Abstract:This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion effect. We analyse the intra-market and inter-market spillover among Islamic and conventional equities across three major markets: the USA, the United Kingdom and Japan. Our sample period ranges from 1996 to 2015. In addition… Show more
“…The literature on the spillover, safe-haven and cross-market interdependence across assets and financial markets has attracted a lot of attraction since the supreme crisis of 2007 ( Umar and Suleman, 2017 , Riaz et al, 2019 , Riaz et al, 2020 , Stereńczak et al, 2020 , Naeem et al, 2020 , Umar et al, 2018 , Umar et al, 2019a , Umar et al, 2019b , Umar et al, 2019c , Zaremba et al, 2020 , Kenourgios et al, 2020 ). The recent covid-19 pandemic has presented a unique challenge and inspired a new stream of literature focused on the impact of this pandemic on financial markets.…”
We apply wavelet analyses to examine the impact of the Covid-19 fueled panic on the volatility of major fiat and cryptocurrency markets during January-May, 2020. There is high coherence between moves of the Coronavirus Panic Index and the price moves in Euro, British pound, and Renminbi currencies as well as movements of the Bloomberg Galaxy Crypto Index. The main conclusions for each index pair are quite similar and corroborate with our thesis that the cross-currency hedge strategies, which could work under normal market conditions, are likely to fail during the periods of global crisis, e.g., such as the Covid-19 pandemic. However, we document some important differences in currency markets behavior, which potentially could be used to design effective cross-currency hedges capable of withstanding adverse impacts of global financial and economic turmoil. Our findings could be of use for future development of financial policies and currency markets regulation rules.
“…The literature on the spillover, safe-haven and cross-market interdependence across assets and financial markets has attracted a lot of attraction since the supreme crisis of 2007 ( Umar and Suleman, 2017 , Riaz et al, 2019 , Riaz et al, 2020 , Stereńczak et al, 2020 , Naeem et al, 2020 , Umar et al, 2018 , Umar et al, 2019a , Umar et al, 2019b , Umar et al, 2019c , Zaremba et al, 2020 , Kenourgios et al, 2020 ). The recent covid-19 pandemic has presented a unique challenge and inspired a new stream of literature focused on the impact of this pandemic on financial markets.…”
We apply wavelet analyses to examine the impact of the Covid-19 fueled panic on the volatility of major fiat and cryptocurrency markets during January-May, 2020. There is high coherence between moves of the Coronavirus Panic Index and the price moves in Euro, British pound, and Renminbi currencies as well as movements of the Bloomberg Galaxy Crypto Index. The main conclusions for each index pair are quite similar and corroborate with our thesis that the cross-currency hedge strategies, which could work under normal market conditions, are likely to fail during the periods of global crisis, e.g., such as the Covid-19 pandemic. However, we document some important differences in currency markets behavior, which potentially could be used to design effective cross-currency hedges capable of withstanding adverse impacts of global financial and economic turmoil. Our findings could be of use for future development of financial policies and currency markets regulation rules.
“…In particular, the literature on the spillover, safehaven, cross-market interdependence, and hedging opportunities across assets and financial markets has attracted lot of attention since the subprime crisis of 2007 (Gubareva and Borges 2016;Umar and Suleman 2017;Riaz, Shehzad, and Umar 2019;Stereńczak, Zaremba, and Umar 2020;Kenourgios, Umar, and Lemonidi 2020;Umar and Gubareva 2020). The recent Covid-19 pandemic has presented a unique challenge and inspired a new stream of literature focused on the impact of this pandemic on financial markets.…”
We apply wavelet analyses to study how the social media coverage of the Covid-19 pandemic influenced the volatility of ESG (Environmental, Social and Governance) leaders indices encompassing World, USA, Europe, China, and Emerging Markets. We document intervals of low, medium, and high coherence between the Media Coverage Index and the price moves of the ESG Leaders indices. The low coherence intervals indicate the diversification potential of ESG investments during a systemic pandemic such as Covid-19. We document differences in the pattern exhibited by various geographical indices evidencing their potential role for designing cross-geography hedge strategies.
“…; (2) social factors such as human rights, labor standards, illegal child labor, and adherence to workplace health and safety regulations; and (3) governance factors, which refer to rules that define the rights, responsibilities, and expectations of different stakeholders in the company’s governance. By allowing nonfinancial attributes to influence investments, socially responsible investment (SRI) offers such benefits as superior return, lower risk during turbulent periods, reputation management, and peace of mind ( Bollen, 2007 ; Riedl and Smeets, 2017 ; Umar and Suleman, 2017 ).…”
We investigate the connectedness of the most significant global equity indices that comprise companies with the highest environmental, social, and governance (ESG) performance. Motivated by the rapid growth of socially responsible investing during the last two decades, we examine whether these investments are prone to similar exogenous economic and financial shocks as their conventional counterparts. Employing a variety of influential macroeconomic and financial variables over the period 10/1/2007–4/15/2020, we document statistically significant and consistent transmissions between the employed equity indices throughout the sample period. In particular, the connectedness exhibits dynamic patterns during three periods: the European sovereign debt crisis, the systemic Greek problems, and the outbreak of the coronavirus pandemic. We also find that developed equity markets are the shock transmitters to Asian and other emerging markets. Our results highlight the risk of contagion and the diminishing portfolio diversification benefits of these equity indices during turbulent periods.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.