Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach

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buir.contributor.authorŞensoy, Ahmet
dc.citation.epage101230-21en_US
dc.citation.spage101230-1en_US
dc.citation.volumeNumber53en_US
dc.contributor.authorMensi, W.
dc.contributor.authorRehman, M. U.
dc.contributor.authorMaitra, D.
dc.contributor.authorAl-Yahyaee, K. H.
dc.contributor.authorŞensoy, Ahmet
dc.date.accessioned2021-03-05T08:03:03Z
dc.date.available2021-03-05T08:03:03Z
dc.date.issued2020
dc.departmentDepartment of Managementen_US
dc.description.abstractThis paper examines the co-movements between Bitcoin (BTC) and the Dow Jones World Stock Market Index, regional Islamic stock markets, and Sukuk markets. We apply cross wavelet transform and wavelet coherence analysis with a wavelet-based measure of value at risk. The co-movement is stronger and in the same direction at lower frequencies, suggesting the benefits from diversification with BTC are relatively less for long-term investors compared to short-term investors. Co-movement in the opposite direction at high frequencies implies better benefits of hedging in the short run through diversification in BTC and Islamic equity markets. Robustness tests show that the correlations increase as we increase from an investment horizon of two days to one of 64 days. The frequency-domain causality test shows significant causality flow from BTC to the Islamic market of Asia-Pacific, Japan, and Sukuk markets in the short term. Additionally, BTC is found to lead Asia-Pacific Islamic stock markets in the long term. Finally, we note that the benefits of portfolio diversification with BTC and Islamic assets vary across time and frequencies.en_US
dc.description.provenanceSubmitted by Zeynep Aykut (zeynepay@bilkent.edu.tr) on 2021-03-05T08:03:03Z No. of bitstreams: 1 Does_bitcoin_co_move_and_share_risk_with_Sukuk_and_world_and_regional_Islamic_stock_markets.pdf: 6419898 bytes, checksum: 24991a37db5300c0d280c07877107a56 (MD5)en
dc.description.provenanceMade available in DSpace on 2021-03-05T08:03:03Z (GMT). No. of bitstreams: 1 Does_bitcoin_co_move_and_share_risk_with_Sukuk_and_world_and_regional_Islamic_stock_markets.pdf: 6419898 bytes, checksum: 24991a37db5300c0d280c07877107a56 (MD5) Previous issue date: 2020en
dc.embargo.release2023-10-01
dc.identifier.doi10.1016/j.ribaf.2020.101230en_US
dc.identifier.issn0275-5319
dc.identifier.urihttp://hdl.handle.net/11693/75821
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.ribaf.2020.101230en_US
dc.source.titleResearch in International Business and Financeen_US
dc.subjectBitcoinen_US
dc.subjectIslamic stock marketen_US
dc.subjectSukuken_US
dc.subjectCo-movementen_US
dc.subjectVaR-based wavelet approachen_US
dc.titleDoes bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approachen_US
dc.typeArticleen_US

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