Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?

This study examines whether the Sharia-compliant stocks measured by Dow Jones Islamic World Emerging Market index (DJIWEM), gold and the U.S. Treasury bills (T-bills) can serve as a hedge and/or a safe-haven asset in the six GCC stock markets, by using a vine copula approach. The results show that GCC and global investors can realize both risk diversification benefits and downside risk reductions during tranquil and downturn periods by including gold or DJIWEM in their portfolios but not the T-bills.