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The connectedness of oil shocks, green bonds, sukuks and conventional bonds

Author

Listed:
  • Zaghum Umar
  • Afsheen Abrar
  • Sinda Hadhri

    (UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University))

  • Tatiana Sokolova

Abstract

We analyze the impact of oil price shocks on three unique fixed income asset classes representing conventional bonds, Islamic bonds (sukuks) and green bonds by employing network dynamic connectedness framework. Our sample period ranges from May 1, 2009, to March 1, 2022, covering the aftermath of global financial crisis, subsequent boom and bust of oil markets and the COVID-19 pandemic. We document a sizable connectedness of oil price shocks with fixed income asset classes. We document oil demand and risk shocks' role as main transmitters of spillover. Our findings have important implications for investors, policy makers and regulators.

Suggested Citation

  • Zaghum Umar & Afsheen Abrar & Sinda Hadhri & Tatiana Sokolova, 2023. "The connectedness of oil shocks, green bonds, sukuks and conventional bonds," Post-Print hal-05240428, HAL.
    • Handle: RePEc:hal:journl:hal-05240428
    DOI: 10.1016/j.eneco.2023.106562
    as

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