Browsing by Author "Billah M"

Now showing 1 - 6 of 6
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    A multi-dimensional connectedness and spillover between green bond and Islamic banking equity: Evidence from country level analysis
    (Elsevier B V, 2024-02) Billah M; Hadhri S; Hoque ME; Balli F
    The paper delves into the multidimensional connections and spillover between green bonds and Islamic banking stocks from eleven countries. Throughout this study, we further explored optimal hedging mechanisms, as well as optimal portfolio weighting mechanisms, with Islamic banking equities and green bonds. Our empirical results show that there is a moderate level of interrelation between green bonds and Islamic banking indices, with low connectedness throughout the long-term and medium-term. The time-varying spillover effects become higher, albeit low, in the early periods of both SOR and COVID-19 at short-, medium-, and long-term scales, which suggests some diversification and hedging benefits from holding portfolios of the two assets. Country-based Islamic bank markets are not largely affected by disturbances that emerged in some other markets in the short-, medium-, or long-term timescales. The Chinese green bond market has a tendency to be the greatest net risk transceiver for both the green bond and Islamic bank markets over the medium and long term, whilst the global green bond index has been the leading net risk transmitter during the short term. Only the UAE and Saudi Islamic Banking indices act as net risk transmitters in the short and medium term. The empirical findings further suggest that global risk variables are dependable drivers of the extent of spillover between Islamic banking indices and green bonds. Our research shows that owning Islamic bank stocks during COVID-19 and SOR minimizes the significant risk linked to holding green bonds, which has profound implications for risk management and portfolio creation. Thus, our study offers important implications for economic agents.
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    Asymmetric connectedness and investment strategies between commodities and Islamic banks: Evidence from gulf cooperative council (GCC) markets
    (Elsevier B V, 2024-09) Billah M; Hadhri S; Shaik M; Balli F
    The study uses the data of thirteen Islamic Banks (IB) in the GCC region and sixteen commodities that include soft agriculture, energy, industry, and precious metal commodities. Murabaha transactions makes up most of the revenues of the Islamic banks, whereas commodities set up the biggest portion of the assets among Murabaha transactions, therefore commodities and IB revenues are expected to comove. Interestingly, empirical findings suggest that most of the Islamic banks and commodities are not significantly affected by the shocks from other markets. We further observe that negative shocks have a higher impact on market connectedness among used assets compared to the positive returns and find a significant role of risk variables in explaining the magnitude of spillover between used assets. We perform robustness of our results in sub-samples periods during Shale Oil Revolution, Global Financial Crisis, and the COVID-19. Additionally, the multivariate portfolio analysis shows some risk reduction properties of the majority of the used assets. The performance evaluation measures demonstrate that weights selected based on dynamic connectedness network presents diversification opportunities. These findings help investors and portfolio managers to remain alert to the movements of the risk factors and calibrate there hedging and portfolio management strategies by taking long and short positions as incorporation of Islamic banks and commodities in the GCC region in a portfolio could yield risk reduction benefits and profitability.
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    Downside risk connectedness between Islamic sectors and green bond markets: implications for hedging and investment strategies
    (Taylor and Francis Group, 2024-01-02) Billah M; Hoque ME; Balli F; Kaur J; Kumar S
    This study explores the relationship between the green bond and Islamic sectoral markets in terms of downside risk. A new framework was developed using CAViaR and QVAR techniques to construct hedging and portfolio strategies. Results show higher levels of downside risk connectedness and spillover across different risk environments, with short-run connectedness outperforming long-run. The downside risk connectedness and spillover are time-varying, influenced by major events like the Shale Oil Revolution, US–China trade war, COVID-19 pandemic, and Russo-Ukrainian conflict. Green bond market indices of China, the European Union, the US, and the global market receive net shocks in moderate and higher downside risk environments across various frequencies. US and global green bonds exhibit net transmitter roles in a downside-risk environment. Islamic Sectors BM, OG, FIN, CG, and HC are shock transmitters, while TELE and UTL are shock receivers across different downside risk environments and frequencies. Net roles are CS, INDUS, and TECH, subject to the downside risk environment and frequencies.
