Slah Bahloul, Mourad Mroua, Nader Naifar and nader naifar
This paper aims to investigate whether Islamic indexes, Bitcoin and gold still act as hedges or/and “safe-haven” assets during the COVID-19 pandemic crisis. This paper examines…
Abstract
Purpose
This paper aims to investigate whether Islamic indexes, Bitcoin and gold still act as hedges or/and “safe-haven” assets during the COVID-19 pandemic crisis. This paper examines the role of the Morgan Stanley Capital International all-country world index, Islamic index, gold and Bitcoin as a hedge or safe-haven asset for the world conventional stock market over the period from April 30, 2015 to March 27, 2020.
Design/methodology/approach
In this paper, the authors re-evaluate the hedge and safe haven properties of Islamic indexes, gold and Bitcoin following Baur and Lucey’s (2010) and Baur and McDermott’s (2010) methodology.
Findings
Empirical results show that the Islamic index is not a hedge or a safe haven asset for the world conventional stock market during the recent coronavirus crisis period. Different from the whole period, the authors find that gold is a strong hedge but only a weak safe or is not a safe haven during the coronavirus sub-period. Bitcoin reports distinctive properties, as it acts as a weak hedge and not a safe-haven asset.
Originality/value
This paper is the first study that investigates whether the global Islamic index still acts as hedges or “safe-haven” assets during the new COVID-19 crisis period. The results can help investors make informed decisions when adding cryptocurrencies and Islamic indexes to their portfolios during the coronavirus crisis.
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Nader Naifar and Sohale Altamimi
This paper investigates the impact of global sentiment and various coronavirus disease 2019 (COVID-19)-related media coverage news (Media-Hype index; Panic Index; Media Coverage…
Abstract
Purpose
This paper investigates the impact of global sentiment and various coronavirus disease 2019 (COVID-19)-related media coverage news (Media-Hype index; Panic Index; Media Coverage Index, infodemic index and coronavirus statistics) on the dynamics of bitcoin returns during the COVID-19 pandemic using an asymmetric framework.
Design/methodology/approach
The authors use an asymmetric framework based on quantile regression (QR) and quantile-on-quantile regression.
Findings
QR results show that COVID-19 panic news negatively affects bitcoin market returns at times of extreme bearish. However, COVID-19 bullish sentiment negatively impacts bitcoin market returns during bullish market conditions. Quantile-on-quantile approach's (QQA) empirical results show that the effects of COVID-19-related news on bitcoin returns were heterogeneous, mainly negative and varied across quantiles.
Research limitations/implications
The authors find some significant differences regarding the impact of news on bitcoin return dynamics compared to stock markets, suggesting the safe-haven role of bitcoin against stock during the ongoing epidemic.
Practical implications
The authors find some significant differences regarding the impact of news on bitcoin return dynamics compared to stock markets, suggesting the safe-haven role of bitcoin against stock during the ongoing epidemic.
Originality/value
This study contributes to understanding the dynamics of bitcoin returns using various COVID-19 media news.
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Slah Bahloul, Mourad Mroua and Nader Naifar
This paper aims to investigate the hedge, safe-haven and diversifier properties of Islamic indexes, Bitcoin and gold for ten of the most affected countries by the coronavirus…
Abstract
Purpose
This paper aims to investigate the hedge, safe-haven and diversifier properties of Islamic indexes, Bitcoin and gold for ten of the most affected countries by the coronavirus, which are the USA, Brazil, the UK, Italy, Spain, Germany, France, Russia, China and Malaysia.
Design/methodology/approach
This research uses the Ratner and Chiu (2013) methodology based on the dynamic conditional correlation models to improve Baur and McDermott (2010). The authors adopt a careful investigation of the features of a diversifier, hedge and safe haven using the dynamic conditional correlation–GARCH and quantile regression models.
Findings
Empirical results indicate that Islamic indexes are not considered as hedge assets for the conventional market for all studied countries during the COVID-19 pandemic crisis period. However, gold works as a strong hedge in all countries, except for Brazil and Malaysia. Bitcoin is a strong hedge in the USA and a strong hedge and safe haven in China.
Practical implications
International investors in China and the US stock markets should replace Islamic indexes with Bitcoin in their conventional portfolio of securities during the pandemic.
Originality/value
To the best of the authors’ knowledge, this is the first paper that re-evaluates the hedge, safe-haven and diversifier properties of Islamic indexes, Bitcoin and gold for ten of the most affected countries by the coronavirus.
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The aim of this paper is to study the impact of equity returns volatility of reference entities on credit‐default swap rates using a new dataset from the Japanese market.
Abstract
Purpose
The aim of this paper is to study the impact of equity returns volatility of reference entities on credit‐default swap rates using a new dataset from the Japanese market.
Design/methodology/approach
Using a copula approach, the paper models the different relationships that can exist in different ranges of behavior. It studies the bivariate distributions of credit‐default swap rates and equity return volatility estimated with GARCH (1,1) and focus on one parameter Archimedean copula.
Findings
First, the paper emphasizes the finding that pairs with higher rating present a weaker dependence coefficient and then, the impact of equity returns volatility on credit‐default swap rates is higher for the lowest rating class. Second, the dependence structure is positive and asymmetric indicating that protection sellers ask for higher credit‐default swap returns to compensate the higher credit risk incurred by low rating class.
Practical implications
The paper has several practical implications that are of value for financial hedgers and engineers, loan market participants, financial regulators, government regulators, central banks, and risk managers.
Originality/value
The paper also illustrates the potential benefits of equity returns volatility of reference entities as a proxy of default risk. These simplifications could be lifted in future research on this theme.
