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dc.contributor.authorMustafa Disli-
dc.contributor.authorRuslan Nagayev-
dc.contributor.authorKinan Salim-
dc.contributor.authorSiti K. Rizkiah-
dc.contributor.authorAhmet F. Aysan-
dc.date.accessioned2021-11-30T01:28:22Z-
dc.date.available2021-11-30T01:28:22Z-
dc.date.issued2021-
dc.identifier.citationDisli, Mustafa and Nagayev, Ruslan and Salim, Kinan and Rizkiah, Siti K. and Aysan, Ahmet F. (2021). In search of safe haven assets during Covid-19 pandemic: an empirical analysis of different investor types. Research in International Business and Finance, 58, Article 101461. https://doi.org/10.1016/j.ribaf.2021.101461en_US
dc.identifier.issn0275-5319-
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/3480-
dc.description.abstractThis study assesses the role of gold, crude oil and cryptocurrency as a safe haven for traditional, sustainable, and Islamic investors during the Covid-19 pandemic crisis. Using Wavelet coherence analysis and spillover index methodologies in bivariate and multivariate settings, this study examines the correlation of these assets for different investment horizons. The findings suggest that gold, oil and Bitcoin exhibited low coherency with each stock index across almost all considered investment horizons until the onset of the Covid-19. Conversely, with the outbreak of the pandemic, the return spillover is more intense across financial assets, and a significant pairwise return connectedness between each equity index and hedging asset is observed. Hence, gold, oil, and Bitcoin do not exhibit safe-haven characteristics. However, by decomposing the time-varying co-movements into different investment horizons, we find that total and pairwise connectedness among the assets are primarily driven by a higher-frequency band (up to 4 days). It indicates that investors have diversification opportunities with gold, oil, and Bitcoin at longer horizons. The results are robust over different types of equity investors (traditional, sustainable, and Islamic) and various investment horizons.en_US
dc.languageEnglish-
dc.language.isoengen_US
dc.publisherElsevier B.V.en_US
dc.rights2021. Elsevier B.V.-
dc.sourceSEDONA-
dc.subjectEquitiesen_US
dc.subjectCommoditiesen_US
dc.subjectBitcoinen_US
dc.subjectOilen_US
dc.subjectGolden_US
dc.subjectSpilloveren_US
dc.subjectInterconnectednessen_US
dc.subjectCovid-19en_US
dc.subjectPandemicen_US
dc.subjectInvestment portfolioen_US
dc.titleIn search of safe haven assets during Covid-19 pandemic: an empirical analysis of different investor typesen_US
dc.typeJournal Articleen_US
ikr.topic.maintopicIslamic capital marketsen_US
dc.identifier.doihttps://doi.org/10.1016/j.ribaf.2021.101461-
ikr.doctypeScholarly Works-
Appears in Collections:Journal Article


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  • Full metadata record
    DC FieldValueLanguage
    dc.contributor.authorMustafa Disli-
    dc.contributor.authorRuslan Nagayev-
    dc.contributor.authorKinan Salim-
    dc.contributor.authorSiti K. Rizkiah-
    dc.contributor.authorAhmet F. Aysan-
    dc.date.accessioned2021-11-30T01:28:22Z-
    dc.date.available2021-11-30T01:28:22Z-
    dc.date.issued2021-
    dc.identifier.citationDisli, Mustafa and Nagayev, Ruslan and Salim, Kinan and Rizkiah, Siti K. and Aysan, Ahmet F. (2021). In search of safe haven assets during Covid-19 pandemic: an empirical analysis of different investor types. Research in International Business and Finance, 58, Article 101461. https://doi.org/10.1016/j.ribaf.2021.101461en_US
    dc.identifier.issn0275-5319-
    dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/3480-
    dc.description.abstractThis study assesses the role of gold, crude oil and cryptocurrency as a safe haven for traditional, sustainable, and Islamic investors during the Covid-19 pandemic crisis. Using Wavelet coherence analysis and spillover index methodologies in bivariate and multivariate settings, this study examines the correlation of these assets for different investment horizons. The findings suggest that gold, oil and Bitcoin exhibited low coherency with each stock index across almost all considered investment horizons until the onset of the Covid-19. Conversely, with the outbreak of the pandemic, the return spillover is more intense across financial assets, and a significant pairwise return connectedness between each equity index and hedging asset is observed. Hence, gold, oil, and Bitcoin do not exhibit safe-haven characteristics. However, by decomposing the time-varying co-movements into different investment horizons, we find that total and pairwise connectedness among the assets are primarily driven by a higher-frequency band (up to 4 days). It indicates that investors have diversification opportunities with gold, oil, and Bitcoin at longer horizons. The results are robust over different types of equity investors (traditional, sustainable, and Islamic) and various investment horizons.en_US
    dc.languageEnglish-
    dc.language.isoengen_US
    dc.publisherElsevier B.V.en_US
    dc.rights2021. Elsevier B.V.-
    dc.sourceSEDONA-
    dc.subjectEquitiesen_US
    dc.subjectCommoditiesen_US
    dc.subjectBitcoinen_US
    dc.subjectOilen_US
    dc.subjectGolden_US
    dc.subjectSpilloveren_US
    dc.subjectInterconnectednessen_US
    dc.subjectCovid-19en_US
    dc.subjectPandemicen_US
    dc.subjectInvestment portfolioen_US
    dc.titleIn search of safe haven assets during Covid-19 pandemic: an empirical analysis of different investor typesen_US
    dc.typeJournal Articleen_US
    ikr.topic.maintopicIslamic capital marketsen_US
    dc.identifier.doihttps://doi.org/10.1016/j.ribaf.2021.101461-
    ikr.doctypeScholarly Works-
    Appears in Collections:Journal Article


  • In_search_of_safe_haven_assets_during_Covid-19 pandemic_K...
    • Size : 21,23 MB

    • Format : Adobe PDF

    • View : 
    • Download :