دانلود مقاله ISI انگلیسی شماره 83335
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
83335 2017 26 صفحه PDF سفارش دهید 8296 کلمه
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عنوان انگلیسی
Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Multinational Financial Management, Volumes 42–43, December 2017, Pages 152-163

پیش نمایش مقاله
پیش نمایش مقاله

چکیده انگلیسی

This paper uses the Markov switching approach to investigate the role of gold as a hedge or safe haven for Islamic stock market risk. Empirical results reveal on the one hand, the presence of two distinct regimes for all the considered markets, namely a low volatility regime and a high volatility regime. More precisely, the high volatility regime coincides with the major economic and political events that occurred during the period under study. On the other hand, evidence shows that gold can act as a weak hedge and a strong safe haven against extreme Islamic stock market movements. This result has significant implications for portfolio diversification and hedging strategy choice.

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