Document Type
Journal Article
Publication Title
Global Finance Journal
Volume
54
Publisher
Elsevier
School
School of Business and Law
RAS ID
35546
Abstract
Using a bivariate dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) model, this study compares the safe-haven properties of various assets against the major Gulf Cooperation Council (GCC) stock indexes during two periods of financial turmoil, the COVID-19 pandemic and the 2008 Global Financial Crisis (GFC). Sovereign bonds offered the highest hedging benefits under both crises. The traditional safe assets, gold and silver, which were reasonably productive under the GFC, have been less so during the pandemic. The Japanese yen emerged as a very safe choice for investors holding GCC stock indexes. Both sector indexes and stock indexes failed to safeguard investors most of the time during each crisis.
DOI
10.1016/j.gfj.2021.100643
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Comments
This is an Authors Accepted Manuscript version of an article published by Elsevier in Global Finance Journal. The published article can be found at: https://doi.org/10.1016/j.gfj.2021.100643
Hassan, M. K., Djajadikerta, H. G., Choudhury, T., & Kamran, M. (2022). Safe havens in Islamic financial markets: COVID-19 versus GFC. Global Finance Journal, 54, article 100643. https://doi.org/10.1016/j.gfj.2021.100643