{"title":"2019冠状病毒病大流行期间寻找安全港:伊斯兰和传统金融市场溢出效应的决定因素","authors":"L. Yarovaya, Ahmed H. Elsayed, S. Hammoudeh","doi":"10.2139/ssrn.3634114","DOIUrl":null,"url":null,"abstract":"We analyse the impact of the COVID-19 pandemic on spillover between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, and Bitcoin prices, VIX and EPU index affect the relationships between these markets during the COVID-19 pandemic. The results show that the Islamic bonds (Sukuk) demonstrate safe haven properties during this pandemic, while the spillovers between conventional and Islamic stock markets become stronger during the pandemic. COVID-19, Oil and gold are strong predictors of conventional-Islamic markets spillovers, while Bitcoin is not a significant determinant of these relationships.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"30","resultStr":"{\"title\":\"Searching for Safe Havens during the COVID-19 Pandemic: Determinants of Spillovers between Islamic and Conventional Financial Markets\",\"authors\":\"L. Yarovaya, Ahmed H. Elsayed, S. Hammoudeh\",\"doi\":\"10.2139/ssrn.3634114\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We analyse the impact of the COVID-19 pandemic on spillover between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, and Bitcoin prices, VIX and EPU index affect the relationships between these markets during the COVID-19 pandemic. The results show that the Islamic bonds (Sukuk) demonstrate safe haven properties during this pandemic, while the spillovers between conventional and Islamic stock markets become stronger during the pandemic. COVID-19, Oil and gold are strong predictors of conventional-Islamic markets spillovers, while Bitcoin is not a significant determinant of these relationships.\",\"PeriodicalId\":11410,\"journal\":{\"name\":\"Econometric Modeling: Capital Markets - Risk eJournal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-06-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"30\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Capital Markets - Risk eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3634114\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Capital Markets - Risk eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3634114","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Searching for Safe Havens during the COVID-19 Pandemic: Determinants of Spillovers between Islamic and Conventional Financial Markets
We analyse the impact of the COVID-19 pandemic on spillover between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, and Bitcoin prices, VIX and EPU index affect the relationships between these markets during the COVID-19 pandemic. The results show that the Islamic bonds (Sukuk) demonstrate safe haven properties during this pandemic, while the spillovers between conventional and Islamic stock markets become stronger during the pandemic. COVID-19, Oil and gold are strong predictors of conventional-Islamic markets spillovers, while Bitcoin is not a significant determinant of these relationships.
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