A closer look from diversification perspectives with Bitcoin, Gold, Oil and Stock Marketsduring COVID-19 Pandemic

The emergence of new asset classes such as Islamic assets and digital assets offers avenues to international investment community however understanding relationship between any assets in a single portfolio is important. Weinvestigate the risk dependence between daily Bitcoin DJWI,DJIM,Gold andOil prices spanning over from the 2nd of December 2019 to the 31st of May2021. We start by examining long memory properties and report significantresults. Our methodology consists to construct two types of portfolio, onewith the Islamic Dow Jones Islamic index and one with the ConventionalDow Jones index. We refer to the model proposed by Braïek et al (2020)the Mean-CoVaR to obtain the optimal weights. We find that the frontier ofthe portfolio with (DJWI) out performs the frontier of the portfolio with DJIM.Our results suggest that the inclusion of DJIW into diversified portfolio maybe profitable during the pandemic, serving therefore as risk diversifier. Weshow that our results are robust to the period of the recent market fluctuationscaused by COVID-19. JEL classification : C51; C52; C58; G11; G17