Hedging Effectiveness of Bitcoin Against the Islamic and Conventional Stocks Markets During Covid-19

Abstract

This study investigates the hedging effectiveness of bitcoin against Islamic and conventional stock markets, the data used in this research is taken from data stream, for conventional stock market, the data was selected from Pakistan KSE 100 and India NIFTY 500, whereas data for Islamic stocks were taken from the MSCI indices for the period spanning from July, 16, 2010 to Dec 21, 2022. Bitcoin data was extracted online which also consisted of daily closing prices. These data set series was tested by using NARDL method to check the hedging effectiveness of bitcoin. The data is tested for stationarity then applied ARDL Auto Regressive Distributed Lag and finally it is being tested using the NARDL method Non Linear Auto Regressive Distributed Lag. Study finds that Bitcoin has a hedging effectiveness on conventional and Islamic stock, as the results of NARDL were insignificant indicating hedging effectiveness of bitcoin against Conventional and Islamic stocks