Omneya Abdelsalam , Daniel Felix Ahelegbey , Yassine Essanaani
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The nexus of conventional, religious and ethical indexes during crisis
This study examines the interconnectedness between conventional and ethical indexes. Using a Bayesian graphical vector autoregressive model, we derive the contemporaneous and temporal interdependencies among these stock index returns before and during the Covid-19 pandemic. Our model specification strategy combines vector autoregressive models with networks. The findings provide empirical evidence of increased interconnectedness during the Covid-19 period across all networks. Notably, the religious and FTSE Islamic networks exhibited greater resilience during the pandemic. This could be attributed to the rigorous screening processes for religious portfolios, which focus on lower-leveraged equity stocks, contributing to their stability. Additionally, our results show that the Covid-19 crisis affected network density and the roles of key player shock transmitter entities, as indicated by changes in hub and authority scores, with new key players emerging during the crisis.
期刊介绍:
International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.