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

By L. Yarovaya, Ahmed H. Elsayed, Shawkat Hammoudeh. 2021

177 citations recorded by the source corpus.

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.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/326c940bf5659d02f9ef65b6b0e5ddcfa9de4f76

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. M. K. Hassan
2. Md. Bokhtiar Hasan, PhD
3. Fadzlan Sufian
4. Fotios Pasiouras
5. Samir Srairi
6. Roman Matousek
7. Olena Havrylchyk

In Economics and Econometrics

1. M. Mahi
2. M. K. Hassan
3. Abul Bashar Bhuiyan
4. Md. Bokhtiar Hasan, PhD

Citations in the corpus

• The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021, unknown): “…and recovery of financial markets from the COVID-19 shock (e.g., Ashraf, 2020; Seven and Yilmaz, 2020; Heyden and Heyden, 2020; Mazur et al., 2020; Topcu and Gulal, 2020; Yarovaya et al., 2020c); predictability (Ciner, 2020); hedge funds performance (e.g. Yarovaya et al., 2021), among others.”
• Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “Alternatively, Yousaf and Yarovaya (2021) specify a longer COVID-19 period from January 2020 to July 2021, hence they further adjust the length of pre-COVID period and utilise data from May 2018.”
• Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis (2021, background): “Likewise, Yarovaya et al. (2021) found strong spillovers between Islamic and conventional stock markets in the COVID-19 period.”