Are Islamic gold-backed cryptocurrencies different?

【Author】 Aloui, Chaker; ben Hamida, Hela; Yarovaya, Larisa

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We assess the differential impact of geopolitical risk on Islamic and conventional gold backed cryptocurrencies using a multivariate Generalized Autoregressive Conditional Heteroscedasticity (M-GARCH) modeling. We unveil that Islamic gold-backed cryptocurrencies behave differently from their conventional counterparts. Sharia compliant cryptocurrencies are positively correlated to the yellow metal, while the conventional ones are weakly and negatively associated to gold. We find that the geopolitical risk intensifies the dependency of GBC to gold returns and volatility. Our results are of great interest for policy makers, Islamic portfolio managers and digital currency traders when undertaken their investment and hedging strategies during periods of high uncertainty and worsen geopolitical circumstances.

【Keywords】Islamic cryptocurrencies; Gold-backed cryptocurrencies; GJR-GARCH; DCC; Geopolitical risk

【发表时间】2021 MAR

【收录时间】2022-01-02

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