IDEAS home Printed from https://ideas.repec.org/a/ayb/jrnael/92.html
   My bibliography  Save this article

Does Bitcoin Provide a Hedge to Islamic Stock Markets During and Post-COVID-19 Outbreak? Evidence From Asia Based on a Multivariate-GARCH Approach

Author

Listed:
  • Siok Jin Lim
  • Andaeus Zun Khan Neoh

    (Finance and Accounting, New Era University College, Malaysia)

Abstract

This paper applies the DCC-MGARCH model to investigate the role of Bitcoin as a hedge for Islamic stocks in Asia during the COVID-19 pandemic. Despite being a highly volatile cryptocurrency, evidence of low dynamic correlation between Bitcoin and Islamic stocks is confirmed across the Asian region. We find that Bitcoin’s diversification benefits improve towards the later stages of the pandemic when countries were transitioning to an endemic phase.

Suggested Citation

  • Siok Jin Lim & Andaeus Zun Khan Neoh, 2023. "Does Bitcoin Provide a Hedge to Islamic Stock Markets During and Post-COVID-19 Outbreak? Evidence From Asia Based on a Multivariate-GARCH Approach," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 4(2), pages 1-7.
    • Handle: RePEc:ayb:jrnael:92
    DOI: 2023/06/12
    as

    Download full text from publisher

    File URL: https://a-e-l.scholasticahq.com/api/v1/articles/70287-does-bitcoin-provide-a-hedge-to-islamic-stock-markets-during-and-post-covid-19-outbreak-evidence-from-asia-based-on-a-multivariate-garch-approach.pdf
    Download Restriction: no
    File URL: https://libkey.io/2023/06/12?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tan, Zi Ling & Lim, Siok Jin, 2023. "Cryptocurrency in the East: Exploring Ethereum's Link to Asian-Pacific Stock Indices through Multivariate-GARCH Approach," MPRA Paper 121786, University Library of Munich, Germany, revised 2024.

    More about this item

    Keywords

    Pandemics; Bitcoin; Islamic index;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • F3 - International Economics - - International Finance
    • G01 - Financial Economics - - General - - - Financial Crises

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ayb:jrnael:92. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Asia-Pacific Applied Economics Association (email available below). General contact details of provider: https://edirc.repec.org/data/apaeaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.