Resources Policy ( IF 10.2 ) Pub Date : 2021-03-21 , DOI: 10.1016/j.resourpol.2021.102067 Muhammad Abubakr Naeem , Fiza Qureshi , Muhammad Arif , Faruk Balli
We investigate the interdependence between the returns of gold and Dow Jones world Islamic index along with ten Islamic sectoral indices using quantile based methodologies that ascertain the interdependence under various market conditions. Our quantile-on-quantile (QQR) regression results confirm the asymmetric relationship between gold and Islamic indices returns. Additionally, we find gold to be a diversifier for the overall Islamic equity index and most of the Islamic stock sectors during normal market conditions. Moreover, using a cross-quantilogram (CQ) approach, we ascertain the lead-lag relationship between gold and Islamic indices, finding gold to offer limited safe-haven potential only for non-cyclical industries. Notably, using Islamic sectoral indices, our study contributes to the extant literature by reconciling the contradicting evidence on gold's ability to provide safe-haven avenues for Islamic equity investors as we identify the sectors where gold possesses the notable safe-haven potential and otherwise.
中文翻译:
在看跌,正常和看涨的市场条件下黄金和伊斯兰股票之间的不对称关系
我们使用基于分位数的方法来研究黄金和道琼斯世界伊斯兰指数以及十个伊斯兰部门指数之间的相互依存关系,这些方法可以确定在各种市场条件下的相互依存关系。我们的分位数分位数(QQR)回归结果证实了黄金与伊斯兰指数收益率之间的不对称关系。此外,我们发现,在正常市场条件下,黄金是整体伊斯兰股票指数和大多数伊斯兰股票行业的分散资产。此外,使用交叉量子图(CQ)方法,我们确定了黄金与伊斯兰指数之间的超前-滞后关系,发现黄金仅为非周期性行业提供了有限的避险潜力。值得注意的是,使用伊斯兰部门指数,