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Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications

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  • Abdullah, Mohammad
  • Chowdhury, Mohammad Ashraful Ferdous
  • Sulong, Zunaidah

Abstract

This study examines asymmetric efficiency and connectedness among halal tourism stocks, green stocks, cryptocurrency, gold, and oil using data covering the period from 2018M12–2022M09. Employing asymmetric multifractal detrended cross-correlation analysis, this study finds gold to be the most efficient asset and halal tourism stocks to be more efficient than green stocks. The asymmetric connectedness approach identifies green stocks as net transmitters of return shocks in all market conditions and halal tourism stocks (oil) as net receivers of return shocks in normal and upward (downward) market conditions. The connectedness among the assets increases during major economic events such as COVID-19 and the Russia–Ukraine war. Portfolio analysis suggests that the minimum connectedness portfolio outperforms all the other methods and shows halal tourism and green stocks offer significant hedging effectiveness. Our findings have significant implications for investors and policymakers seeking to diversify portfolios, manage risks, and regulate information in periods of financial turmoil and asymmetric market conditions.

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  • Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Sulong, Zunaidah, 2023. "Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications," Resources Policy, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001277
    DOI: 10.1016/j.resourpol.2023.103419
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    More about this item

    Keywords

    Halal tourism stocks; Green stocks; Asymmetric efficiency; Connectedness; Portfolio diversification;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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