[go: up one dir, main page]

  EconPapers    
Economics at your fingertips  
 

Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach

Walid Chkili

Journal of Multinational Financial Management, 2017, vol. 42-43, 152-163

Abstract: This paper uses the Markov switching approach to investigate the role of gold as a hedge or safe haven for Islamic stock market risk. Empirical results reveal on the one hand, the presence of two distinct regimes for all the considered markets, namely a low volatility regime and a high volatility regime. More precisely, the high volatility regime coincides with the major economic and political events that occurred during the period under study. On the other hand, evidence shows that gold can act as a weak hedge and a strong safe haven against extreme Islamic stock market movements. This result has significant implications for portfolio diversification and hedging strategy choice.

Keywords: Islamic stock market; Gold; Markov switching; Hedge; Safe haven (search for similar items in EconPapers)
JEL-codes: C24 G01 G10 G11 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042444X17300038
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:42-43:y:2017:i::p:152-163

DOI: 10.1016/j.mulfin.2017.10.001

Access Statistics for this article

Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth

More articles in Journal of Multinational Financial Management from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2024-02-12
Handle: RePEc:eee:mulfin:v:42-43:y:2017:i::p:152-163