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Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic

Yarovaya, Larisa; Elsayed, Ahmed H.; Hammoudeh, Shawkat

Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic Thumbnail


Authors

Larisa Yarovaya

Shawkat Hammoudeh



Abstract

We analyse the impact of the COVID-19 pandemic on the spillovers between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, Bitcoin prices, and VIX and EPU indexes affect the relationships between these markets during the COVID-19 pandemic outbreak. The results show that the Islamic bonds (Sukuk) demonstrate safe haven properties during this pandemic crisis, while the spillovers between conventional and Islamic stock markets become stronger during the pandemic outbreak. COVID-19, Oil and gold are strong predictors of the conventional-Islamic markets spillovers, while Bitcoin is not a significant determinant of these relationships.

Citation

Yarovaya, L., Elsayed, A. H., & Hammoudeh, S. (2021). Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic. Finance Research Letters, 43, Article 101979. https://doi.org/10.1016/j.frl.2021.101979

Journal Article Type Article
Acceptance Date Feb 11, 2021
Online Publication Date Feb 15, 2021
Publication Date 2021-11
Deposit Date Feb 15, 2021
Publicly Available Date Mar 29, 2024
Journal Finance Research Letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 43
Article Number 101979
DOI https://doi.org/10.1016/j.frl.2021.101979
Keywords COVID19; spillover effect; Islamic markets; gold; oil; Bitcoin
Public URL https://durham-repository.worktribe.com/output/1246564

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