Tail dependence between gold and Islamic securities

被引：14
|
作者：
Maghyereh, Aktham [1 ]
Abdoh, Hussein [1 ]
机构：
[1] United Arab Emirates Univ, Dept Accounting & Finance, Abu Dhabi, U Arab Emirates
来源：
FINANCE RESEARCH LETTERS | 2021年 / 38卷
关键词：
Islamic Stocks; Sukuk; Gold; Quantile Coherency; Cross-Spectral Analysis;
D O I：
10.1016/j.frl.2020.101503
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine the dynamic dependence of extreme returns between gold and Islamic securities under different investment horizons using a novel quantile cross-spectral dependence approach from Barunik and Kley (2019) over the period 2006-2019. Our results indicate that gold does not act as a diversifier, hedge, or safe haven tool for Islamic portfolios in the mediumand long term, particularly during both bearish and bullish gold market conditions.
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页数：9
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