Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic

Yarovaya, Larisa; Elsayed, Ahmed H.; Hammoudeh, Shawkat

Abstract

We analyse the impact of the COVID-19 pandemic on the spillovers between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, Bitcoin prices, and VIX and EPU indexes affect the relationships between these markets during the COVID-19 pandemic outbreak. The results show that the Islamic bonds (Sukuk) demonstrate safe haven properties during this pandemic crisis, while the spillovers between conventional and Islamic stock markets become stronger during the pandemic outbreak. COVID-19, Oil and gold are strong predictors of the conventional-Islamic markets spillovers, while Bitcoin is not a significant determinant of these relationships.

Citation

Yarovaya, L., Elsayed, A. H., & Hammoudeh, S. (2021). Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic. Finance Research Letters, 43, Article 101979. https://doi.org/10.1016/j.frl.2021.101979

• Journal Article Type: Article
• Acceptance Date: Feb 11, 2021
• Online Publication Date: Feb 15, 2021
• Publication Date: 2021-11
• Deposit Date: Feb 15, 2021
• Publicly Available Date: Feb 15, 2022
• Journal: Finance Research Letters
• Print ISSN: 1544-6123
• Electronic ISSN: 1544-6131
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 43
• Article Number: 101979
• DOI: https://doi.org/10.1016/j.frl.2021.101979
• Keywords: COVID19; spillover effect; Islamic markets; gold; oil; Bitcoin
• Public URL: https://durham-repository.worktribe.com/output/1246564