The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets

Wajdi Hamma; Ahmed Ghorbel; Anis Jarboui

doi:doi:10.11648/j.ijebo.20241201.11

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The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets

Wajdi Hamma^*, Ahmed Ghorbel, Anis Jarboui

Published in International Journal of Economic Behavior and Organization (Volume 12, Issue 1)

Received: 24 January 2024 Accepted: 5 February 2024 Published: 2 April 2024

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Abstract

This study investigates optimal hedging ratios for Islamic and conventional stock markets during the COVID-19 pandemic using the DCC (Dynamic Conditional Correlation), ADCC (Asymmetric Dynamic Conditional Correlation), and GO-GARCH (Generalized Orthogonal GARCH) models. The effectiveness of various financial assets as hedges is evaluated, and findings indicate that the DJCOM (Dow Jones Commodity), VISTOXX (Euro STOXX 50 Volatility Index), and VIX (Chicago Board Options Exchange Volatility Index) indices exhibit superior effectiveness across both market types, particularly DJCOM showing exceptional performance during the COVID-19 period. The hedging analysis indicates that the hedge ratios vary and depend upon the hedge instrument included in the portfolio. Furthermore, the empirical results indicate that the global impact of the pandemic diminishes the viability of one of the six assets as a safe haven instrument. In conclusion, these findings provide valuable insights for investors and portfolio managers aiming to utilize Gold, Brent, VISTOXX, VIX, CDS (Credit Default Swap), and DJCOM for portfolio rebalancing to mitigate risks associated with volatile Islamic and conventional stock returns. These conclusions contribute significantly to helping investors adjust their investment strategies more effectively and adapt to changing market conditions.

Published in	International Journal of Economic Behavior and Organization (Volume 12, Issue 1)
DOI	10.11648/j.ijebo.20241201.11
Page(s)	1-24
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

COVID-19, Islamic and Conventional Stock Markets, ADCC and GO-GARCH Models, Rolling Estimation Procedure, Hedging Effectiveness

References

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APA Style

Hamma, W., Ghorbel, A., Jarboui, A. (2024). The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets. International Journal of Economic Behavior and Organization, 12(1), 1-24. https://doi.org/10.11648/j.ijebo.20241201.11

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ACS Style

Hamma, W.; Ghorbel, A.; Jarboui, A. The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets. Int. J. Econ. Behav. Organ. 2024, 12(1), 1-24. doi: 10.11648/j.ijebo.20241201.11

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AMA Style

Hamma W, Ghorbel A, Jarboui A. The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets. Int J Econ Behav Organ. 2024;12(1):1-24. doi: 10.11648/j.ijebo.20241201.11

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@article{10.11648/j.ijebo.20241201.11,
  author = {Wajdi Hamma and Ahmed Ghorbel and Anis Jarboui},
  title = {The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets
},
  journal = {International Journal of Economic Behavior and Organization},
  volume = {12},
  number = {1},
  pages = {1-24},
  doi = {10.11648/j.ijebo.20241201.11},
  url = {https://doi.org/10.11648/j.ijebo.20241201.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijebo.20241201.11},
  abstract = {This study investigates optimal hedging ratios for Islamic and conventional stock markets during the COVID-19 pandemic using the DCC (Dynamic Conditional Correlation), ADCC (Asymmetric Dynamic Conditional Correlation), and GO-GARCH (Generalized Orthogonal GARCH) models. The effectiveness of various financial assets as hedges is evaluated, and findings indicate that the DJCOM (Dow Jones Commodity), VISTOXX (Euro STOXX 50 Volatility Index), and VIX (Chicago Board Options Exchange Volatility Index) indices exhibit superior effectiveness across both market types, particularly DJCOM showing exceptional performance during the COVID-19 period. The hedging analysis indicates that the hedge ratios vary and depend upon the hedge instrument included in the portfolio. Furthermore, the empirical results indicate that the global impact of the pandemic diminishes the viability of one of the six assets as a safe haven instrument. In conclusion, these findings provide valuable insights for investors and portfolio managers aiming to utilize Gold, Brent, VISTOXX, VIX, CDS (Credit Default Swap), and DJCOM for portfolio rebalancing to mitigate risks associated with volatile Islamic and conventional stock returns. These conclusions contribute significantly to helping investors adjust their investment strategies more effectively and adapt to changing market conditions.
},
 year = {2024}
}

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TY  - JOUR
T1  - The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets

AU  - Wajdi Hamma
AU  - Ahmed Ghorbel
AU  - Anis Jarboui
Y1  - 2024/04/02
PY  - 2024
N1  - https://doi.org/10.11648/j.ijebo.20241201.11
DO  - 10.11648/j.ijebo.20241201.11
T2  - International Journal of Economic Behavior and Organization
JF  - International Journal of Economic Behavior and Organization
JO  - International Journal of Economic Behavior and Organization
SP  - 1
EP  - 24
PB  - Science Publishing Group
SN  - 2328-7616
UR  - https://doi.org/10.11648/j.ijebo.20241201.11
AB  - This study investigates optimal hedging ratios for Islamic and conventional stock markets during the COVID-19 pandemic using the DCC (Dynamic Conditional Correlation), ADCC (Asymmetric Dynamic Conditional Correlation), and GO-GARCH (Generalized Orthogonal GARCH) models. The effectiveness of various financial assets as hedges is evaluated, and findings indicate that the DJCOM (Dow Jones Commodity), VISTOXX (Euro STOXX 50 Volatility Index), and VIX (Chicago Board Options Exchange Volatility Index) indices exhibit superior effectiveness across both market types, particularly DJCOM showing exceptional performance during the COVID-19 period. The hedging analysis indicates that the hedge ratios vary and depend upon the hedge instrument included in the portfolio. Furthermore, the empirical results indicate that the global impact of the pandemic diminishes the viability of one of the six assets as a safe haven instrument. In conclusion, these findings provide valuable insights for investors and portfolio managers aiming to utilize Gold, Brent, VISTOXX, VIX, CDS (Credit Default Swap), and DJCOM for portfolio rebalancing to mitigate risks associated with volatile Islamic and conventional stock returns. These conclusions contribute significantly to helping investors adjust their investment strategies more effectively and adapt to changing market conditions.

