Yarovaya, Larisa and Elsayed, Ahmed H. and Hammoudeh, Shawkat (2021) 'Determinants of spillovers between Islamic and conventional financial markets: Exploring the safe haven assets during the COVID-19 pandemic.', Finance research letters., 43 . p. 101979.
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.
| Item Type: | Article |
|---|---|
| Keywords: | COVID19; spillover effect; Islamic markets; gold; oil; Bitcoin |
| Full text: | (AM) Accepted Manuscript Available under License - Creative Commons Attribution Non-commercial No Derivatives 4.0. Download PDF (935Kb) |
| Status: | Peer-reviewed |
| Publisher Web site: | https://doi.org/10.1016/j.frl.2021.101979 |
| Publisher statement: | © 2021 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ https://doi.org/10.1016/j.frl.2021.101979 |
| Date accepted: | 11 February 2021 |
| Date deposited: | 18 February 2021 |
| Date of first online publication: | 15 February 2021 |
| Date first made open access: | 15 February 2022 |
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