Religion vs. ethics: Tail dependence between Sukuk, green bond, Islamic Fintech, and fourth industrial revolution assets

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-01-22 DOI:10.1016/j.pacfin.2025.102683

Mustafa Raza Rabbani , M. Kabir Hassan , Syed Mabruk Billah , Muneer Shaik , Zairihan Abdul Halim

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Abstract

The study investigates the tail reliance of Sukuk, green bonds, and seven other conventional and Islamic Fintech assets (fourth industrial revolution assets) using the daily pricing data for various financial instruments from 20th December 2019 to 24th March 2024. Using the quantile-on-quantile method of Sim and Zhou (2015), to investigate the tail dependency among the returns of various markets and Sukuk (GB), and the quantile cross-spectral (coherency) model of Baruník and Kley (2019), to evaluate the dependence relationship between the returns of various markets and Sukuk. The study's findings indicate that the interdependence of Sukuk and green bonds with other Fourth Industrial Revolution assets act differently in bullish, bearish, and normal market circumstances and across short, medium, and long-term time horizons. The study is significant because it demonstrates the strong safe-haven qualities of green bonds (ethical) and Sukuk (religious). It contends that including green bonds in a portfolio will provide important diversification benefits, especially during uncertain times.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.