DO ISLAMIC CRYPTOCURRENCIES PROVIDE DIVERSIFICATION OPPORTUNITIES TO INDONESIAN ISLAMIC INVESTORS?

  • Syed Aun R. Rizvi Suleman Dawood School of Business, Lahore University of Management Sciences, Lahore, Pakistan
  • Mohsin Ali Taylor’s Business School, Taylor’s University, Malaysia
Keywords: COVID-19; Islamic Gold-Backed Cryptocurrencies, Indonesian Islamic equity Investors, Wavelet, Multivariate Generalized Autoregressive Conditional Heteroscedastic-Dynamic Conditional Correlation (MGARCH-DCC).

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 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.

Published
2022-08-30
How to Cite
Rizvi, S. A. R., & Ali, M. (2022). DO ISLAMIC CRYPTOCURRENCIES PROVIDE DIVERSIFICATION OPPORTUNITIES TO INDONESIAN ISLAMIC INVESTORS?. Journal of Islamic Monetary Economics and Finance, 8(3). https://doi.org/10.21098/jimf.v8i3.1563
Section
Articles