Discerning the relationship between bitcoin and islamic index

Azland, Adam and Masih, Mansur (2017): Discerning the relationship between bitcoin and islamic index.

Abstract

With recent alarm and focus on Bitcoin , many researchers tried to come up with studies that are related to Bitcoin. This paper tries to do the same but with a focus on the area of Islamic finance. We try to relate Bitcoin and Islamic index to find if there is any relation between these two assets and to find which will stand out if they are put in one portfolio. Since both assets are deemed to be of high risk in nature, it is an interesting topic to be investigated especially if they are put together. This analysis was carried out using the standard time-series approach of cointegration, VECM and VDC. The empirical results evidenced that Bitcoin and Islamic index are theoretically related as they are cointegrated. Another interesting finding in this study unveiled that Islamic index will be more influential than Bitcoin if they are put in one portfolio.

• Item Type: MPRA Paper
• Language: English
• Keywords: Islamic stock Index, Bitcoin, VECM, VDC
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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