Cited by Unraveling Financial Interconnectedness: A Quantile VAR Model Analysis of AI-Based Assets, Sukuk, and Islamic Equity Indices

Asymmetric connectedness and investment strategies between commodities and Islamic banks: Evidence from gulf cooperative council (GCC) markets DOI

Mabruk Billah, Sinda Hadhri, Muneer Shaik

et al.

Pacific-Basin Finance Journal, Journal Year: 2024, Volume and Issue: 86, P. 102406 - 102406

Published: May 27, 2024

The study uses the data of thirteen Islamic Banks (IB) in GCC region and sixteen commodities that include soft agriculture, energy, industry, precious metal commodities. Murabaha transactions makes up most revenues banks, whereas set biggest portion assets among transactions, therefore IB are expected to comove. Interestingly, empirical findings suggest banks not significantly affected by shocks from other markets. We further observe negative have a higher impact on market connectedness used compared positive returns find significant role risk variables explaining magnitude spillover between assets. perform robustness our results sub-samples periods during Shale Oil Revolution, Global Financial Crisis, COVID-19. Additionally, multivariate portfolio analysis shows some reduction properties majority performance evaluation measures demonstrate weights selected based dynamic network presents diversification opportunities. These help investors managers remain alert movements factors calibrate there hedging management strategies taking long short positions as incorporation could yield benefits profitability.

Language: Английский

Citations

Connectedness between international oil and China's new energy industry chain: A time-frequency analysis based on TVP-VAR model DOI

Xiang Deng, Fang Xu

Energy Economics, Journal Year: 2024, Volume and Issue: 140, P. 107954 - 107954

Published: Oct. 12, 2024

Language: Английский

Citations

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

Citations

Forecasting volatility spillovers across Chinese financial industries: an out-of-sample framework using a novel matrix autoregressive model DOI

Chengcheng Liu, Fang Tong

Applied Economics, Journal Year: 2025, Volume and Issue: unknown, P. 1 - 21

Published: March 14, 2025

Language: Английский

Citations

Financial Transformation? Integrating Environmental Sutainability through Green Sukuk as a Means for Sustainable Development in Indonesia DOI

Rosdita Indah Yuniawati,

Lilik Purwanti

Formosa Journal of Multidisciplinary Research, Journal Year: 2024, Volume and Issue: 3(5), P. 1371 - 1390

Published: May 30, 2024

This study examines Green Sukuk in Indonesia through a postmodern analysis approach, focusing on sustainability Islamic finance. Utilizing literature review method, this research gathers and analyzes relevant academic sources to understand how has been integrated into the framework of finance it contributes environmental goals. critiques traditional views meta-narratives conventional explores reflects values embedded culture financial practices Indonesia. The shows that represents unique synthesis between Sharia principles aspirations, offering new perspective both global local discourse. Through lens, highlights importance cultural religious contexts interpretation implementation sustainable finance, provides recommendations for further can deepen integration. In increasingly emphasizes issues, emerged as significant innovation links investment with urgent needs development.

Language: Английский

Citations

Unveiling Interconnectedness and Tail Risk in Financial Markets: A Quantile VAR Analysis of Ai-Based Assets, Sukuk, and Islamic Equity Indices DOI

Mabruk Billah

Published: Jan. 1, 2024

Language: Английский

Citations

Quantile connectedness of artificial intelligence tokens with the energy sector DOI