Semantic Scholar Open Access 2021 170 sitasi

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

L. Yarovaya Ahmed H. Elsayed S. Hammoudeh

Lihat Sumber DOI

Abstrak

Abstract 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 VIX and EPU indexes affect the relationships between these 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.

Topik & Kata Kunci

Business

Penulis (3)

L. Yarovaya

Ahmed H. Elsayed

S. Hammoudeh

Format Sitasi

APA MLA BibTeX

Yarovaya, L., Elsayed, A.H., Hammoudeh, S. (2021). Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic. https://doi.org/10.1016/J.FRL.2021.101979

Akses Cepat

Lihat di Sumber doi.org/10.1016/J.FRL.2021.101979

Informasi Jurnal

Tahun Terbit: 2021
Bahasa: en
Total Sitasi: 170×
Sumber Database: Semantic Scholar
DOI: 10.1016/J.FRL.2021.101979
Akses: Open Access ✓