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All Journal Journal of Islamic Monetary Economics and Finance
Bayu Adi Nugroho
Independent Researcher, Indonesia
Economics, Econometrics & Finance

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Diversifying Islamic Haven Assets Bayu Adi Nugroho
Journal of Islamic Monetary Economics and Finance Vol. 11 No. 3 (2025)
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/jimf.v11i3.2327

Abstract

This study reassesses the safe haven properties of gold and Sukuk using a new framework that incorporates nonstationary volatility and proposes a trading strategy to construct a gold – Sukuk – Islamic equities portfolio that can outperform the hard-to-beat naïve method and the covariance-based approaches. In line with previous studies, it employs data of four exchange-traded funds: Dow Jones Global Sukuk, Wahed FTSE USA Shariah, MSCI Emerging Market Islamic, and SPDR Gold. In the study, an enhanced version of wavelet quintile correlation is proposed to re-evaluate the haven qualities of gold and Sukuk. The results show that gold and Sukuk are safe haven assets. Next, applying a dual momentum strategy, we demonstrate that the risk-adjusted returns of our proposed trading strategy outshine the naïve method and the covariance-based approaches. Our research employs real returns and a rolling window approach to avoid money illusion, overfitting, look-ahead bias, and flawless hindsight. The main results prevail in the robustness tests.
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