Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies

This paper introduces a novel framework of partial connectedness measures to investigate contagion dynamics between different types of oil price shocks and exchange rates. Oil price shocks are persistent net transmitters of shocks within the network. It is found that the oil shock net spillovers made up most of the net connectedness values in most countries during the pre-COVID-19 period. Both oil exporters and oil importers, without any exception, were all net receivers of shocks. However, during the COVID-19 era, there were significant differences within the groups of countries. It is also observed that the oil-risk shock transmits to the other two types of oil shocks in the pre-COVID-19 and during the COVID-19 periods. The results may have potential implications for traders. © 2023 Elsevier B.V.

Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors

This study investigates the asymmetric connectedness and spillover effects between two ethical fixed-income assets (Sukuk and green bonds) with regard to global risk factors using a sample of 15 Sukuk markets and green bond indices. This complex network allows us to examine the extreme risk spillover and interlinkages across green bonds and Sukuk under different market conditions, captures sudden upward changes in the total and net spillover indices and hence, serves as an alerting system for any impending crisis in relation to global risk factors. Empirical results indicate a persistency feature in the connectedness between Hong Kong and Malaysian, and UK and Nigerian Sukuk markets under different market conditions. More importantly, Sukuk and green bond markets are not largely affected by global risk factors in the middle, upper and lower quantiles. Findings from the portfolio analysis show that Sukuk is effective in hedging the risks of green bonds and global factors. These results of potential diversification characteristics and risk reduction benefits are robust and hold during the Covid-19 pandemic period. Finally, our findings are of paramount importance for investors who are interested in ethical investments as well as policymakers in order to maintain a stable and sound financial system. © 2022 The Author(s)