Downside risk connectedness between Islamic sectors and green bond markets: implications for hedging and investment strategies

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dc.citation.volumeLatest Articles
dc.contributor.authorBillah M
dc.contributor.authorHoque ME
dc.contributor.authorBalli F
dc.contributor.authorKaur J
dc.contributor.authorKumar S
dc.date.accessioned2024-06-11T02:01:28Z
dc.date.available2024-06-11T02:01:28Z
dc.date.issued2024-01-02
dc.description.abstractThis 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.
dc.description.confidentialfalse
dc.format.pagination1-34
dc.identifier.citationBillah M, Hoque ME, Balli F, Kaur J, Kumar S. (2024). Downside risk connectedness between Islamic sectors and green bond markets: implications for hedging and investment strategies. Applied Economics. Latest Articles. (pp. 1-34).
dc.identifier.doi10.1080/00036846.2023.2295305
dc.identifier.eissn1466-4283
dc.identifier.elements-typejournal-article
dc.identifier.issn0003-6846
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/69770
dc.languageEnglish
dc.publisherTaylor and Francis Group
dc.publisher.urihttps://www.tandfonline.com/doi/full/10.1080/00036846.2023.2295305
dc.relation.isPartOfApplied Economics
dc.rights(c) 2024 The Author/s
dc.rightsCC BY 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectGreen bond market
dc.subjectIslamic markets
dc.subjectdynamic connectedness
dc.subjecthedging effectiveness
dc.titleDownside risk connectedness between Islamic sectors and green bond markets: implications for hedging and investment strategies
dc.typeJournal article
pubs.elements-id485563
pubs.organisational-groupOther
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