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Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?

Author

Listed:
  • Mensi, Walid
  • Hammoudeh, Shawkat
  • Reboredo, Juan C.
  • Nguyen, Duc Khuong

Abstract

This study examines whether the Sharia-compliant stocks measured by Dow Jones Islamic World Emerging Market index (DJIWEM), gold and the U.S. Treasury bills (T-bills) can serve as a hedge and/or a safe-haven asset in the six GCC stock markets, by using a vine copula approach. The results show that GCC and global investors can realize both risk diversification benefits and downside risk reductions during tranquil and downturn periods by including gold or DJIWEM in their portfolios but not the T-bills.

Suggested Citation

  • Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan C. & Nguyen, Duc Khuong, 2015. "Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?," Emerging Markets Review, Elsevier, vol. 24(C), pages 101-121.
    • Handle: RePEc:eee:ememar:v:24:y:2015:i:c:p:101-121
    DOI: 10.1016/j.ememar.2015.05.007
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    References listed on IDEAS

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    More about this item

    Keywords

    Sharia-compliant stocks; Gold; U.S. Treasury bills; GCC stock markets; Vine copulas;
    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
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G1 - Financial Economics - - General Financial Markets

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