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The Impact of Cryptocurrency Volatility Dynamics on the Islamic Equity Market - The Case of Emerging Asia

Author

Listed:
  • Norhidayah Abu Bakar
  • Nik Hazimi Mohammed Foziah

    (Faculty of Business and Management, Universiti Sultan Zainal Abidin, Malaysia)

Abstract

This paper investigates the impact of the realized volatility of positive and negative intraday Bitcoin returns on the sensitivity of Shariah-compliant stocks’ orthogonalized returns. We identify the impact in different market states and find that Bitcoin’s upside volatility negatively affects the returns of Islamic equities. The paper contributes to uncovering the properties of a niche Islamic Emerging Asian equity market. The findings offer important implications for investors’ diversification strategies.

Suggested Citation

  • Norhidayah Abu Bakar & Nik Hazimi Mohammed Foziah, 2024. "The Impact of Cryptocurrency Volatility Dynamics on the Islamic Equity Market - The Case of Emerging Asia," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 5(2), pages 1-5.
    • Handle: RePEc:ayb:jrnael:95
    DOI: 2024/06/28
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    References listed on IDEAS

    as
    1. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Sharia-compliant stock markets; Bitcoin; Realized volatility;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements

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