IDEAS home Printed from https://ideas.repec.org/a/spr/snbeco/v5y2025i11d10.1007_s43546-025-00946-0.html
   My bibliography  Save this article

Dynamic return connectedness and spillover effects between Shariah Islamic indices and commodity futures market during black swan events: a quantile VAR connectedness approach

Author

Listed:
  • M. Thilaga

    (Periyar University)

  • V. Veeravel

    (LNJN-NICFS-National Forensic Sciences University)

  • K. Prabhakar Rajkumar

    (Central University of Tamil Nadu)

Abstract

The present study explores the dynamic return connectedness and spillover effects between Shariah Islamic indices and the commodity futures market during the black swan events such as the COVID-19 pandemic and the Russia-Ukraine war. The study employs a newly proposed quantile vector autoregression (QVAR) spillover approach of Chatziantoniou et al. (2021) on daily data from May 7, 2014, to September 29, 2023. Further, we divide the full sample into three sub-periods: pre-COVID-19, post-COVID-19, and the Russia-Ukraine war. The study results show a strong total spillover connectedness between Shariah Islamic indices and the commodity futures market during the entire study period. Further, the study also finds that the net directional connectedness results document that the Shariah Islamic indices exhibit the highest source of shocks to commodity futures returns in the lower and upper quantiles. The overall results show a strong and significant time-varying connectedness between Shariah Islamic indices and commodity futures returns during the black swan events.

Suggested Citation

  • M. Thilaga & V. Veeravel & K. Prabhakar Rajkumar, 2025. "Dynamic return connectedness and spillover effects between Shariah Islamic indices and commodity futures market during black swan events: a quantile VAR connectedness approach," SN Business & Economics, Springer, vol. 5(11), pages 1-25, November.
    • Handle: RePEc:spr:snbeco:v:5:y:2025:i:11:d:10.1007_s43546-025-00946-0
    DOI: 10.1007/s43546-025-00946-0
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s43546-025-00946-0
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s43546-025-00946-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:snbeco:v:5:y:2025:i:11:d:10.1007_s43546-025-00946-0. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.