Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2021.1910532
Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?
Muhammad Arif
orcid.org/0000-0003-0298-2135
Muhammad Abubakr Naeem
Mudassar Hasan
Suha M Alawi
Farhad Taghizadeh-Hesary
Sažetak
This study draws a comparison between the Global Financial
Crisis (GFC) and the COVID-19 pandemic crisis to assess the safehaven potential of Islamic stocks for G7 stock markets. We employ
the cross-quantilogram framework of Han et al., which considers
the non-linearity in the relationship, and thus captures the correlation between the Islamic and G7 stock markets across various
quantiles reflecting different market conditions. The analysis also
includes the time-varying cross-quantile correlation to observe the
evolution of Islamic stocks’ safe-haven potential. Our full sample
analysis shows that Islamic stocks do not exhibit safe-haven properties for G7 stock markets. During the GFC period, Islamic stocks
show some diversification benefits for the G7 stock markets.
Notably, Islamic stocks emerged as a robust safe-haven asset for
the G7 stock markets during the pandemic crisis. The study carries
essential insights for equity investors and regulators of G7 and
other countries to implement diversification/hedging strategies
that would involve Islamic stocks to protect equity investments
and the overall financial system amid the financial downturns.
Ključne riječi
Islamic stocks; G7 markets; safe-haven; COVID-19; extreme market conditions
Hrčak ID:
302231
URI
Datum izdavanja:
31.3.2023.
Posjeta: 959 *