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Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach

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Cited by:

  1. Konstantakis, Konstantinos N. & Xidonas, Panos & Michaelides, Panayotis G. & Goutte, Stéphane, 2023. "Gold and CoVid-19: Uncovering the safe haven hypothesis with dynamic MSR modeling," International Review of Financial Analysis, Elsevier, vol. 89(C).
  2. Konstantinos N. Konstantakis & Panayotis G. Michaelides & Panos Xidonas & Stavroula Yfanti, 2025. "Carbon emissions and sustainability in Covid-19’s waves: evidence from a two-state dynamic Markov-switching regression (MSR) model," Annals of Operations Research, Springer, vol. 347(1), pages 217-239, April.
  3. Ali, Sajid & Bouri, Elie & Czudaj, Robert Lukas & Shahzad, Syed Jawad Hussain, 2020. "Revisiting the valuable roles of commodities for international stock markets," Resources Policy, Elsevier, vol. 66(C).
  4. Syed Jawad Hussain Shahzad & Naveed Raza & David Roubaud & Jose Arreola Hernandez & Stelios Bekiros, 2019. "Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(4), pages 885-912, December.
  5. Salisu, Afees A. & Adediran, Idris, 2020. "Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks," Resources Policy, Elsevier, vol. 66(C).
  6. Chung Baek & Thomas Jackman, 2021. "Safe-haven assets for U.S. equities during the 2020 COVID-19 bear market," Economics and Business Letters, Oviedo University Press, vol. 10(3), pages 331-335.
  7. Walid Chkili, 2022. "The links between gold, oil prices and Islamic stock markets in a regime switching environment," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(1), pages 169-186, March.
  8. Ariannejad , Aghil & Tehrani , Reza, 2021. "Study on Gold as a Hedge or Safe Haven for the Stock Market by a Markov Switching Approach," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(3), pages 377-398, September.
  9. Chiang, Thomas C., 2022. "The effects of economic uncertainty, geopolitical risk and pandemic upheaval on gold prices," Resources Policy, Elsevier, vol. 76(C).
  10. Manel Hamdi & Walid Chkili, 2019. "An artificial neural network augmented GARCH model for Islamic stock market volatility: Do asymmetry and long memory matter?," Working Papers 13, Economic Research Forum, revised 21 Aug 2019.
  11. Assaf, Ata & Al-Shboul, Mohammad & Mokni, Khaled & Demir, Ender, 2025. "Are Latin American stock markets connected? Exploring spillovers and the impact of risk factors," Emerging Markets Review, Elsevier, vol. 65(C).
  12. Chang, Meng-Shiuh & Kung, Chih-Chun & Chen, Meng-Wei & Tian, Yuan, 2021. "Volatility regime, inverted asymmetry, contagion, and flights in the gold market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  13. Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).
  14. Chkili, Walid & Ben Rejeb, Aymen & Arfaoui, Mongi, 2021. "Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold," Resources Policy, Elsevier, vol. 74(C).
  15. Youssef, Manel & Mokni, Khaled, 2021. "Oil-gold nexus: Evidence from regime switching-quantile regression approach," Resources Policy, Elsevier, vol. 73(C).
  16. Pami Dua & Divya Tuteja, 2021. "Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 309-336, December.
  17. Yousaf, Imran & Ali, Shoaib & Marei, Mohamed & Gubareva, Mariya, 2024. "Spillovers and hedging effectiveness between islamic cryptocurrency and metal markets: Evidence from the COVID-19 outbreak," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1126-1151.
  18. Lim, Siok Jin, 2020. "Portfolio diversification opportunities for U.S. Islamic investors with its trading partners when the world catches a cold: A Multivariate-GARCH and wavelet approach," MPRA Paper 103295, University Library of Munich, Germany.
  19. Alkhazali, Osamah M. & Zoubi, Taisier A., 2020. "Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
  20. Zhenghui Li & Zhiming Ao & Bin Mo, 2021. "Revisiting the Valuable Roles of Global Financial Assets for International Stock Markets: Quantile Coherence and Causality-in-Quantiles Approaches," Mathematics, MDPI, vol. 9(15), pages 1-18, July.
  21. Khan, Muhammad Asif & Khan, Farhad & Sharif, Arshian & Suleman, Muhammad Tahir, 2023. "Dynamic linkages between Islamic equity indices, oil prices, gold prices, and news-based uncertainty: New insights from partial and multiple wavelet coherence," Resources Policy, Elsevier, vol. 80(C).
  22. Naeem, Muhammad Abubakr & Qureshi, Fiza & Arif, Muhammad & Balli, Faruk, 2021. "Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions," Resources Policy, Elsevier, vol. 72(C).
  23. Izzeldin, Marwan & Muradoğlu, Yaz Gülnur & Pappas, Vasileios & Sivaprasad, Sheeja, 2021. "The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model," International Review of Financial Analysis, Elsevier, vol. 74(C).
  24. R. Bedoui & R. Benkraiem & K. Guesmi & I. Kedidi, 2023. "Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model," Post-Print hal-04631234, HAL.
  25. Wajdi Hamma & Ahmed Ghorbel & Anis Jarboui, 2021. "Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 179-199, May.
  26. Arfaoui, Mongi & Chkili, Walid & Ben Rejeb, Aymen, 2022. "Asymmetric and dynamic links in GCC Sukuk-stocks: Implications for portfolio management before and during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
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