Quantile connectedness between Sukuk bonds and the impact of COVID-19

Naeem M.A. Billah M. Marei M. Balli F.
2022 Routledge

Applied Economics Letters
2022 #29 Issue 15 1378 - 1387 pp.

The purpose of this study is to investigate the return connectedness in the median, left, and right tail, using the novel methodology of quantile-based connectedness proposed by Ando et al. (2018). We use daily data covering the period from 1 January 2013 to 27 October 2020, which includes different financial crises occurring in GCC, Turkey, Malaysia, and Indonesia. Furthermore, analysing the dynamic connectedness, the Sukuk market was significantly influenced by the COVID-19 pandemic. Our findings reveal that the spillover structures in both upper and lower tails differ from those observed in the middle quantile. Finally, we find that Bahrain, Malaysia, Oman, and Qatar transmitted more spillovers than they admitted during the COVID-19 outbreak. These findings offer vital implications for regulators and policymakers, investors, traders, and portfolio managers regarding whether diversification across Sukuk indices is achievable during turbulent periods like COVID-19.

COVID-19 , extreme return spillovers , quantile connectedness , Sukuk bonds

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Rabat Business School, International University of Rabat, Morocco
UCD College of Business, University College Dublin, Dublin, Ireland
Faculty of Commerce, Cairo University, Giza, Egypt
Higher School of Economics and Business, Al-Farabi Kazakh National University, Almaty, Kazakhstan

Rabat Business School
UCD College of Business
Faculty of Commerce
Higher School of Economics and Business

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