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The resilience of Shariah-compliant investments: Probing the static and dynamic connectedness between gold-backed cryptocurrencies and GCC equity markets

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  • Ali, Shoaib
  • Naveed, Muhammad
  • Hanif, Hasan
  • Gubareva, Mariya

Abstract

This study investigates the return spillover between the Islamic gold-backed cryptocurrencies and equity markets of the Gulf Cooperation Council (GCC) countries. The study utilizes the QVAR method to determine the quantile connectedness among the asset classes and identify optimal portfolio weights across different economic conditions. The results show that the GCC economies have stronger connections with each other than with the cryptocurrencies. However, there is an increase in connections between the GCC economies and cryptocurrencies during extreme events. This suggests that extreme news can amplify the relationship between the Islamic cryptocurrencies and GCC markets. The findings suggest that asymmetric tails exist in the connectedness between the asset classes, meaning that the relationship between them is stronger during extreme market conditions. Accordingly, the dynamic connectedness analysis reveals varying patterns of connectedness across different periods, outlining pivotal portfolio implications. The study also suggests optimal weights for portfolio managers and investors and outlines the least expensive hedging strategy. The research proposes that investors in the GCC region could potentially mitigate the risk of their Islamic equity portfolios by incorporating the Islamic Shariah-compliant gold-backed cryptocurrencies in their portfolio. Further studies could explore the role of other factors such as liquidity, market volatility, and investor sentiment in the relationship between asset classes. Future research could examine the effects of other types of news, such as macroeconomic news, on the relationship between asset classes. Additional research could focus on the implications of incorporating Islamic gold-backed cryptocurrencies in a portfolio for investors beyond the GCC region.

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  • Ali, Shoaib & Naveed, Muhammad & Hanif, Hasan & Gubareva, Mariya, 2024. "The resilience of Shariah-compliant investments: Probing the static and dynamic connectedness between gold-backed cryptocurrencies and GCC equity markets," International Review of Financial Analysis, Elsevier, vol. 91(C).
    • Handle: RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005616
    DOI: 10.1016/j.irfa.2023.103045
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    More about this item

    Keywords

    Gold-backed cryptocurrencies; Shariah compliance; GCC; Return spillover; COVID-19; Portfolio implications;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F3 - International Economics - - International Finance
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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