VL  - 12
IS  - 1
ER  -

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Author Information

Wajdi Hamma

Department of Finance (FESGS), Faculty of Economics and Management, University of Sfax, Sfax, Tunisia

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Ahmed Ghorbel

Department of Finance (FESGS), Faculty of Economics and Management, University of Sfax, Sfax, Tunisia
Anis Jarboui

Department of Finance (ISSAS), Higher Institute of Business Administration, University of Sfax, Sfax, Tunisia

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APA Style

Hamma, W., Ghorbel, A., Jarboui, A. (2024). The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets. International Journal of Economic Behavior and Organization, 12(1), 1-24. https://doi.org/10.11648/j.ijebo.20241201.11

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ACS Style

Hamma, W.; Ghorbel, A.; Jarboui, A. The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets. Int. J. Econ. Behav. Organ. 2024, 12(1), 1-24. doi: 10.11648/j.ijebo.20241201.11

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AMA Style

Hamma W, Ghorbel A, Jarboui A. The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets. Int J Econ Behav Organ. 2024;12(1):1-24. doi: 10.11648/j.ijebo.20241201.11

Copy | Download

@article{10.11648/j.ijebo.20241201.11,
  author = {Wajdi Hamma and Ahmed Ghorbel and Anis Jarboui},
  title = {The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets
},
  journal = {International Journal of Economic Behavior and Organization},
  volume = {12},
  number = {1},
  pages = {1-24},
  doi = {10.11648/j.ijebo.20241201.11},
  url = {https://doi.org/10.11648/j.ijebo.20241201.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijebo.20241201.11},
  abstract = {This study investigates optimal hedging ratios for Islamic and conventional stock markets during the COVID-19 pandemic using the DCC (Dynamic Conditional Correlation), ADCC (Asymmetric Dynamic Conditional Correlation), and GO-GARCH (Generalized Orthogonal GARCH) models. The effectiveness of various financial assets as hedges is evaluated, and findings indicate that the DJCOM (Dow Jones Commodity), VISTOXX (Euro STOXX 50 Volatility Index), and VIX (Chicago Board Options Exchange Volatility Index) indices exhibit superior effectiveness across both market types, particularly DJCOM showing exceptional performance during the COVID-19 period. The hedging analysis indicates that the hedge ratios vary and depend upon the hedge instrument included in the portfolio. Furthermore, the empirical results indicate that the global impact of the pandemic diminishes the viability of one of the six assets as a safe haven instrument. In conclusion, these findings provide valuable insights for investors and portfolio managers aiming to utilize Gold, Brent, VISTOXX, VIX, CDS (Credit Default Swap), and DJCOM for portfolio rebalancing to mitigate risks associated with volatile Islamic and conventional stock returns. These conclusions contribute significantly to helping investors adjust their investment strategies more effectively and adapt to changing market conditions.
},
 year = {2024}
}

Copy | Download

TY  - JOUR
T1  - The Impact of COVID-19 Epidemic on the Hedging Islamic and Conventional Stock Markets with Financial Assets

AU  - Wajdi Hamma
AU  - Ahmed Ghorbel
AU  - Anis Jarboui
Y1  - 2024/04/02
PY  - 2024
N1  - https://doi.org/10.11648/j.ijebo.20241201.11
DO  - 10.11648/j.ijebo.20241201.11
T2  - International Journal of Economic Behavior and Organization
JF  - International Journal of Economic Behavior and Organization
JO  - International Journal of Economic Behavior and Organization
SP  - 1
EP  - 24
PB  - Science Publishing Group
SN  - 2328-7616
UR  - https://doi.org/10.11648/j.ijebo.20241201.11
AB  - This study investigates optimal hedging ratios for Islamic and conventional stock markets during the COVID-19 pandemic using the DCC (Dynamic Conditional Correlation), ADCC (Asymmetric Dynamic Conditional Correlation), and GO-GARCH (Generalized Orthogonal GARCH) models. The effectiveness of various financial assets as hedges is evaluated, and findings indicate that the DJCOM (Dow Jones Commodity), VISTOXX (Euro STOXX 50 Volatility Index), and VIX (Chicago Board Options Exchange Volatility Index) indices exhibit superior effectiveness across both market types, particularly DJCOM showing exceptional performance during the COVID-19 period. The hedging analysis indicates that the hedge ratios vary and depend upon the hedge instrument included in the portfolio. Furthermore, the empirical results indicate that the global impact of the pandemic diminishes the viability of one of the six assets as a safe haven instrument. In conclusion, these findings provide valuable insights for investors and portfolio managers aiming to utilize Gold, Brent, VISTOXX, VIX, CDS (Credit Default Swap), and DJCOM for portfolio rebalancing to mitigate risks associated with volatile Islamic and conventional stock returns. These conclusions contribute significantly to helping investors adjust their investment strategies more effectively and adapt to changing market conditions.

VL  - 12
IS  - 1
ER  -

Copy | Download