危机期间传统、宗教和伦理指数的联系

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE
Omneya Abdelsalam , Daniel Felix Ahelegbey , Yassine Essanaani
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引用次数: 0

摘要

本研究探讨了传统指数与伦理指数之间的相互关联性。利用贝叶斯图形向量自回归模型,我们得出了这些股票指数收益率在 Covid-19 大流行之前和期间的同期和时间相互依存关系。我们的模型规范策略将向量自回归模型与网络相结合。研究结果提供了经验证据,表明在 Covid-19 大流行期间,所有网络之间的相互关联性都有所增强。值得注意的是,宗教和 FTSE 伊斯兰网络在大流行病期间表现出更强的复原力。这可能归因于宗教投资组合的严格筛选程序,该程序侧重于杠杆率较低的股票,从而提高了其稳定性。此外,我们的研究结果表明,"科威德-19 "危机影响了网络密度和关键参与者冲击发射实体的作用,这一点可以从中心和权威得分的变化看出,危机期间出现了新的关键参与者。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.

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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
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.
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