Journal Articles

Permanent URI for this collectionhttps://mro.massey.ac.nz/handle/10179/7915

Browse

Author: search.filters.author.Balli FSubject: search.filters.subject.Islamic markets

Search Results

Now showing 1 - 2 of 2
  • Thumbnail Image
    Item
    Exploring the dynamic links, implications for hedging and investment strategies between Sukuk and commodity market volatility: Evidence from country level analysis
    (Elsevier Inc, 2024-06) Billah M; Hadhri S; Balli F; Sahabuddin M
    This research paper examines the influence of spillovers between volatility of commodities (including soft commodities, precious metals, industrial metals, along with energy) and returns of sukuk. Using a notable sample of fifteen sukuk country indices and sixteen products, we examine the time-varying criterion vector autoregression (TVP-VAR) based extended joint connectedness method and contribute to the correlation analysis literature by supplying a comprehensive as well as policy-oriented analysis of the connection between sukuks and also commodities. Our results disclose that the system-wide dynamic connectedness is slowly heterogeneous and driven by financial occasions. Next, we look at the potential determinants of connectivity between sukuk and commodity markets, we find that global risk factors significantly impact the degree of spillovers between markets. In particular, the negative impacts of risk factors on spillovers suggest that some risk-mitigating properties may be related to market leverage in the composite portfolio in bear market conditions. In addition, our results, using hedging efficiency and the Sharpe ratio, confirm the hypothesis of diversification opportunities between markets that leverage dynamic connectivity networks.
  • Thumbnail Image
    Item
    Downside risk connectedness between Islamic sectors and green bond markets: implications for hedging and investment strategies
    (Taylor and Francis Group, 2024-01-02) Billah M; Hoque ME; Balli F; Kaur J; Kumar S
    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 techniques to construct hedging and portfolio strategies. Results show higher levels of downside risk connectedness and spillover across different risk environments, with short-run connectedness outperforming long-run. The downside risk connectedness and spillover are time-varying, influenced by major events like the Shale Oil Revolution, US–China trade war, COVID-19 pandemic, and Russo-Ukrainian conflict. Green bond market indices of China, the European Union, the US, and the global market receive net shocks in moderate and higher downside risk environments across various frequencies. US and global green bonds exhibit net transmitter roles in a downside-risk environment. Islamic Sectors BM, OG, FIN, CG, and HC are shock transmitters, while TELE and UTL are shock receivers across different downside risk environments and frequencies. Net roles are CS, INDUS, and TECH, subject to the downside risk environment and frequencies.