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Are Islamic indexes, Bitcoin and gold, still “safe-haven” assets during the COVID-19 pandemic crisis?

Author

Listed:
  • Slah Bahloul
  • Mourad Mroua
  • Nader Naifar
  • nader naifar

Abstract

Purpose - This paper aims to investigate whether Islamic indexes, Bitcoin and gold still act as hedges or/and “safe-haven” assets during the COVID-19 pandemic crisis. This paper examines the role of the Morgan Stanley Capital International all-country world index, Islamic index, gold and Bitcoin as a hedge or safe-haven asset for the world conventional stock market over the period from April 30, 2015 to March 27, 2020. Design/methodology/approach - In this paper, the authors re-evaluate the hedge and safe haven properties of Islamic indexes, gold and Bitcoin following Baur and Lucey’s (2010) and Baur and McDermott’s (2010) methodology. Findings - Empirical results show that the Islamic index is not a hedge or a safe haven asset for the world conventional stock market during the recent coronavirus crisis period. Different from the whole period, the authors find that gold is a strong hedge but only a weak safe or is not a safe haven during the coronavirus sub-period. Bitcoin reports distinctive properties, as it acts as a weak hedge and not a safe-haven asset. Originality/value - This paper is the first study that investigates whether the global Islamic index still acts as hedges or “safe-haven” assets during the new COVID-19 crisis period. The results can help investors make informed decisions when adding cryptocurrencies and Islamic indexes to their portfolios during the coronavirus crisis.

Suggested Citation

  • Slah Bahloul & Mourad Mroua & Nader Naifar & nader naifar, 2021. "Are Islamic indexes, Bitcoin and gold, still “safe-haven” assets during the COVID-19 pandemic crisis?," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 15(2), pages 372-385, September.
    • Handle: RePEc:eme:imefmp:imefm-06-2020-0295
    DOI: 10.1108/IMEFM-06-2020-0295
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    Citations

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    Cited by:

    1. Virginie Terraza & Aslı Boru İpek & Mohammad Mahdi Rounaghi, 2024. "The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic: evidence from VAR-DCC-EGARCH and ANN models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-34, December.

    More about this item

    Keywords

    Diversification; Hedging; Islamic indices; COVID-19; Safe haven; Hedge; COVID-19 pandemic crisis; Islamic index; Gold; Bitcoin; C2; C22; G15; G1;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G1 - Financial Economics - - General Financial Markets

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