Searching for Safe Havens during the COVID-19 Pandemic: Determinants of Spillovers between Islamic and Conventional Financial Markets
15 Pages Posted: 24 Jun 2020
Date Written: June 11, 2020
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: Suggested Citation