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The European Journal of Finance ; 29(2):185-206, 2023.
Article in English | ProQuest Central | ID: covidwho-2326310


We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against traditional global counterparts. We first employ an asymmetric power ARCH-based ADCC model on an extended dataset employed by Kenourgios et al. (2016). Our sample ranges from July 2007 to June 2021 covering the Global Financial Crisis (GFC), the European Sovereign Debt Crisis (ESDC), and the COVID-19 pandemic. Econometric tests suggest strong evidence of coupling in the bulk of Islamic equity indices. A handful of emerging market indices constitute exceptions. Qualitatively similar results emerge from time–frequency analysis via wavelet tools, revealing pervasive coupling in both returns and volatility series. The linkages are scale-dependent in only a few pairs. In contrast, Sukuk indices are uncoupled from their global fixed income counterparts and relevant risky debt portfolios. In sum, the risk-return characteristics of Islamic equities (especially in developed economies) remain coupled to major global benchmarks and therefore are unlikely to appeal as safe haven candidates. The converse applies to Sukuk, which promises potential portfolio diversification benefits and safe haven status in ‘normal' and crisis periods.

J Behav Exp Finance ; 30: 100498, 2021 Jun.
Article in English | MEDLINE | ID: covidwho-1163984


We report new evidence that speculation in energy and precious metal futures are more prevalent in crisis periods and even more so during the COVID-19 pandemic. In contrast, agricultural futures attract more hedging pressure. Post-GFC patterns mirror the 1980s' recessions. Using quantile regression on a long-horizon sample we also find that speculative pressure generally coincides with abnormal returns in normal circumstances but not in the current pandemic. Instead, volatility is strongly and often non-linearly associated with speculation across instruments.

Finance Research Letters ; : 102013, 2021.
Article in English | ScienceDirect | ID: covidwho-1126830


Employing high-dimensional stochastic-volatility commonality tests on crypto-assets against a basket of global investor sentiment proxies, we report new evidence that the cryptocurrency market is decoupled from global sentiments. Our approach's novelty resides in employment of appropriate sources of risk and uncertainty and two comprehensive indices (CRIX and VCRIX) that permit treating cryptocurrencies as a united pool from 2016 to 2021. Our consolidated findings suggest nugatory association between cryptocurrencies and global risk, risk aversion, and uncertainty. Further COVID-19 resampling reinforces long-horizon results. These findings bolster the growing wave of support for recognizing crypto-assets as an independent asset class.