The connectedness and hedging between gold and Islamic securities in the short, medium and long term

Maghyereh, A.I., Abdoh, H. and Awartani, B. 2019. The connectedness and hedging between gold and Islamic securities in the short, medium and long term. Pacific-Basin Finance Journal. 54, pp. 13-28. https://doi.org/10.1016/j.pacfin.2019.01.008

TitleThe connectedness and hedging between gold and Islamic securities in the short, medium and long term
TypeJournal article
AuthorsMaghyereh, A.I., Abdoh, H. and Awartani, B.
Abstract

This paper investigates the dynamic connectedness between gold, sukuk and Islamic equities at multiple investment horizons, it also computes optimal hedge ratios and portfolio weights for these assets. Our findings suggest that gold hedges the risk of sukuk in the short and medium terms. We find also that gold plays an average but stable role in hedging and diversifying Islamic equities across all investment horizons. Moreover, we find that gold–Islamic assets portfolio provided a better risk diversification in the short term. These empirical findings are important as they highlight the role of gold in diversifying and managing the risks of portfolios that invest in Islamic assets.

KeywordsSharia-compliant stocks
Sukuk
Gold
Optimal hedge ratio
Connectedness
Frequency
Wavelet analysis
JournalPacific-Basin Finance Journal
Journal citation54, pp. 13-28
ISSN0927-538X
Year2019
PublisherElsevier
Accepted author manuscript
Digital Object Identifier (DOI)https://doi.org/10.1016/j.pacfin.2019.01.008
Publication dates
Published23 Jan 2019
Published in printApr 2019
LicenseCC BY-NC-ND 4.0

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