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...
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| Format: | Conference or Workshop Item |
| Language: | English |
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Universiti Tunku Abdul Rahman ( UTAR )
2017
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| 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 |
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iium-56988 |
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eprints |
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iium-569882017-05-22T02:14:11Z http://irep.iium.edu.my/56988/ The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis Shakil, Mohammad Hassan Mohid Rasid, Mohamed Eskandar Shah Saiti, Buerhan HG4501 Stocks, investment, speculation 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. Universiti Tunku Abdul Rahman ( UTAR ) 2017 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/56988/14/56988_THE%20INTERACTIONS%20BETWEEN%20GOLD_latters.pdf Shakil, Mohammad Hassan and Mohid Rasid, Mohamed Eskandar Shah and Saiti, Buerhan (2017) The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis. In: The 19th Malaysian Finance Association Annual Conference (MFAC) 2017, 16-18 may, 2017, Universiti Tunku Abdul Rahman, kampar, Perak.. http://www.mfa.com.my/ |
| repository_type |
Digital Repository |
| institution_category |
Local University |
| institution |
International Islamic University Malaysia |
| building |
IIUM Repository |
| collection |
Online Access |
| language |
English |
| topic |
HG4501 Stocks, investment, speculation |
| spellingShingle |
HG4501 Stocks, investment, speculation Shakil, Mohammad Hassan Mohid Rasid, Mohamed Eskandar Shah Saiti, Buerhan The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis |
| description |
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. |
| format |
Conference or Workshop Item |
| author |
Shakil, Mohammad Hassan Mohid Rasid, Mohamed Eskandar Shah Saiti, Buerhan |
| author_facet |
Shakil, Mohammad Hassan Mohid Rasid, Mohamed Eskandar Shah Saiti, Buerhan |
| author_sort |
Shakil, Mohammad Hassan |
| title |
The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis |
| title_short |
The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis |
| title_full |
The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis |
| title_fullStr |
The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis |
| title_full_unstemmed |
The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis |
| title_sort |
interactions between gold and shariah compliant equities:the application of wavelet and multivariate garch analysis |
| publisher |
Universiti Tunku Abdul Rahman ( UTAR ) |
| publishDate |
2017 |
| url |
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 |
| first_indexed |
2023-09-18T21:20:29Z |
| last_indexed |
2023-09-18T21:20:29Z |
| _version_ |
1777411848868462592 |