What drives the performance and causality of green bond indices?

This paper empirically assesses the performance of green bond indices and the causality of that performance using a range of financial and commodity data. We present new insights from the novel application of datasets, neural networks and performance measurements. We find that green bond indices do not outperform the market when factors beyond market return are considered. We find that Brent crude oil has the most significant effect on certain indices, a finding that contrasts with other studies on green bonds. A greater sensitivity to oil prices and global green equities also evinces a negative impact on a green bond index's ability to outperform the market. For the first time, a linear causal relationship is established between Title Transfer Facility (TTF) returns and green bond index returns. Additionally, a fundamental shift in causal relationships is observed over the COVID-19 period. In this way, we contribute to the literature on sustainable green bonds and the impact of COVID-19. These insights provide more clarity to market participants for navigating the uncertainties of both the global energy transition and the postpandemic period. © 2023 Informa UK Limited, trading as Taylor & Francis Group.

Sukuk and bond dynamics in relation to exchange rate

PurposeThis study aims to contribute by expanding the existing literature on Sukuk return and volatility and exploring the implications of the Sukuk-exchange rate interactions. Design/methodology/approachThis study examines the dynamic interactions of Sukuk with exchange rate in 15 countries, employing the Wavelet approach that considers both time and investment horizons. FindingsThe results reveal significant evolving coherence of Sukuk return and volatility with the underlying exchange rate. The relationship is more potent than what this study witnesses in their counterpart bond market. For Sukuk returns, the coherence is negative, whereas it is positive for volatility. Notably, the coherence is strong in the medium to long term and intensifies during extreme economic episodes, especially during the COVID-19 pandemic. These findings are further validated by comparing firm-level matched data for Sukuk and conventional bond. Originality/valueTo the best of the authors' knowledge, this is the first study that reports the dynamic relationship of Sukuk return and volatility with the underlying exchange rate in 15 countries. Collectively, this study unites valuable insights for faith-based active Islamic investors and cross-border portfolio managers.

Safe-haven or speculation? Research on price and risk dynamics of Bitcoin

This paper investigates the price and risk dynamics of Bitcoin. Applying SVAR to study Bitcoin, gold and U.S. dollar in one system, we find that neither the gold nor U.S. dollar can explain Bitcoin pricing dynamics in the short-run. We further apply the DCC-MGARCH model to study the risk correlations. The results show that there exists volatility spillover effect and dynamic correlation between three markets, which is magnified with the advent of COVID-19. We can thus draw a conclusion that the boom of Bitcoin is just a hype and speculative bubble.

The dynamic relationship of cryptocurrencies with supply chain and logistics stocks – the impact of COVID-19

Purpose The COVID-19 pandemic is known to have affected the logistics and supply chains;however, there is no adequate empirical evidence to prove in which way it has affected the relationship between the stocks related to this field with the corresponding cryptocurrencies. This paper aims to test the dynamic relationship of cryptocurrencies with supply chain and logistics stocks. Design/methodology/approach In this paper, the author tests the causal and long-run relationship between logistics and supply chain stocks with the corresponding cryptocurrencies related to these fields, or those that are known to exhibit characteristics that can be utilized by these fields, testing also whether the COVID-19 pandemic affected this relationship. To do so, the author performs the variable-lag causality to test the causal relationship, and examines if this relationship changed due to COVID-19. The author then implements the multifractal detrended cross-correlation analysis to investigate the characteristics of a possible long-run relationship, testing also whether they changed due to COVID-19. Findings The results indicate that there is a positive long-run relationship between each logistics and supply chain stocks and the corresponding cryptocurrencies, before and also during COVID-19, but during COVID-19 this relationship becomes weaker, in most cases. Moreover, before COVID-19, the majority of the cases indicate a causal direction from cryptocurrencies to the stocks, while during COVID-19, the causal relationships decrease in multitude, and most cases unveil a causal direction from the stocks to cryptocurrencies. Originality/value The causal pattern changed during COVID-19, and the long-run relationship became weaker, showing a change in the dynamics in the relationship between logistics and supply chain stocks with cryptocurrencies.

Investor behavior and cryptocurrency market bubbles during the COVID-19 pandemic

Purpose Cryptocurrencies lack fundamental values and are often subject to behavioral bias leading to market bubbles. This study aims to investigate the contribution of the coronavirus pandemic to the creation of market bubbles. Design/methodology/approach This study identifies four major cryptocurrency market bubbles by using the Phillips et al. (2016) (hereafter PSY) test. Subsequently, the co-movements of the coronavirus proxies with PSY measurement using the wavelet approach were studied. Findings Short-lived bubbles are detected at the beginning of the studied period, and more extended bubble periods are identified at the end. Besides, the empirical results show evidence of significant negative co-movement between each pandemic proxy and each cryptocurrency bubble measurement. Research limitations/implications Given the complex financial dynamics of the cryptocurrency markets due to some behavioral biases in some circumstances, investors can benefit from the date stamping of the bubbles bursting to make the best trading positions. In the same way, governments could support the healthy development of cryptocurrencies by preventing bubbles during such pandemics. Originality/value The financial bubble is commonly attributed to a change in investor behavior. Because traders and investors think they can resell the asset at a higher price in the future. This study explored the contribution of the COVID-19 pandemic in the creation of these bubbles by date stamping their occurrence and explosive periods. To the best of the authors' knowledge, this study is the first attempt that explores the contribution of the COVID-19 pandemic to the creation of bubbles caused by a change in the investors' behavior.

Time-varying herding spillover for emerging countries: evidence from BRIC countries and Turkey

Purpose This study aims to investigate herding spillover in BRIC (Brazil, Russia, India and China) countries and Turkey under different regimes by using a time-varying approach. Design/methodology/approach The authors used the structural change model of Bai and Perron (1998). Findings The results indicate that there is an evidence of herding behaviour in the Chinese stock market in two different regimes. These regimes cover the recent global financial crisis and the period of Hong Kong protests. We also report the evidence of herding behaviour in the Turkish stock market in the regime covering the COVID-19 period. Findings of herding spillover show that there is a two-way herding among Russia and China during crises and high volatile regimes. Similarly, there exists a cross-country herding among Brazil and India during crisis regimes. Also, there is herding spillover from Turkey to Russia, China and Brazil during the global financial crisis, post-European debt crisis and COVID-19 periods respectively. Furthermore, it is also evident that there is a herding spillover from Russia and China to India during the period covering COVID-19. Originality/value To the best of the authors' knowledge, this is the first study that uses structural change approach to identify herding behaviour spillovers from the US stock market to BRIC countries and Turkey and to investigate the cross-country herding behaviour among BRIC countries and Turkey.