An analysis of extreme risk spillover effects and their determinants between AI-related assets and Islamic banking indices DOI
Mabruk Billah

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.

Language: Английский

Assessing connectedness of transportation cryptocurrencies and transportation stocks: Evidence from wavelet quantile correlation DOI
Ritesh Patel, John W. Goodell, Muhammad Zubair Chishti

et al.

Finance research letters, Journal Year: 2023, Volume and Issue: 58, P. 104504 - 104504

Published: Sept. 23, 2023

Language: Английский

Citations

25

Spillover dynamics in DeFi, G7 banks, and equity markets during global crises: A TVP-VAR analysis DOI Creative Commons
Ijaz Younis, Himani Gupta, Min Du

et al.

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

Language: Английский

Citations

13

Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach DOI
Imran Yousaf, Linh Pham, John W. Goodell

et al.

International Review of Financial Analysis, Journal Year: 2024, Volume and Issue: 94, P. 103156 - 103156

Published: March 6, 2024

Language: Английский

Citations

12

Impact of tokenization on financial investments: Exploring connectedness through the case of transport and travel/tourism sectors DOI
Imran Yousaf, Rami Zeitun, Shoaib Ali

et al.

Finance research letters, Journal Year: 2024, Volume and Issue: 62, P. 105221 - 105221

Published: March 11, 2024

Language: Английский

Citations

12

Sentiment matters: the effect of news-media on spillovers among cryptocurrency returns DOI
Erdinç Akyıldırım, Ahmet Faruk Aysan, Oğuzhan Çepni

et al.

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

Language: Английский

Citations

11

Exploring volatility interconnections between AI tokens, AI stocks, and fossil fuel markets: evidence from time and frequency-based connectedness analysis DOI
Imran Yousaf, Muhammad Ijaz, Muhammad Umar

et al.

Energy Economics, Journal Year: 2024, Volume and Issue: 133, P. 107490 - 107490

Published: March 20, 2024

Language: Английский

Citations

11

Connectedness between travel & tourism tokens, tourism equity, and other assets DOI
Imran Yousaf, Afsheen Abrar, John W. Goodell

et al.

Finance research letters, Journal Year: 2022, Volume and Issue: 53, P. 103595 - 103595

Published: Dec. 16, 2022

Language: Английский

Citations

34

Integration between asset management tokens, asset management stock, and other financial markets: Evidence from TVP-VAR modeling DOI
Imran Yousaf, Yasir Riaz, John W. Goodell

et al.

Finance research letters, Journal Year: 2023, Volume and Issue: 57, P. 104276 - 104276

Published: July 26, 2023

Language: Английский

Citations

21

Linkages between CBDC and cryptocurrency uncertainties, and digital payment stocks DOI
Imran Yousaf, John W. Goodell

Finance research letters, Journal Year: 2023, Volume and Issue: 54, P. 103765 - 103765

Published: March 9, 2023

Language: Английский

Citations

20

Fan tokens: Sports and speculation on the blockchain DOI

Matthias Scharnowski,

Stefan Scharnowski, Lukas Zimmermann

et al.

Journal of International Financial Markets Institutions and Money, Journal Year: 2023, Volume and Issue: 89, P. 101880 - 101880

Published: Nov. 3, 2023

Language: Английский

Citations

19