Ashraf Sumaira, de Almeida António Manuel Martins, Naz Iram, Latief Rashid
Department of Economics and Management, University of Padua, Italy.
CEFAGE Research Center, University of Évora, Portugal.
Heliyon. 2023 Aug 7;9(8):e19023. doi: 10.1016/j.heliyon.2023.e19023. eCollection 2023 Aug.
This study investigates the interconnectedness of the Islamic stock market, Bullion, and Bitcoin as diversifiers for portfolios, exploring their role as hedges and safe havens. The analysis covers the period from January 2015 to December 2022, with a particular focus on the influence of the COVID-19 pandemic and the Russia-Ukraine War on the MSCI World Islamic Index, bullions (Gold, Silver, Platinum, Nickel, Palladium, and Aluminium), and Bitcoin, employing a time-varying parameter vector autoregression (TVP-VAR) model. During crisis periods, our findings reveal that the transmission and reception of shocks among these assets varied, with a heightened level of co-movement observed during the pandemic and war periods. These results emphasise the importance of considering the dynamic nature of financial assets' connectedness in asset investment decisions, particularly in times of crisis. Furthermore, the findings suggest that Bullion can serve as a hedge for both Bitcoin and the Islamic stock market. The study also explores the optimal diversification of investment portfolios and highlights the importance of adhering to Islamic principles in portfolio diversification. By integrating Islamic rules into the diversification process, investors can enhance the effectiveness and relevance of their investment strategies.
本研究考察了伊斯兰股票市场、贵金属和比特币作为投资组合多元化工具的相互关联性，探讨它们作为避险资产和安全避风港的作用。分析涵盖2015年1月至2022年12月期间，特别关注新冠疫情和俄乌战争对摩根士丹利资本国际全球伊斯兰指数、贵金属（黄金、白银、铂金、镍、钯和铝）以及比特币的影响，采用时变参数向量自回归（TVP-VAR）模型。在危机时期，我们的研究结果表明，这些资产之间冲击的传导和接受情况各不相同，在疫情和战争期间观察到更高程度的共同变动。这些结果强调了在资产投资决策中考虑金融资产关联性动态性质的重要性，尤其是在危机时期。此外，研究结果表明，贵金属可以作为比特币和伊斯兰股票市场的避险资产。该研究还探讨了投资组合的最优多元化，并强调在投资组合多元化中遵循伊斯兰原则的重要性。通过将伊斯兰规则纳入多元化过程，投资者可以提高其投资策略的有效性和相关性。
