TY - JOUR
T1 - Systemic risk contagion of green and Islamic markets with conventional markets
AU - Naeem, Muhammad Abubakr
AU - Karim, Sitara
AU - Yarovaya, Larisa
AU - Lucey, Brian M.
N1 - Publisher Copyright:
© 2023, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.
PY - 2023
Y1 - 2023
N2 - Financial markets are exposed to extreme uncertain circumstances escalating their tail risk. Sustainable, religious, and conventional markets represent three different markets with various characteristics. Motivated with this, the current study measures the tail connectedness between sustainable, religious, and conventional investments by employing a neural network quantile regression approach from December 1, 2008 to May 10, 2021. The neural network recognized religious and conventional investments with maximum exposure to tail risk following the crisis periods reflecting strong diversification benefits of sustainable assets. The Systematic Network Risk Index spots Global Financial Crisis, European Debt Crisis, and COVID-19 pandemic as intensive events yielding high tail risk. The Systematic Fragility Index ranks the stock market in the pre-COVID period and Islamic stocks during the COVID sample as the most susceptible markets. Conversely, the Systematic Hazard Index nominates Islamic stocks as the chief risk contributor in the system. Given these, we portray various implications for policymakers, regulatory bodies, investors, financial market participants, and portfolio managers to diversify their risk using sustainable/green investments.
AB - Financial markets are exposed to extreme uncertain circumstances escalating their tail risk. Sustainable, religious, and conventional markets represent three different markets with various characteristics. Motivated with this, the current study measures the tail connectedness between sustainable, religious, and conventional investments by employing a neural network quantile regression approach from December 1, 2008 to May 10, 2021. The neural network recognized religious and conventional investments with maximum exposure to tail risk following the crisis periods reflecting strong diversification benefits of sustainable assets. The Systematic Network Risk Index spots Global Financial Crisis, European Debt Crisis, and COVID-19 pandemic as intensive events yielding high tail risk. The Systematic Fragility Index ranks the stock market in the pre-COVID period and Islamic stocks during the COVID sample as the most susceptible markets. Conversely, the Systematic Hazard Index nominates Islamic stocks as the chief risk contributor in the system. Given these, we portray various implications for policymakers, regulatory bodies, investors, financial market participants, and portfolio managers to diversify their risk using sustainable/green investments.
KW - COVID-19
KW - CoVaR
KW - Neural networks
KW - Religious investments
KW - Sustainable investments
UR - http://www.scopus.com/inward/record.url?scp=85153064282&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85153064282&partnerID=8YFLogxK
U2 - 10.1007/s10479-023-05330-5
DO - 10.1007/s10479-023-05330-5
M3 - Article
AN - SCOPUS:85153064282
SN - 0254-5330
JO - Annals of Operations Research
JF - Annals of Operations Research
ER -