Dynamic Connectedness, Spillovers, and Delayed Contagion between Islamic and Conventional Bond Markets: Time- and Frequency-Domain Approach in COVID-19 Era
Using the Baruník and Křehlík spillover index, the study examines the dynamic connectedness and spillovers between Islamic and conventional (G6) bond markets to reveal the time- and frequency-domain dynamics of the two asset classes under different market conditions. From August 22, 2012, through Se...
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/1606314 |
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| author | Peterson Owusu Junior |
| author_facet | Peterson Owusu Junior |
| author_sort | Peterson Owusu Junior |
| collection | DOAJ |
| description | Using the Baruník and Křehlík spillover index, the study examines the dynamic connectedness and spillovers between Islamic and conventional (G6) bond markets to reveal the time- and frequency-domain dynamics of the two asset classes under different market conditions. From August 22, 2012, through September 17, 2021, the daily bond yield indices for Islamic and G6 markets were employed. The findings reveal that volatility spillovers between and within Islamic and/or G6 bond markets are time- and frequency-dependent, although conventional bonds are more volatile than Islamic bonds during Black Swan periods. Across all time horizons, USA, UK, and Canada are the biggest producers of shocks to the Islamic and G6 markets, with Pakistan being the lowest shocks transmitter. During the European debt crisis, Brexit, and COVID-19 periods, the results underscore delayed contagious spillovers emanating from USA, Canada, and UK. With both the Islamic and G6 bond markets, short-term spillovers are more important than long-term spillovers. Investors should use their understanding of market trends and volatility to hedge their holdings against poorer asset returns when volatility spillover is more severe during market turmoil. Spillovers should be closely monitored by policymakers, since they jeopardise cross-market linkages. |
| format | Article |
| id | doaj-art-c186ed25fd394506bcfec3a9960a2d45 |
| institution | Kabale University |
| issn | 1607-887X |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-c186ed25fd394506bcfec3a9960a2d452025-02-03T01:07:01ZengWileyDiscrete Dynamics in Nature and Society1607-887X2022-01-01202210.1155/2022/1606314Dynamic Connectedness, Spillovers, and Delayed Contagion between Islamic and Conventional Bond Markets: Time- and Frequency-Domain Approach in COVID-19 EraPeterson Owusu Junior0Department of FinanceUsing the Baruník and Křehlík spillover index, the study examines the dynamic connectedness and spillovers between Islamic and conventional (G6) bond markets to reveal the time- and frequency-domain dynamics of the two asset classes under different market conditions. From August 22, 2012, through September 17, 2021, the daily bond yield indices for Islamic and G6 markets were employed. The findings reveal that volatility spillovers between and within Islamic and/or G6 bond markets are time- and frequency-dependent, although conventional bonds are more volatile than Islamic bonds during Black Swan periods. Across all time horizons, USA, UK, and Canada are the biggest producers of shocks to the Islamic and G6 markets, with Pakistan being the lowest shocks transmitter. During the European debt crisis, Brexit, and COVID-19 periods, the results underscore delayed contagious spillovers emanating from USA, Canada, and UK. With both the Islamic and G6 bond markets, short-term spillovers are more important than long-term spillovers. Investors should use their understanding of market trends and volatility to hedge their holdings against poorer asset returns when volatility spillover is more severe during market turmoil. Spillovers should be closely monitored by policymakers, since they jeopardise cross-market linkages.http://dx.doi.org/10.1155/2022/1606314 |
| spellingShingle | Peterson Owusu Junior Dynamic Connectedness, Spillovers, and Delayed Contagion between Islamic and Conventional Bond Markets: Time- and Frequency-Domain Approach in COVID-19 Era Discrete Dynamics in Nature and Society |
| title | Dynamic Connectedness, Spillovers, and Delayed Contagion between Islamic and Conventional Bond Markets: Time- and Frequency-Domain Approach in COVID-19 Era |
| title_full | Dynamic Connectedness, Spillovers, and Delayed Contagion between Islamic and Conventional Bond Markets: Time- and Frequency-Domain Approach in COVID-19 Era |
| title_fullStr | Dynamic Connectedness, Spillovers, and Delayed Contagion between Islamic and Conventional Bond Markets: Time- and Frequency-Domain Approach in COVID-19 Era |
| title_full_unstemmed | Dynamic Connectedness, Spillovers, and Delayed Contagion between Islamic and Conventional Bond Markets: Time- and Frequency-Domain Approach in COVID-19 Era |
| title_short | Dynamic Connectedness, Spillovers, and Delayed Contagion between Islamic and Conventional Bond Markets: Time- and Frequency-Domain Approach in COVID-19 Era |
| title_sort | dynamic connectedness spillovers and delayed contagion between islamic and conventional bond markets time and frequency domain approach in covid 19 era |
| url | http://dx.doi.org/10.1155/2022/1606314 |
| work_keys_str_mv | AT petersonowusujunior dynamicconnectednessspilloversanddelayedcontagionbetweenislamicandconventionalbondmarketstimeandfrequencydomainapproachincovid19era |