Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management
In this paper, we investigate whether gold hedges Sharia-compliant stocks and Sukuk during the period from September 2005 to October 2017. The inference is taken by using both the DCC-GARCH model and the wavelet coherence analysis. On the whole, our finding suggests that gold is not effective in hed...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Palgrave Macmillan Ltd.
2018
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |