Journal article
Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?
Emerging markets review, v 24(24)
Sep 2015
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study examines whether the Sharia-compliant stocks measured by Dow Jones Islamic World Emerging Market index (DJIWEM), gold and the U.S. Treasury bills (T-bills) can serve as a hedge and/or a safe-haven asset in the six GCC stock markets, by using a vine copula approach. The results show that GCC and global investors can realize both risk diversification benefits and downside risk reductions during tranquil and downturn periods by including gold or DJIWEM in their portfolios but not the T-bills.
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Details
- Title
- Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?
- Creators
- Walid Mensi - Tunis El Manar UniversityShawkat Hammoudeh - Lebow College of Business, Drexel University, United StatesJuan C. Reboredo - University of Santiago de CompostelaDuc Khuong Nguyen - IPAG Business School
- Publication Details
- Emerging markets review, v 24(24)
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000363082600007
- Scopus ID
- 2-s2.0-84930934818
- Other Identifier
- 991019167741604721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance
- Economics