International Journal of Islamic and Middle Eastern Finance and Management,
Journal Year:
2025,
Volume and Issue:
unknown
Published: Jan. 20, 2025
Purpose
This
study
uses
the
time-varying
parameter
vector
autoregressive
(TVP-VAR)
frequency
connectedness
approach
to
examine
interconnectedness
between
artificial
intelligence
(AI)-related
financial
assets
and
Islamic
banking
indices
in
markets.
It
reveals
linkages
across
different
market
segments
their
influence
on
spillovers
at
investment
horizons.
Design/methodology/approach
The
research
methodology
involves
using
TVP-VAR
model.
model
allows
authors
analyze
return
time
frames
by
capturing
dynamic
nature
of
relationships
variables.
also
consider
various
global
factors
regression
analysis
for
rigor
(Chatziantoniou
et
al.
,
2023).
Findings
shows
that
short-term
changes
impact
extreme
risk
more
than
medium-
or
long-term
changes.
Well-established
like
AI-related
stocks
(MSFT,
GOOG
NVDA)
banks
(Saudi
Arabia,
UAE)
consistently
contribute
transmit
returns.
In
contrast,
most
tokens
Asian
tend
receive
shocks.
Two
related
gold
uncertainty
US
dollar
demonstrate
potential
hedging
predictability
interconnectedness.
Practical
implications
results
emphasize
vital
role
diversifying
a
portfolio
managing
risks,
providing
valuable
insights
analysts
professionals
finance,
management.
Originality/value
rising
importance
investing
has
raised
concerns
about
compatibility
with
traditional
instruments,
especially
finance
(Rabbani
2023;
Darehshiri
2022;
Yousaf
2022).
paper
examines
connections
among
stocks,
shed
light
correlations
impacts
landscape.
Research in International Business and Finance,
Journal Year:
2024,
Volume and Issue:
70, P. 102405 - 102405
Published: May 27, 2024
Decentralized
finance
(DeFi)
has
become
of
significant
interest
for
investors
in
both
the
financial
and
digital
sectors.
We
use
a
time-varying
parameter
vector
autoregression
(TVP-VAR)
approach
to
estimate
static
dynamic
connections
between
within
DeFi,
G7
banking,
equity
markets.
focus
on
critical
events
such
as
COVID-19
pandemic,
cryptocurrency
bubble,
Russia-Ukraine
conflict.
The
results
highlight
interconnectedness
spillovers
markets,
especially
during
pandemic.
Notably,
there
were
spillover
effects
from
banking
markets
Japan
DeFi
assets.
findings
demonstrate
robust
connection
platforms,
stock
throughout
these
tumultuous
periods.
Policymakers,
investors,
entrepreneurs
are
recommended
keep
close
eye
changes
traditional
adjust
risk
European Journal of Finance,
Journal Year:
2024,
Volume and Issue:
30(14), P. 1577 - 1613
Published: March 11, 2024
This
paper
explores
the
relationship
between
news
media
sentiment
and
spillover
effects
in
cryptocurrency
market.
By
employing
a
time-varying
parameter
vector
autoregressive
model,
we
initially
develop
measures
of
specific
to
individual
cryptocurrencies.
Subsequently,
employ
unique
data
on
cryptocurrency-specific
assess
its
impact
these
using
panel
fixed
regression
analysis.
Our
findings
indicate
that
plays
significant
role
explaining
dynamics
within
Unlike
traditional
assets,
it
appears
only
positive
affects
spillovers
among
cryptocurrencies,
suggesting
an
asymmetric
effect.
Taking
into
account
various
characteristics
find
sentiment's
is
more
pronounced
community-based
coins
than
those
driven
by
firms.
An
examination
content
suggests
pertaining
emotional
risk
aspects
cryptocurrencies
predominantly
influences
spillovers.
Additionally,
comparative
analysis
derived
from
social
sources
reveals
stronger
influence
former
effects.
Through
extensive
robustness
checks,
our
research
consistently
affirms
pivotal
driving
returns,
underlining
importance
understanding
