CORE
🇺🇦
make metadata, not war
Services
Services overview
Explore all CORE services
Access to raw data
API
Dataset
FastSync
Content discovery
Recommender
Discovery
OAI identifiers
OAI Resolver
Managing content
Dashboard
Bespoke contracts
Consultancy services
Support us
Support us
Membership
Sponsorship
Community governance
Advisory Board
Board of supporters
Research network
About
About us
Our mission
Team
Blog
FAQs
Contact us
Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application
Authors
Abadie
Abbes
+113 more
Abdullah
Adrian
Ahmad
Ahmed
Ajmi
Akhtar
Al-Khazali
Al-Yahyaee
Al-Yahyaee
Alam
Ali
Ali
Aloui
Aloui
Aloui
Alzubaidi
Ashraf
Aysan
Bakar
Baur
Baur
Beck
Bouoiyour
Bouri
Bouri
Bouri
Briere
Cheah
Christoffersen
Ciaian
Cumming
Dania
Dewandaru
Dewandaru
Dickey
Dyhrberg
Dyhrberg
EconoTimes
Eisl
el Alaoui
ElBahrawy
Elendner
Engle
Evans
Garcia
Girardi
Godlewski
Hakim
Hammoudeh
Hansen
Hayat
Hkiri
Ho
Hosking
Hussein
Jawadi
Ji
Karim
Kassab
Kawa
Kawa
Kenourgios
Khuntia
Kristoufek
Kroner
Kroner
Ku
Kwiatkowski
Lahmiri
Lahmiri
Lim
Liu
Maghyereh
Maghyereh
Maghyereh
Majdoub
Mazouz
Meera
Mensi
Mensi
Mobeen Ur Rehman
Moore
Muedini
Muli
Nadia Asghar
Naifar
Najeeb
Nakamoto
Narayan
Nazlioglu
Patton
Phillips
Reboredo
Rehman
Rizvi
Rogojanu
Saiti
Sang Hoon Kang
Saâdaoui
Shahzad
Shahzad
Shahzad
Shamsuddin
Sklar
Trimborn
Tschorsch
Vigna
Wahyudi
Wang
Wang
Yermack
Zhang
Álvarez-Díaz
Publication date
6 April 2020
Publisher
'Elsevier BV'
Doi
Cite
Abstract
This is an accepted manuscript of an article published by Elsevier in Pacific-Basin Finance Journal on 08/04/2020, available online: https://doi.org/10.1016/j.pacfin.2020.101326 The accepted version of the publication may differ from the final published version.© 2020 The emergence of new asset classes offers avenues to international investment community however understanding relationship between any two assets in a single portfolio is important. We investigate the risk dependence between daily Bitcoin and major Islamic equity markets spanning over from July 2010 to March 2018. We start by examining long memory properties of Bitcoin and sampled Islamic indices and report significant results. The residuals from fractionally integrated models are then used in bivariate time invariant and time varying copulas to investigate dependence structure. Among all Islamic indices, DJIUK, DJIJP and DJICA exhibit time varying dependence with Bitcoin. In addition, we apply VaR, CoVaR and ΔCoVaR as risk measure to examine spillover between Bitcoin and Islamic equity markets. VaR of Bitcoin exceeds from VaR of Islamic indices and CoVaR of both Islamic and Bitcoin exceeds their respective VaR, suggesting presence of risk spillover between each other. Our results also report asymmetry between downside and upside ΔCoVaR suggesting implications for investors with different risk preferences. Finally, the diversification benefits indicate that Islamic equity market serves as an effective hedge in a portfolio along with Bitcoin.Accepted versio
Similar works
Full text
Open in the Core reader
Download PDF
Available Versions
Wolverhampton Intellectual Repository and E-theses
See this paper in CORE
Go to the repository landing page
Download from data provider
oai:wlv.openrepository.com:243...
Last time updated on 22/05/2020
Crossref
See this paper in CORE
Go to the repository landing page
Download from data provider
Last time updated on 05/09/2020