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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/70167
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dc.contributor.authorMuhammad Abubakr Naeem-
dc.contributor.otherSitara Karim-
dc.contributor.otherLarisa Yarovaya-
dc.contributor.otherBrian M. Lucey-
dc.date.accessioned2023-11-29T08:44:30Z-
dc.date.available2023-11-29T08:44:30Z-
dc.date.issued2023-
dc.identifier.issn0254-5330 (Print), 1572-9338 (Online)-
dc.identifier.urihttps://digital.lib.ueh.edu.vn/handle/UEH/70167-
dc.description.abstractFinancial markets are exposed to extreme uncertain circumstances escalating their tail risk. Sustainable, religious, and conventional markets represent three different markets with various characteristics. Motivated with this, the current study measures the tail connectedness between sustainable, religious, and conventional investments by employing a neural network quantile regression approach from December 1, 2008 to May 10, 2021. The neural network recognized religious and conventional investments with maximum exposure to tail risk following the crisis periods reflecting strong diversification benefits of sustainable assets. The Systematic Network Risk Index spots Global Financial Crisis, European Debt Crisis, and COVID-19 pandemic as intensive events yielding high tail risk. The Systematic Fragility Index ranks the stock market in the pre-COVID period and Islamic stocks during the COVID sample as the most susceptible markets. Conversely, the Systematic Hazard Index nominates Islamic stocks as the chief risk contributor in the system. Given these, we portray various implications for policymakers, regulatory bodies, investors, financial market participants, and portfolio managers to diversify their risk using sustainable/green investments.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherSpringer-
dc.relation.ispartofANNALS OF OPERATIONS RESEARCH-
dc.rightsSpringer Nature-
dc.subjectCOVID-19en
dc.subjectCoVaRen
dc.subjectNeural networksen
dc.subjectReligious investmentsen
dc.subjectSustainable investmentsen
dc.titleSystemic risk contagion of green and Islamic markets with conventional marketsen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1007/s10479-023-05330-5-
ueh.JournalRankingISI, Scopus-
item.openairetypeJournal Article-
item.cerifentitytypePublications-
item.fulltextOnly abstracts-
item.languageiso639-1en-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.grantfulltextnone-
Appears in Collections:INTERNATIONAL PUBLICATIONS
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