Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal Journal of Islamic Monetary Economics and Finance
Trabelsi, Nader
Unknown Affiliation
Economics, Econometrics & Finance

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
BETTER SAFE HAVENS DURING COVID-19: A COMPARISON BETWEEN ISLAMIC AND SELECTED FINANCIAL ASSETS Ben Haddad, Hedi; Trabelsi, Nader
Journal of Islamic Monetary Economics and Finance Vol. 7 (2021): Special issue 1: Islamic Economy and Finance in times of Covid-19 Pandemic
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/jimf.v7i0.1343

Abstract

This study examines the safe haven properties of six assets (the S&P Technology Index, S&P GSCI Commodity Index, bitcoin, the Dow Jones Islamic Equity Index, the Dow Jones Global Sukuk Index and US Treasury bonds) during contiguous infectious diseases, employing the equity index returns of three regional markets (S&P500, S&P Europe, and S&P Asia-Pacific) over the period 2010 - 2020 Q2. In the research, information-rich methodological tools such as the Markov switching approach and the DCC-GARCH model are used. Our results suggest that Sukuk and bonds act as safe havens for different types of investors during the ongoing COVID-19 crisis. This property is, however, is not confirmed for the S&P Technology Index, Commodity Index, bitcoin or the DJ Islamic Equity Index. Moreover, using the time-varying VAR model and the new measure of pandemic uncertainty proposed by Baker et al. (2020), the results demonstrate that the COVID-19 pandemic has led to uncertainty and heightened volatility spillovers among regional equities and the safe haven assets examined. The key results of the study are robust and useful for portfolio managers and investors.
Co-Authors Ben Haddad, Hedi