Eurasian Journal of Business and Economics

19-33

Authors: Sruthy MADHAVAN, Sreejith S

During the period of extreme financial turmoil, investors will include hedge and safe- haven assets in their portfolios. The present study looked at the dynamic link between gold return and the world stock return during crises. The study examined the conditional correlation between world stock and gold return. It investigated the usefulness of gold as a safe haven for stocks in the bear markets from January 2001 to June 2021 using daily MSCI stock index and gold price data. The crisis period is defined as the bear stock market in the present study, and bear markets were identified using the algorithm of Pagan and Sossounov (2003). Seven bear markets were identified for the purpose of the study. A combination of the DCC-GARCH model and OLS regression were employed to determine the relationship between gold and the MSCI world stock index. The study found that the dynamic conditional correlations are primarily negative in the bear markets under investigation. Gold performs the role of a safe haven for all bear markets except for the bear market from 2004-02-27 to 2004-06-30. It was concluded that gold acts as a robust, safe haven during turmoil and safe haven property depends on the severity of stock price changes. The findings have implications for policymakers and investors.

51-66

Authors: Irfan DJEDOVIĆ, Hisham KHALLAF

The main objective of the study is to empirically investigate the impact of the Conventional stock market index on the Islamic stock market index and the comparative performance of the two stock market indexes. For the purpose of the study, daily observations of Dow Jones Islamic Market US Titans 50 (DJUS50) and Dow Jones Composite Index (DJA) spanning a period from January 2015 until December 2021 are obtained from the Investing.com database. Risk-adjusted performance, VAR model, granger-causality test, generalized impulse response functions, and Johansen cointegration tests are used to investigate the behavior and performance of the Islamic market index empirically. Results based on risk-adjusted performance indicate that the Islamic market index performs better than the Conventional market index. Furthermore, the results suggest no long-run association between the indexes, while there is short-run bidirectional causality. This study will contribute both to the literature and practice. It will contribute to the already existing literature through the usage of the newest data, while the practical implication will help investors to better understand the behavior of the Islamic stock market index.