Open Access Letter

Time-frequency dependency between stock market volatility, and Islamic gold-backed and conventional cryptocurrencies

by Md. Mamunur Rashid a,*  and  Md. Ruhul Amin a
a
Department of Finance and Banking, Islamic University, Kushtia-7003, Bangladesh
*
Author to whom correspondence should be addressed.
FEL  2023 2(1):6; https://doi.org/10.58567/fel02010001
Received: 1 January 2023 / Accepted: 25 March 2023 / Published Online: 3 April 2023
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Abstract

We extend the Shariah-compliant digital assets and Islamic Fintech literature through exploring the time-frequency associations between the volatility index (VIX) and cryptocurrencies (both Islamic and traditional). Employing wavelet-based technique, we find that Islamic cryptocurrencies demonstrate low or no coherency with stock market volatility compared to traditional cryptocurrencies (except Tether) during the whole time and frequency bands, highlighting the hedging capabilities of Islamic cryptocurrencies. Tether also serves the same against VIX, as there is a low or favorable link between these variables. Finally, our findings would be prolific to digital currency traders and investors in designing the portfolio strategies.

Keywords: Stock market volatility; Islamic gold-backed cryptocurrencies; Conventional cryptocurrencies; Time-frequency dependency;
Copyright: © 2023 by Rashid and Amin. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
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ACS Style
Rashid, M. M.; Amin, M. R. Time-frequency dependency between stock market volatility, and Islamic gold-backed and conventional cryptocurrencies. Financial Economics Letters, 2023, 2, 6. https://doi.org/10.58567/fel02010001
AMA Style
Rashid M M, Amin M R. Time-frequency dependency between stock market volatility, and Islamic gold-backed and conventional cryptocurrencies. Financial Economics Letters; 2023, 2(1):6. https://doi.org/10.58567/fel02010001
Chicago/Turabian Style
Rashid, Md. M.; Amin, Md. R. 2023. "Time-frequency dependency between stock market volatility, and Islamic gold-backed and conventional cryptocurrencies" Financial Economics Letters 2, no.1:6. https://doi.org/10.58567/fel02010001
APA style
Rashid, M. M., & Amin, M. R. (2023). Time-frequency dependency between stock market volatility, and Islamic gold-backed and conventional cryptocurrencies. Financial Economics Letters, 2(1), 6. https://doi.org/10.58567/fel02010001

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