Abstract
This study investigated the safe-haven role of two gold-backed Islamic cryptocurrencies, i.e., OneGram Coin (OGC) and X8X Token (X8X), for 15 Islamic equity indices at the global, regional, and country levels. For this purpose, we used four-moment modified value at risk, dynamic conditional correlation-based hedge and safe-haven hypotheses, directional spillover in quantiles, and daily data from February 17, 2019, to May 5, 2021, including the post-pandemic period from February 1, 2020, to May 5, 2021. Based on the findings, OGC was a strong safe-haven for several Islamic equity markets, especially during the COVID-19 pandemic. We also constructed two novel polarity and subjectivity measures using natural language processing, which indicated that when negativity in the market (e.g., polarity, subjectivity, and economic/market uncertainty) is higher on social media platforms, OGC produces positive returns in order to reduce the losses in equity indices. These results hold after controlling for trading volume.