Regime specific spillover between Dow Jones Islamic Market World Index, Islamic gold-backed crypto currencies and the blockchain halal index

【Author】 Trichilli, Yousra; Boujelbene, Mouna

【Source】INTERNATIONAL JOURNAL OF ISLAMIC AND MIDDLE EASTERN FINANCE AND MANAGEMENT

【影响因子】2.853

【Abstract】Purpose The purpose of this paper is to explore the relationship between Dow Jones Islamic Market World Index, Islamic gold-backed cryptocurrencies and halal chain in the presence of state (regime) dynamics. Design/methodology/approach The authors have used the Markov-switching model to identify bull and bear market regimes. Moreover, the dynamic conditional correlation, the Baba, Engle, Kraft and Kroner- generalized autoregressive conditional heteroskedasticity and the wavelet coherence models are applied to detect the presence of spillover and contagion effects. Findings The findings indicate various patterns of spillover between halal chain, Dow Jones Islamic Market World Index and Islamic gold-backed cryptocurrencies in high and low volatility regimes, especially during the COVID-19 pandemic. Indeed, the contagion dynamics depend on the bull or bear periods of markets. Practical implications These present empirical findings are important for current and potential traders in gold-backed cryptocurrencies in that they facilitate a better understanding of this new type of assets. Indeed, halal chain is a safe haven asset that should be combined with Islamic gold-backed cryptocurrencies for better performance in portfolio optimization and hedging, mainly during the COVID-19 period. Originality/value To the best of the authors' knowledge, this paper is the first research on the impact of the halal chain on the Dow Jones Islamic Market World Index return, Islamic gold-backed cryptocurrencies returns in the bear and bull markets around the global crisis caused by the COVID-19 pandemic.

【Keywords】Islamic gold-backed cryptocurrencies; Contagion; Halal chain; Regime switching; Dow Jones Islamic Market World Index

【发表时间】

【收录时间】2022-10-17

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析