)

  • Basel Awartani

    (University of Westminster)

  • Abul Hassan

    (King Fahad University of Petroleum and Minerals)

Abstract

In this paper, we investigate whether gold hedges Sharia-compliant stocks and Sukuk during the period from September 2005 to October 2017. The inference is taken by using both the DCC-GARCH model and the wavelet coherence analysis. On the whole, our finding suggests that gold is not effective in hedging the fluctuations of Sharia-compliant securities. However, we find that combining gold with stocks (and Sukuk) is useful in diversification and portfolio optimization. These results imply that, while gold is an excellent hedge for plain vanilla securities, it is not for Islamic exposures. This is important in light of the increasing amount of assets that are managed according to Islamic screening.

Suggested Citation

  • 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.
    • Handle: RePEc:pal:assmgt:v:19:y:2018:i:6:d:10.1057_s41260-018-0090-y
    DOI: 10.1057/s41260-018-0090-y
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    More about this item

    Keywords

    Sharia-compliant stocks; Sukuk; Gold; Hedge; Portfolio optimization; Wavelet coherence analysis;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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