Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications
This study examines asymmetric efficiency and connectedness among halal tourism stocks,
green stocks, cryptocurrency, gold, and oil using data covering the period from 2018M12 …
green stocks, cryptocurrency, gold, and oil using data covering the period from 2018M12 …
Return and volatility spillovers among oil price shocks and international green bond markets
We analyse the spillover effects between oil price shocks and green bonds issued in twelve
developed economies. We decompose oil price shocks into demand, risk and supply …
developed economies. We decompose oil price shocks into demand, risk and supply …
Frequency spillovers between oil shocks and stock markets of top oil-producing and-consuming economies
Motivated by large oil price swings, high economic and geopolitical uncertainties, and the
financialization of oil, this paper examines the frequency spillovers and co-movements …
financialization of oil, this paper examines the frequency spillovers and co-movements …
[HTML][HTML] Quantile-based extended joint connectedness between trade policy uncertainty and GCC Islamic stock sectoral volatility
This study quantifies the shock transmission mechanism between the trade policy
uncertainty (TPU) index and Sharia-compliant stock sectoral conditional volatility in the Gulf …
uncertainty (TPU) index and Sharia-compliant stock sectoral conditional volatility in the Gulf …
Extreme dynamic connectedness and hedging strategy across commodity, bond, currency, and stock markets: Evidence from Asian Pacific, Canada, Mexico, and US …
This study investigates the interconnections among green bonds, non-green bonds, the US
Dollar Index, precious metals (gold and silver), the Dow Jones Commodity Index (DJCI), and …
Dollar Index, precious metals (gold and silver), the Dow Jones Commodity Index (DJCI), and …
COVID-19 and extreme risk spillovers between oil and BRICS stock markets: A multiscale perspective
X Jin, Y Liu, J Yu, W Huang - The North American Journal of Economics …, 2023 - Elsevier
This paper uses the VMD-Copula-ΔCoVaR model to examine the dynamic characteristics of
extreme risk spillovers between the oil market and BRICS stock markets during COVID-19 …
extreme risk spillovers between the oil market and BRICS stock markets during COVID-19 …
Downside risk connectedness between Islamic sectors and green bond markets: implications for hedging and investment strategies
This study explores the relationship between the green bond and Islamic sectoral markets in
terms of downside risk. A new framework was developed using CAViaR and QVAR …
terms of downside risk. A new framework was developed using CAViaR and QVAR …
Oil price shocks, sustainability index, and green bond market spillovers and connectedness during bear and bull market conditions
This study examines the spillover dynamics and interconnectedness amongst sustainability
indices, green bond markets, and oil price shocks. Using data from June 2013 to February …
indices, green bond markets, and oil price shocks. Using data from June 2013 to February …
Extreme risk spillovers in international energy markets: new insights from multilayer networks in the frequency domain
X Jin, Y Liu, J Yu, N Chen - Energy Economics, 2024 - Elsevier
This paper constructs multilayer risk spillover networks in the frequency domain, containing
short-, medium-, and long-term layers, to explore extreme risk spillovers in international …
short-, medium-, and long-term layers, to explore extreme risk spillovers in international …
Tail risk contagion and connectedness between crude oil, natural gas, heating oil, precious metals, and international stock markets
We apply the qunatile vector autoregression (QVAR) connectedness and frequency
causality methods to investigate tail risk contagion, quantile dependency, and causality …
causality methods to investigate tail risk contagion, quantile dependency, and causality …