Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions
Naeem M.A. Qureshi F. Arif M. Balli F.
August 2021Elsevier Ltd
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2021#72
We investigate the interdependence between the returns of gold and Dow Jones world Islamic index along with ten Islamic sectoral indices using quantile based methodologies that ascertain the interdependence under various market conditions. Our quantile-on-quantile (QQR) regression results confirm the asymmetric relationship between gold and Islamic indices returns. Additionally, we find gold to be a diversifier for the overall Islamic equity index and most of the Islamic stock sectors during normal market conditions. Moreover, using a cross-quantilogram (CQ) approach, we ascertain the lead-lag relationship between gold and Islamic indices, finding gold to offer limited safe-haven potential only for non-cyclical industries. Notably, using Islamic sectoral indices, our study contributes to the extant literature by reconciling the contradicting evidence on golds ability to provide safe-haven avenues for Islamic equity investors as we identify the sectors where gold possesses the notable safe-haven potential and otherwise.
Asymmetry , Cross-quantilogram , Gold , Islamic stocks , Quantile-on-Quantile
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School of Economics and Finance, Massey University, New Zealand
UCD College of Business, University College Dublin, Ireland
Institute of Business Administration, University of Sindh, Jamshoro, Pakistan
Department of Business Administration, Shaheed Benazir Bhutto University, Shaheed Benazirabad, Pakistan
Al-Farabi Kazakh National University, Alamty, Kazakhstan
School of Economics and Finance
UCD College of Business
Institute of Business Administration
Department of Business Administration
Al-Farabi Kazakh National University
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