Abstract

This study draws a comparison between the Global Financial Crisis (GFC) and the COVID-19 pandemic crisis to assess the safe-haven potential of Islamic stocks for G7 stock markets. We employ the cross-quantilogram framework of Han et al., which considers the non-linearity in the relationship, and thus captures the correlation between the Islamic and G7 stock markets across various quantiles reflecting different market conditions. The analysis also includes the time-varying cross-quantile correlation to observe the evolution of Islamic stocks' safe-haven potential. Our full sample analysis shows that Islamic stocks do not exhibit safe-haven properties for G7 stock markets. During the GFC period, Islamic stocks show some diversification benefits for the G7 stock markets. Notably, Islamic stocks emerged as a robust safe-haven asset for the G7 stock markets during the pandemic crisis. The study carries essential insights for equity investors and regulators of G7 and other countries to implement diversification/hedging strategies that would involve Islamic stocks to protect equity investments and the overall financial system amid the financial downturns.

摘要

本研究比较了全球金融危机 (GFC) 和 COVID-19 大流行危机，以评估伊斯兰股票对 G7 股票市场的避险潜力。我们采用 Han 等人的交叉分位数图框架，该框架考虑了关系中的非线性，从而捕捉了伊斯兰和 G7 股票市场在反映不同市场条件的各种分位数上的相关性。该分析还包括随时间变化的交叉分位数相关性，以观察伊斯兰股票避险潜力的演变。我们的完整样本分析表明，伊斯兰股票不具备 G7 股票市场的避险属性。在全球金融危机期间，伊斯兰股票为 G7 股票市场显示出一些多元化收益。尤其，在大流行危机期间，伊斯兰股票成为 G7 股票市场的强大避险资产。该研究为 G7 和其他国家的股权投资者和监管机构实施多元化/对冲策略提供了重要的见解，这些策略将涉及伊斯兰股票，以在金融低迷时期保护股权投资和整体金融体系。