Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis

【Author】 Yousaf, Imran; Yarovaya, Larisa

【Source】PACIFIC-BASIN FINANCE JOURNAL

【影响因子】3.239

【Abstract】This study examines the return and volatility transmission between the Islamic gold-backed cryptocurrencies (Onegram and X8X) and global Islamic equity sectors during the pre-COVID and COVID-19 periods. We also estimate the optimal weights, hedge ratios, and hedging effectiveness for all pairs of markets. Our results suggest that the COVID-19 crisis intensified the spillover effect between the selected Islamic assets. We show that investors could increase their allocations in Onegram gold-backed cryptocurrency to reduce the risk of the equity sector portfolio during the COVID-19 pandemic. Moreover, the hedging costs for all pairs have increased during the COVID-19 period in comparison to the pre-pandemic level. Finally, the analysis of hedging effectiveness suggests that investors can reduce the risk of Islamic sectorial equity portfolios by adding the Islamic Sharia-based cryptocurrencies during both sample periods.

【Keywords】Spillovers; Stablecoins; Islamic cryptocurrencies; Gold-backed cryptocurrencies; Islamic equity sectors; COVID-19; Hedging effectiveness

【发表时间】2022 FEB

【收录时间】2022-11-24

【文献类型】实验仿真

【主题类别】

区块链治理-市场治理-数字货币