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Does Bitcoin Comove and Share Risk with Sukuk and Islamic Stock Indexes? Evidences using Time-Frequency Approach
, Walid Mensi, Mobeen Ur Rehman, Khamis Hamed Alyahyaee, Ahmet Sensoy
Published in Elsevier BV
2020
Volume: 53
   
Pages: 101 - 230
Abstract

This study attempts to examine the co-movements between Bitcoin and various Islamic assets. We apply Cross Wavelet Transform and Wavelet Coherence Analysis approaches along Value at Risk. The co-movement is stronger and in the same direction at low frequency suggesting the benefits from diversification with Bitcoin may be relatively less important for the long-term investors than the short-term investors. A co-movement in the opposite directions at high frequency implies better benefits of hedging through diversification into Bitcoin and Islamic equity markets in the short-run. Finally, the benefits of portfolio diversification with Bitcoin and Islamic assets vary across time and frequencies. Abstract This study attempts to examine the co-movements between Bitcoin and various Islamic assets. We apply Cross Wavelet Transform and Wavelet Coherence Analysis approaches along Value at Risk. The co-movement is stronger and in the same direction at low frequency suggesting the benefits from diversification with Bitcoin may be relatively less important for the long-term investors than the short-term investors. A co-movement in the opposite directions at high frequency implies better benefits of hedging through diversification into Bitcoin and Islamic equity markets in the short-run. Finally, the benefits of portfolio diversification with Bitcoin and Islamic assets vary across time and frequencies.

About the journal
JournalData powered by TypesetRESEARCH ARTICLE
PublisherData powered by TypesetElsevier BV
Open AccessNo