Rehan, Raja, Shah Zafar, Bahadur, Ullah, Ehsan, Zandi, Gholam Reza. (1405). Bitcoin and Gold in Data-Driven Financial Risk Modelling: A Time-Varying Analytics Framework for Dual Financial Markets. , 18(3), 108-132. doi: 10.22059/jitm.2026.108006
Raja Rehan; Bahadur Shah Zafar; Ehsan Ullah; Gholam Reza Zandi. "Bitcoin and Gold in Data-Driven Financial Risk Modelling: A Time-Varying Analytics Framework for Dual Financial Markets". , 18, 3, 1405, 108-132. doi: 10.22059/jitm.2026.108006
Rehan, Raja, Shah Zafar, Bahadur, Ullah, Ehsan, Zandi, Gholam Reza. (1405). 'Bitcoin and Gold in Data-Driven Financial Risk Modelling: A Time-Varying Analytics Framework for Dual Financial Markets', , 18(3), pp. 108-132. doi: 10.22059/jitm.2026.108006
Rehan, Raja, Shah Zafar, Bahadur, Ullah, Ehsan, Zandi, Gholam Reza. Bitcoin and Gold in Data-Driven Financial Risk Modelling: A Time-Varying Analytics Framework for Dual Financial Markets. , 1405; 18(3): 108-132. doi: 10.22059/jitm.2026.108006

Bitcoin and Gold in Data-Driven Financial Risk Modelling: A Time-Varying Analytics Framework for Dual Financial Markets

Journal of Information Technology Management
دوره 18، شماره 3، 2026، صفحه 108-132    اصل مقاله (1.6 M)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/jitm.2026.108006
نویسندگان
Raja Rehan1؛ Bahadur Shah Zafar2؛ Ehsan Ullah3؛ Gholam Reza Zandi* 4
1College of Business Management, Institute of Business Management, Pakistan.
2Institute of Business Studies, Kohat University of Science and Technology, Pakistan.
3Graduate School of Economics, Ural Federal University, Russia; Institute of Business Studies, Kohat University of Science and Technology, Pakistan.
4Business School, Universiti Kuala Lumpur, Malaysia.
چکیده
This study examines the time-varying relationships and hedging properties of Bitcoin and gold with respect to Pakistani Islamic and conventional equity markets, the exchange rate, and inflation under conditions of economic turbulence. Using daily data from August 1, 2010, to March 1, 2024, the study employs a data-driven Dynamic Conditional Correlation GARCH (DCC-GARCH) framework combined with an extreme quantile approach to conduct the empirical analysis. The results show that gold serves as a strong hedge against both conventional and Islamic stocks, as well as against exchange rate and inflation. Moreover, gold has strong protective ability against declines in conventional stocks, exchange rate risk, and high inflation risk. Further, Bitcoin is found to act not only as a hedge against conventional stocks but also as a diversifier for the Islamic stock index. However, it fails to play a safe-haven role against both stock markets and inflation risk in turbulent conditions. These findings offer valuable insights for portfolio managers, policymakers, and investors seeking to enhance portfolio risk management during periods of economic uncertainty and market turbulence.
کلیدواژه‌ها
Bitcoin Returns؛ Gold Returns؛ Data-Driven Approach؛ Islamic Stocks؛ Consumer Price Index
مراجع
آمار
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