标题：Does the Shari'ah screening impact the gold-stock nexus? A sectorial analysis
作者：Thi-Hong-Van Hoang; Zhu, Zhenzhen; El Khamlichi, Abdelbari; Wong, Wing-Keung
作者机构：[Thi-Hong-Van Hoang] Montpellier Business Sch, Montpellier Res Management, Montpellier, France.; [Zhu, Zhenzhen] Shandong Univ Finance & Econ, Sch S 更多
通讯作者：Hoang, ThiHongVan;Hoang, THV;Hoang, THV
通讯作者地址：[Hoang, THV]Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier, France;[Hoang, THV]Montpellier Res Management, 2300 Ave Moulins, F-34185 更多
关键词：Gold; Stock portfolios; Shari'ah screening; Economic sectors; Risk; aversion
摘要：This article investigates the relationship between stocks and gold while considering the impact of the Shari'ah screening applied by Dow Jones. The main contribution of this paper relies on the distinction between risk averse and risk-seeking investors as well as between stocks' sectors. Using daily data from the Dow Jones indexes and the London gold market over the 2002-2014 period, the results show that there is a significant difference between Shari'ah-compliant and conventional stocks for most sectors. Risk-averters prefer investing in conventional stocks, while risk-seekers prefer investing in Shari'ah-compliant stocks. Considering the role of gold, risk-averters prefer investing in portfolios with gold, while risk-seekers prefer investing in portfolios without gold, regardless of Shari'ah-compliant or conventional stocks. A time-varying analysis shows that gold is a safe haven for risk-averse investors in downward periods of stocks' prices.