The role of gold as a hedge and safe haven in Shariah-compliant equities: a comparative study on emerging and developing markets
The paper evaluates the role of gold as a hedge and safe haven by using daily data ranging from January 1996 to September 2016 for gold and Shariah-compliant equities of developed and emerging market index to bestow the status of a hedge at the time of normal market condition and safe haven asset at the time of financial downturns. We applied wavelet coherence technique to ascertain the best time-frequency for gold as a hedge and MGARCH-DCC to find out the reaction of gold to unfavorable market conditions ...
Gold , Shariah-compliant equities , Wavelet coherence , MGARCH-DCC
Shakil, Mohammad Hassan. (2016). The role of gold as a hedge and safe haven in Shariah-compliant equities: a comparative study on emerging and developing markets (Master dissertation). INCEIF, Kuala Lumpur. Retrieved from https://ikr.inceif.org/handle/INCEIF/2386