IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v56y2024i59p8900-8933.html
   My bibliography  Save this article

Downside risk connectedness between Islamic sectors and green bond markets: implications for hedging and investment strategies

Author

Listed:
  • Mabruk Billah
  • Mohammad Enamul Hoque
  • Faruk Balli
  • Jaspreet Kaur
  • Sanjeev Kumar

Abstract

This study explores the relationship between the green bond and Islamic sectoral markets in terms of downside risk. A new framework was developed using CAViaR and QVAR techniques to construct hedging and portfolio strategies. Results show higher levels of downside risk connectedness and spillover across different risk environments, with short-run connectedness outperforming long-run. The downside risk connectedness and spillover are time-varying, influenced by major events like the Shale Oil Revolution, US–China trade war, COVID-19 pandemic, and Russo-Ukrainian conflict. Green bond market indices of China, the European Union, the US, and the global market receive net shocks in moderate and higher downside risk environments across various frequencies. US and global green bonds exhibit net transmitter roles in a downside-risk environment. Islamic Sectors BM, OG, FIN, CG, and HC are shock transmitters, while TELE and UTL are shock receivers across different downside risk environments and frequencies. Net roles are CS, INDUS, and TECH, subject to the downside risk environment and frequencies.

Suggested Citation

  • Mabruk Billah & Mohammad Enamul Hoque & Faruk Balli & Jaspreet Kaur & Sanjeev Kumar, 2024. "Downside risk connectedness between Islamic sectors and green bond markets: implications for hedging and investment strategies," Applied Economics, Taylor & Francis Journals, vol. 56(59), pages 8900-8933, December.
    • Handle: RePEc:taf:applec:v:56:y:2024:i:59:p:8900-8933
    DOI: 10.1080/00036846.2023.2295305
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2023.2295305
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2023.2295305?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 search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Deng, Xiang & Xu, Fang, 2024. "Connectedness between international oil and China's new energy industry chain: A time-frequency analysis based on TVP-VAR model," Energy Economics, Elsevier, vol. 140(C).
    2. Gubareva, Mariya & Shafiullah, Muhammad & Teplova, Tamara, 2025. "Cross-quantile risk assessment: The interplay of crude oil, artificial intelligence, clean tech, and other markets," Energy Economics, Elsevier, vol. 141(C).
    3. Batra, Shallu & Tiwari, Aviral Kumar & Yadav, Mahender & Danso, Albert, 2025. "Connectedness among diverse financial assets: Evidence from cryptocurrency uncertainty indices," Technological Forecasting and Social Change, Elsevier, vol. 210(C).
    4. Faruk Balli & Iftekhar Hassan Chowdhury & Mabruk Billiah, 2025. "How closely is the US stock market linked to Caribbean tax havens?," Economics Bulletin, AccessEcon, vol. 45(1), pages 166-176.

    More about this item

    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:taf:applec:v:56:y:2024:i:59:p:8900-8933. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    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.