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    Exploring the dynamic links, implications for hedging and investment strategies between Sukuk and commodity market volatility: Evidence from country level analysis
    (Elsevier Inc, 2024-06) Billah M; Hadhri S; Balli F; Sahabuddin M
    This research paper examines the influence of spillovers between volatility of commodities (including soft commodities, precious metals, industrial metals, along with energy) and returns of sukuk. Using a notable sample of fifteen sukuk country indices and sixteen products, we examine the time-varying criterion vector autoregression (TVP-VAR) based extended joint connectedness method and contribute to the correlation analysis literature by supplying a comprehensive as well as policy-oriented analysis of the connection between sukuks and also commodities. Our results disclose that the system-wide dynamic connectedness is slowly heterogeneous and driven by financial occasions. Next, we look at the potential determinants of connectivity between sukuk and commodity markets, we find that global risk factors significantly impact the degree of spillovers between markets. In particular, the negative impacts of risk factors on spillovers suggest that some risk-mitigating properties may be related to market leverage in the composite portfolio in bear market conditions. In addition, our results, using hedging efficiency and the Sharpe ratio, confirm the hypothesis of diversification opportunities between markets that leverage dynamic connectivity networks.
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    Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war
    (Elsevier Inc, 2023-11) Kumar S; Jain R; Narain; Balli F; Billah M
    Economic and political disorders have multidimensional impacts on all economies around the world. The global world has faced out COVID-19 pandemic in 2020, and now the Russian-Ukraine geopolitical crisis. This study investigates the nexus among commodities, crypto, and G20 capital markets along with risk and returns implications. To examine the impact, we applied the TVP-VAR technique suggested by Koop and Korobilis (2014), and Antonakakis, Chatziantoniou, and Gabauer (2020) by adjusting the framework of Diebold and Yilmaz (2012). The research findings reveal that a high level of connectedness was observed during Covid-19, which was persistent for a long period and has multidimensional impacts. More particularly, EU, Canada, France Germany, and the UK were the principal supplier of spillovers to other commodities, Bitcoin, and the remaining markets. During Geopolitical Crisis (here after GPC), conclusively it is observed that of USA, Brazil, Saudi Arabia, Canada, Mexico, China, Indonesia, and Japan are the net receivers of the volatility spillovers and Russia, Germany, France, European Union, Italy, UK, Argentina, India, Australia, Turkey, Korea, and South Africa are the net transmitters of volatility spillovers. Interestingly, among net transmitters Argentina, South Africa and Turkey are suffered from high inflation and substantial budget deficits, considered as weak economies of G20. Portfolio weights has been increased dramatically during COVID-19 and Russian-Ukraine war. This research could be utilized to take investment, hedging, and diversification decisions about commodities, cryptocurrencies, and stocks, particularly in such turmoil situations with the help of connectedness and various hedging techniques.
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    Tail risk spillovers between Islamic sectoral equities and bond markets: a time-frequency domain approach
    (Taylor and Francis Group, 2024-06-28) Billah M; Alam MR; Balli F
    This study examines the tail risk spillover between Islamic sectoral stock indices and country specific investable Islamic bonds in time and frequency domain and provides useful implications for portfolio management. For the analyses, Conditional Autoregressive ValueatRisk (CAViaR), Quantile Connectedness, and DCCGARCH t-Copula models are estimated utilizing daily data from 15 countries. The findings show that the connectedness and spillover of risks are much stronger at tails than at median, and in the short-term than in long-term. Whereas median risk connectedness surges during COVID-19 pandemic, the connectedness between tail risks is usually elevated even before the COVID-19 pandemic with industrial sector being consistently a significant net transmitter of shocks. Moreover, all the sectoral stock market indices are significant and consistent transmitter of left tail shocks indicating a much stronger role of sectoral stock markets in transmitting large negative shocks. A heightened connectedness is also observed during Russia-Ukraine war mainly in the short-term frequency. The portfolio analysis shows that long positions in sectoral stocks can usually be hedged by taking short positions in Islamic bonds. Hedging effectiveness and optimal portfolio weights are also calculated to provide market participants with further information.