Searching for Safe Havens during the COVID-19 Pandemic: Determinants of Spillovers between Islamic and Conventional Financial Markets

15 Pages Posted: 24 Jun 2020

See all articles by Larisa Yarovaya

Larisa Yarovaya

University of Southampton - Southampton Business School

Ahmed H. Elsayed

Durham University Business School

Shawkat M. Hammoudeh

Montpellier Business School; Drexel University - Lebow College of Business

Date Written: June 11, 2020

Abstract

We analyse the impact of the COVID-19 pandemic on spillover between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, and Bitcoin prices, VIX and EPU index affect the relationships between these markets during the COVID-19 pandemic. The results show that the Islamic bonds (Sukuk) demonstrate safe haven properties during this pandemic, while the spillovers between conventional and Islamic stock markets become stronger during the pandemic. COVID-19, Oil and gold are strong predictors of conventional-Islamic markets spillovers, while Bitcoin is not a significant determinant of these relationships.

Keywords: COVID-19, spillover effect, Islamic markets, gold, oil, Bitcoin

JEL Classification: C58; F3; G15

Suggested Citation

Yarovaya, Larisa and Elsayed, Ahmed Hamed and Hammoudeh, Shawkat M., Searching for Safe Havens during the COVID-19 Pandemic: Determinants of Spillovers between Islamic and Conventional Financial Markets (June 11, 2020). Available at SSRN: https://ssrn.com/abstract=3634114 or http://dx.doi.org/10.2139/ssrn.3634114

Larisa Yarovaya

University of Southampton - Southampton Business School ( email )

Highfield
University Road
Southampton, SO17 1BJ
United Kingdom

Ahmed Hamed Elsayed (Contact Author)

Durham University Business School ( email )

Mill Hill Lane
Durham, DH1 3LB
United Kingdom

Shawkat M. Hammoudeh

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, 34080
France

Drexel University - Lebow College of Business ( email )

3141 Chestnut Street
Philadelphia, PA 19104
United States
2158956673 (Phone)
2158956975 (Fax)

HOME PAGE: http://faculty.lebow.drexel.edu/HammoudehS/

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