Exploring the dynamic links, implications for hedging and investment strategies between Sukuk and commodity market volatility: Evidence from country level analysis
Billah M. Hadhri S. Balli F. Sahabuddin M.
June 2024Elsevier Inc.
International Review of Economics and Finance
2024#93350 - 371 pp.
This research paper examines the influence of spillovers between volatility of commodities (including soft commodities, precious metals, industrial metals, along with energy) and returns of sukuk. Using a notable sample of fifteen sukuk country indices and sixteen products, we examine the time-varying criterion vector autoregression (TVP-VAR) based extended joint connectedness method and contribute to the correlation analysis literature by supplying a comprehensive as well as policy-oriented analysis of the connection between sukuks and also commodities. Our results disclose that the system-wide dynamic connectedness is slowly heterogeneous and driven by financial occasions. Next, we look at the potential determinants of connectivity between sukuk and commodity markets, we find that global risk factors significantly impact the degree of spillovers between markets. In particular, the negative impacts of risk factors on spillovers suggest that some risk-mitigating properties may be related to market leverage in the composite portfolio in bear market conditions. In addition, our results, using hedging efficiency and the Sharpe ratio, confirm the hypothesis of diversification opportunities between markets that leverage dynamic connectivity networks.
Determinants of spillovers , Dynamic connectedness , Hedging effectiveness , Islamic markets , Portfolio construction techniques , Sukuk market , TVP-VAR extended join connectedness
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Department of Accounting and Finance, College of Business Administration, Prince Mohammad Bin Fahd University, Al Khobar, Saudi Arabia
Institute of Sustainable Business and Organizations, Sciences and Humanities Confluence Research Center- UCLy, ESDES, Lyon, France
School of Economics and Finance, Massey University, Auckland, New Zealand
Al-Farabi Kazakh National University, Almaty, Kazakhstan
Department of Business Studies, State University of Bangladesh, Bangladesh
Department of Accounting and Finance
Institute of Sustainable Business and Organizations
School of Economics and Finance
Al-Farabi Kazakh National University
Department of Business Studies
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