Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors

Mabruk Billah, Ahmed H. Elsayed, Sinda Hadhri

Research output: Contribution to journalArticlepeer-review

23 Citations (Scopus)


This study investigates the asymmetric connectedness and spillover effects between two ethical fixed-income assets (Sukuk and green bonds) with regard to global risk factors using a sample of 15 Sukuk markets and green bond indices. This complex network allows us to examine the extreme risk spillover and interlinkages across green bonds and Sukuk under different market conditions, captures sudden upward changes in the total and net spillover indices and hence, serves as an alerting system for any impending crisis in relation to global risk factors. Empirical results indicate a persistency feature in the connectedness between Hong Kong and Malaysian, and UK and Nigerian Sukuk markets under different market conditions. More importantly, Sukuk and green bond markets are not largely affected by global risk factors in the middle, upper and lower quantiles. Findings from the portfolio analysis show that Sukuk is effective in hedging the risks of green bonds and global factors. These results of potential diversification characteristics and risk reduction benefits are robust and hold during the Covid-19 pandemic period. Finally, our findings are of paramount importance for investors who are interested in ethical investments as well as policymakers in order to maintain a stable and sound financial system.

Original languageEnglish
Article number101728
JournalJournal of International Financial Markets, Institutions and Money
Publication statusPublished - Mar 2023
Externally publishedYes


  • COVID-19
  • Green bond
  • Portfolio diversification
  • Risk transmission
  • Sukuk

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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