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An application of MGARCH-DCC analysis on selected currencies in terms of gold Price

Listed author(s):
  • Mohamad, Sharifah Fairuz Syed
  • Masih, Mansur

The trading between currencies in Islam when both parties’ responsibilities are postponed to the future has been regarded as non-halal or un-islamic. Since there are many controversies in the area of currency, there have been suggestions to enhance investments in gold to avoid the element of ‘syubhah’ or doubts since gold has been used in the past for many functions. Investment in gold has been in demand for the past few years especially in hedging strategies. In this paper, we study the relationships between selected currencies in terms gold prices and their movements in volatility and correlation using the MGARCH-DCC analysis. Findings of the study tend to indicate the opportunities of various diversification portfolios for the interested gold investors. The findings of the study are of benefit to gold investors especially for diversification and investment purposes.

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File URL: https://mpra.ub.uni-muenchen.de/62349/1/MPRA_paper_62349.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 62349.

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Date of creation: 14 Aug 2013
Handle: RePEc:pra:mprapa:62349
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  1. Toraman, Cengiz & Basarir, Cagatay & Bayramoglu, Mehmet Fatih, 2011. "Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 2(4), pages 1-37, October.
  2. Malik, Ali Khalil, 2005. "European exchange rate volatility dynamics: an empirical investigation," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 187-215, January.
  3. Capie, Forrest & Mills, Terence C. & Wood, Geoffrey, 2005. "Gold as a hedge against the dollar," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 343-352, October.
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