The Stability of Islamic Cryptocurrencies and Copula-Based Dependence with Alternative Crypto and Fiat Currencies

نویسندگان

چکیده

Purpose — This study aims to examine Islamic cryptocurrencies and their dependency on foreign exchange markets in vine copula architecture (CD-Vine) provide a framework for detecting complex dependence structures, risk management implications, hedging effectiveness.
 Design/Methodology/Approach used gold-backed three fiat currencies. The approach was preferred because it applies several distributions estimates dependencies. Hedging effectiveness measured by constructing simulation-based portfolios optimised with DCC-t-Copula. Benford’s law realized variance were determine the stability of cryptocurrencies.
 Findings According C-Vine D-Vine models, paper money has weak tail cryptocurrencies. Only OneGram coin, whose volatility matched Bitcoin, showed zero irregularities volume trading. findings robust different estimations based Minimum Spanning Tree Dendrogram.
 Originality/Value is first cryptocurrencies’ significance under copula-based approach.
 Research Limitations did not apply time-varying copula.
 Practical Implications perspective shows insignificant hedge portfolio

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ژورنال

عنوان ژورنال: ISRA international journal of Islamic finance

سال: 2023

ISSN: ['2289-4365', '0128-1976']

DOI: https://doi.org/10.55188/ijif.v15i2.543