The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis
The paper evaluates the interaction between gold and Islamic equities as a hedge and safe haven by using daily data ranging from January 1996 to September 2016 of developed and emerging market index to bestow the status of a hedge at the time of normal market condition and safe haven asset at the...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
Universiti Tunku Abdul Rahman ( UTAR )
2017
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/56988/ http://irep.iium.edu.my/56988/ http://irep.iium.edu.my/56988/14/56988_THE%20INTERACTIONS%20BETWEEN%20GOLD_latters.pdf |
| Summary: | The paper evaluates the interaction between gold and Islamic equities as a hedge and safe haven
by using daily data ranging from January 1996 to September 2016 of developed and emerging market
index to bestow the status of a hedge at the time of normal market condition and safe haven asset at the
time of financial downturns. We applied wavelet coherence method to ascertain the best time-frequency
for gold as a hedge and Multivariate GARCH analysis to find out the reaction of gold to unfavourable
market conditions. The results show the interrelation between gold and equities of both developed and
emerging market are inconsistent at low scales up to 64 days. Besides, after the Asian financial crisis of
1997, there was a low correlation between gold and Islamic developed and emerging market equities. It
portrays that gold is hedge and safe haven for Asian financial crises for both stock market. However, after
2003 gold started to move with two markets i.e. developed and emerging and exhibited a robust positive
relationship in 2005-2007 for the time-frequency between 32 to 128 days. This relationship restricted
gold‘s capacity to act as a safe haven contrary to negative shocks of the global financial turmoil of 2007. |
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