Volatility spillover and dynamic correlation between Islamic, conventional, cryptocurrency and precious metal markets during the immediate outbreak of COVID-19 pandemic
Muhammad Mahmudul Karim, Abu Hanifa Md. Noman, M. Kabir Hassan, Asif Khan, Najmul Haque Kawsar
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引用次数: 0
Abstract
Purpose
This paper aims to investigate the immediate effect of the outbreak of the COVID-19 pandemic by investigating volatility transmission and dynamic correlation between stock (conventional and Islamic) markets, bitcoin and major commodities such as gold, oil and silver at different investment horizons before and after 161 trading days of the outbreak of the COVID-19 pandemic.
Design/methodology/approach
The MGARCH-DCC and maximum overlap discrete wavelet transform -based cross-correlation were used in the estimation of the volatility spillover and continuous wavelet transform in the estimation of the time-varying volatility and correlation between the assets at different investment horizons.
Findings
The authors observed a sudden correlation breakdown following the COVID-19 shock. Oil (Bitcoin) was a major volatility transmitter before (during) COVID-19. Digital gold (Bitcoin), gold and silver became highly correlated during COVID-19. The highest co-movement between the assets was observed at medium and long-term investment horizons.
Practical implications
The study findings have a financial implication for day traders, investors and policymakers in the understanding of volatility transmission and intercorrelation in a bid to actively manage stylized and well-diversified asset portfolios.
Originality/value
This study is unique for its employment in estimating the time-varying conditional volatility of the investable assets and cross-correlations between them at different investment horizons, particularly before and after COVID-19 outbreak.
期刊介绍：
The International Journal of Islamic and Middle Eastern Finance and Management (IMEFM) publishes quality and in-depth analysis on current issues within Islamic and Middle Eastern finance and management. The journal welcomes strong evidence-based empirical studies and results-focused case studies that share research in product development and clarify best practices. The title is also keen to consider work from emerging authors. IMEFM has just also accepted into Clarivate''s SSCI in 2018, and its IF will be available in summer 2019, with citations dating from 2016. The coverage includes but is not limited to: -Islamic finance: Fundamentals, trends and opportunities in Islamic Finance, Islamic banking and financial markets, Risk management, Corporate finance, Investment strategy, Islamic social finance, Financial planning, Housing finance, Legal and regulatory issues, -Islamic management: Corporate governance, Customer relationship management and service quality, Business ethics and corporate social responsibility, Management styles and strategies in Shariah environments, Labour and welfare economics, Political economy. The journal is the only title aiming to give an interdisciplinary and holistic view on Islamic finance and business management practices in order to inform these two intertwined communities.
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