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Accepted (AM)CC BY-NC-ND V4.0, Open
Journal article
Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic
Finance research letters, v 43, 101979
Nov 2021
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
•We analyse the impact of the COVID-19 pandemic on the spillover between conventional and Islamic stock and bond markets.•We further investigate determinates of the spillovers between these markets before and during the COVID-19 pandemic.•Results show that the Islamic bonds (Sukuk) demonstrate safe haven properties during this pandemic.•The spillovers between conventional and Islamic stock markets become stronger during the pandemic.•COVID-19, oil and gold are strong predictors of the conventional-Islamic markets spillovers.
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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Details
- Title
- Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic
- Creators
- Larisa Yarovaya - University of SouthamptonAhmed H. Elsayed - Zagazig UniversityShawkat Hammoudeh - University of Economics Ho Chi Minh City
- Publication Details
- Finance research letters, v 43, 101979
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000720832100008
- Scopus ID
- 2-s2.0-85102130469
- Other Identifier
- 991019167730904721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance