Does Bitcoin Provide a Hedge to Islamic Stock Markets During and Post-COVID-19 Outbreak? Evidence From Asia Based on a Multivariate-GARCH Approach

Abstract

This paper applies the DCC-MGARCH model to investigate the role of Bitcoin as a hedge for Islamic stocks in Asia during the COVID-19 pandemic. Despite being a highly volatile cryptocurrency, evidence of low dynamic correlation between Bitcoin and Islamic stocks is confirmed across the Asian region. We find that Bitcoin’s diversification benefits improve towards the later stages of the pandemic when countries were transitioning to an endemic phase.