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. |
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