Tail risk spillovers between Islamic sectoral equities and bond markets: a time-frequency domain approach

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dc.citation.volumeLatest Articles
dc.contributor.authorBillah M
dc.contributor.authorAlam MR
dc.contributor.authorBalli F
dc.date.accessioned2024-07-15T02:45:28Z
dc.date.available2024-07-15T02:45:28Z
dc.date.issued2024-06-28
dc.description.abstractThis study examines the tail risk spillover between Islamic sectoral stock indices and country specific investable Islamic bonds in time and frequency domain and provides useful implications for portfolio management. For the analyses, Conditional Autoregressive ValueatRisk (CAViaR), Quantile Connectedness, and DCCGARCH t-Copula models are estimated utilizing daily data from 15 countries. The findings show that the connectedness and spillover of risks are much stronger at tails than at median, and in the short-term than in long-term. Whereas median risk connectedness surges during COVID-19 pandemic, the connectedness between tail risks is usually elevated even before the COVID-19 pandemic with industrial sector being consistently a significant net transmitter of shocks. Moreover, all the sectoral stock market indices are significant and consistent transmitter of left tail shocks indicating a much stronger role of sectoral stock markets in transmitting large negative shocks. A heightened connectedness is also observed during Russia-Ukraine war mainly in the short-term frequency. The portfolio analysis shows that long positions in sectoral stocks can usually be hedged by taking short positions in Islamic bonds. Hedging effectiveness and optimal portfolio weights are also calculated to provide market participants with further information.
dc.description.confidentialfalse
dc.edition.edition2024
dc.format.pagination1-29
dc.identifier.citationBillah M, Alam MR, Balli F. (2024). Tail risk spillovers between Islamic sectoral equities and bond markets: a time-frequency domain approach. Applied Economics. Latest Articles. (pp. 1-29).
dc.identifier.doi10.1080/00036846.2024.2364091
dc.identifier.eissn1466-4283
dc.identifier.elements-typejournal-article
dc.identifier.issn0003-6846
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/70180
dc.languageEnglish
dc.publisherTaylor and Francis Group
dc.publisher.urihttps://www.tandfonline.com/doi/full/10.1080/00036846.2024.2364091
dc.relation.isPartOfApplied Economics
dc.rights(c) 2024 The Author/s
dc.rightsCC BY-NC-ND 4.0
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectTail risk
dc.subjectislamic sectoral stock indices
dc.subjectsukuk
dc.subjectRussia - Ukraine war
dc.titleTail risk spillovers between Islamic sectoral equities and bond markets: a time-frequency domain approach
dc.typeJournal article
pubs.elements-id489651
pubs.organisational-groupOther
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