Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic

被引：108
|
作者：
Yarovaya, Larisa [1 ]
Elsayed, Ahmed H. [2 ]
Hammoudeh, Shawkat [3 ,4 ]
机构：
[1] Univ Southampton, Southampton Business Sch, Southampton, Hants, England
[2] Zagazig Univ, Durham Univ, Fac Commerce, Dept Econ & Finance,Dept Econ, Zagazig, Egypt
[3] Drexel Univ, Lebow Coll Business, Philadelphia, PA 19104 USA
[4] Univ Econ Ho Chi Minh City, Inst Business Res, Ho Chi Minh City, Vietnam
来源：
FINANCE RESEARCH LETTERS | 2021年 / 43卷
关键词：
COVID19; Spillover effect; Islamic markets; Gold; Oil; Bitcoin; NEXUS;
D O I：
10.1016/j.frl.2021.101979
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We analyse the impact of the COVID-19 pandemic on the spillovers between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, Bitcoin prices, and the risk measures VIX and EPU indexes affect the relationships between these different markets during the COVID-19 pandemic outbreak. The results show that the Islamic bonds (Sukuk) demonstrate safe haven properties during this pandemic crisis, while the spillovers between conventional and Islamic stock markets become stronger during the pandemic outbreak. COVID-19, Oil and gold are strong predictors of the conventional-Islamic markets spillovers, while Bitcoin is not a significant determinant of these relationships.
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页数：11
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