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Wafa Mohammed Ali Nasr and Aznan Hasan
This paper focuses on the different Shari’ah resolutions on preference shares. This study aims to provide a systematic review to cover all authentic, peer-reviewed literature on…
Abstract
Purpose
This paper focuses on the different Shari’ah resolutions on preference shares. This study aims to provide a systematic review to cover all authentic, peer-reviewed literature on this issue between the years 2001 and 2020.
Design/methodology/approach
This library research combines, compares and contrasts the discussions and the results of all these papers besides the opinions and discussions of some renowned scholars in the field.
Findings
The aim of this paper was met as every research during that period was included and scrutinized which resulted in a comprehensive knowledge about the presence shares.
Research limitations/implications
One of the limitations was the limited research on the Shari’ah issues in preference shares as a regulatory capital that meets Basel III accords.
Originality/value
This paper will be the reference for any researcher who wants to add value on this issue and to start from where researchers ended.
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Roslina Mohamad Shafi and Yan-Ling Tan
This study aims to explore the evolution of the Islamic capital market (ICM) from the perspective of research publications.
Abstract
Purpose
This study aims to explore the evolution of the Islamic capital market (ICM) from the perspective of research publications.
Design/methodology/approach
A bibliometric analysis was applied based on selected publications from the Web of Science Core Collection (WoSCC) database from 2000 to 2021. The study adopted VOSviewer software which was developed by Leiden University.
Findings
This study has some implications that need urgent action. Firstly, there are some areas that have received little attention among researchers, although they are relevant to the industry, for instance, in fintech and blockchain in ICM. Secondly, the inconsistent frequency of publications in some niche areas may suggest that there are unprecedented events that hinder further research; probably, the researcher may anticipate more information and progress in the industry. Thirdly, the need to strengthen the collaboration between industry and academia to advance research.
Research limitations/implications
This study considered only the WoSCC database. The provider of WoSCC is Clarivate (formerly known as Thomson Reuters), where access to publications is limited to institutional subscribers. The implications of this study are to identify and propose future research trends in the field of ICM.
Originality/value
To the best of the authors’ knowledge, the present study is among the pioneer studies in analysing bibliometric focusing on ICM. Previous research has focused on Islamic finance and banking, and not specifically on ICM. Accordingly, this study sheds light on research gaps in ICM.
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Bashir Tijjani, Murtaza Ashiq, Nadeem Siddique, Muhammad Ajmal Khan and Aamir Rasul
The purpose of this study is to provide quantitative information on the growth of Islamic finance literature. The study focused on publishing trends, countries producing research…
Abstract
Purpose
The purpose of this study is to provide quantitative information on the growth of Islamic finance literature. The study focused on publishing trends, countries producing research on Islamic finance, key authors, major contributing organizations, authorship patterns, keywords and articles with the highest citations.
Design/methodology/approach
Bibliometric analysis is applied to analyse the growth and publishing trends in Islamic finance literature. The Web of Science (WoS) database was used to extract bibliometric data covering the period 1939–2019 for Islamic finance literature.
Findings
The study finds that Islamic finance research has gained remarkable momentum in the literature. However, such growth is largely manifested in Malaysia because of a conducive atmosphere for this type of research. Interestingly, the study finds that the three most productive journals are located in the UK and Malaysia, while Professor M. Kabir Hassan from the University of New Orleans, the USA appears to head the list of authors with 23 publications on Islamic finance.
Practical implications
This study provides up-to-date literature on the current state of Islamic finance in the world; as a result, it supports the development of policies by the Islamic finance industry. The findings of the study also serve as a reference point for Islamic finance training and educational institutions.
Originality/value
Islamic finance is an emerging financial discipline; as such, there is a need for more awareness of this financial system in the world. Muslim-majority countries, especially Saudi Arabia, Turkey, Indonesia, the United Arab Emirates (UAE), Pakistan and Bahrain, have to include Islamic finance in their curriculum and establish research institutions and research journals. In addition, Arabic language journals should be indexed in WoS and/or Scopus to provide a high-quality publication platform. This study provides a more comprehensive bibliometric analysis on the growth of Islamic finance literature (1939–2019) in the WoS database; most of the prior studies have covered relatively few areas of focus and a lower range of years in some cases.
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This paper aims to investigate the connectedness of Islamic Stock Markets in five regional financial systems, namely, the United States, the United Kingdom, Europe (EU), GCC (Gulf…
Abstract
Purpose
This paper aims to investigate the connectedness of Islamic Stock Markets in five regional financial systems, namely, the United States, the United Kingdom, Europe (EU), GCC (Gulf Cooperation Council) and APAC (Asia-Pacific Countries), and across different asset classes (i.e. bonds, gold and crude oil).
Design/methodology/approach
This methodology is inspired by Diebold and Yilmaz (2012) and Barunlik and Krehlik (2017) for performing dynamic variance decomposition network and for studying time–frequency dynamics of connectedness at different frequencies.
Findings
Results show that the nature of connectedness over the past decade is time–frequency dynamics. The decomposition of the total volatility spillovers is mostly dominated by the long-run component. Furthermore, dominant regions are the largest contributors of spillover index, with the lowest contribution in the system coming from the GCC market. Results also reveal a slightly higher volatility spillover index of Islamic than conventional equity indexes. Finally, the system that encompasses commodities and Islamic finance instruments, generates the much lower volatility spillover.
Originality/value
The findings have significant implications for portfolio managers who are interested in being able to predict asset returns, as well as for policymakers who are concerned with market stability.