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Do Islamic Cryptocurrencies Provide Diversification Opportunities to Indonesian Islamic Investors?
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 Multivariate Generalized Autoregressive Conditional Heteroscedastic-Dynamic Conditional Correlation (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.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Majalah) | 1 |
| Penerbit | Jakarta: Bank Indonesia 2022 |
|---|---|
| Edisi | Volume 8, number 3, 2022 |
| Subjek | Diversification Islamic cryptocurrencies Indonesian investors |
| ISBN/ISSN | 2460-6618 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 500 p. |
| Info Detail Spesifik | Journal of Islamic Monetary Economics and Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |