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All Journal Journal of Islamic Monetary Economics and Finance
Mohsin Ali
Taylor’s Business School, Taylor’s University, Malaysia
Economics, Econometrics & Finance

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DO ISLAMIC CRYPTOCURRENCIES PROVIDE DIVERSIFICATION OPPORTUNITIES TO INDONESIAN ISLAMIC INVESTORS? Syed Aun R. Rizvi; Mohsin Ali
Journal of Islamic Monetary Economics and Finance Vol 8 No 3 (2022)
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/jimf.v8i3.1563

Abstract

This study examines whether Islamic gold-backed cryptocurrencies (Onegram and X8X) provide any diversification benefits to the Islamic investors of Indonesia. We study the co-movements between return and volatility of cryptocurrencies and Indonesian Islamic equity indices during the pre-COVID-19 and COVID-19 periods. We employ Multivariate Generalized Autoregressive Conditional Heteroscedastic-Dynamic Conditional Correlation (M-GARCH-DCC) and Continuous Wavelet Transforms (CWT) for this study. We find that the COVID-19 crisis enhanced the spillover effect among the Islamic gold-backed cryptocurrencies and Islamic equities. We also provide evidence that Indonesian investors may invest in cryptocurrencies to minimize the equity sector risks during the pandemic. Our results bear significant implications for portfolio diversification strategies for Indonesian investors.
Co-Authors Syed Aun R. Rizvi