Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy
We revisit the flight-to-quality (FTQ) and flight-from-quality (FFQ) occurrences vis-à-vis the stock-bond nexus across differing investment time scales in the COVID-19 era, using a novel technique hinged on a denoised frequency-domain transfer entropy. Our findings divulge that flights, both FTQ and...
Saved in:
| Main Authors: | , , , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2022/1027495 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832550948813144064 |
|---|---|
| author | Ahmed Bossman Samuel Kwaku Agyei Peterson Owusu Junior Ellen Animah Agyei Patrick Kwashie Akorsu Edward Marfo-Yiadom George Amfo-Antiri |
| author_facet | Ahmed Bossman Samuel Kwaku Agyei Peterson Owusu Junior Ellen Animah Agyei Patrick Kwashie Akorsu Edward Marfo-Yiadom George Amfo-Antiri |
| author_sort | Ahmed Bossman |
| collection | DOAJ |
| description | We revisit the flight-to-quality (FTQ) and flight-from-quality (FFQ) occurrences vis-à-vis the stock-bond nexus across differing investment time scales in the COVID-19 era, using a novel technique hinged on a denoised frequency-domain transfer entropy. Our findings divulge that flights, both FTQ and FFQ, could be attained during stress periods. Generally, in the intermediate term of the COVID-19 pandemic, both Islamic and conventional bonds could act as safe havens, diversifiers, and hedges for international equities, and the same could be observed for international equities. We reiterate empirically that flights may improve the financial system’s stability and robustness by allowing diversity to be effective when it is most required. The findings have financial and portfolio implications for investors considering how to deploy their investments in the COVID-19 era. Our findings may impact policymakers’ responses to changes in various asset classes, allowing them to better monitor financial markets and adjust macroeconomic policies. |
| format | Article |
| id | doaj-art-ff01690d77a34e3c8c668df0ef2918ac |
| institution | Kabale University |
| issn | 1099-0526 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-ff01690d77a34e3c8c668df0ef2918ac2025-02-03T06:05:32ZengWileyComplexity1099-05262022-01-01202210.1155/2022/1027495Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer EntropyAhmed Bossman0Samuel Kwaku Agyei1Peterson Owusu Junior2Ellen Animah Agyei3Patrick Kwashie Akorsu4Edward Marfo-Yiadom5George Amfo-Antiri6Department of FinanceDepartment of FinanceDepartment of FinanceDepartment of Business and Social Science EducationDepartment of FinanceDepartment of AccountingCollege of Distance Education Directorate of FinanceWe revisit the flight-to-quality (FTQ) and flight-from-quality (FFQ) occurrences vis-à-vis the stock-bond nexus across differing investment time scales in the COVID-19 era, using a novel technique hinged on a denoised frequency-domain transfer entropy. Our findings divulge that flights, both FTQ and FFQ, could be attained during stress periods. Generally, in the intermediate term of the COVID-19 pandemic, both Islamic and conventional bonds could act as safe havens, diversifiers, and hedges for international equities, and the same could be observed for international equities. We reiterate empirically that flights may improve the financial system’s stability and robustness by allowing diversity to be effective when it is most required. The findings have financial and portfolio implications for investors considering how to deploy their investments in the COVID-19 era. Our findings may impact policymakers’ responses to changes in various asset classes, allowing them to better monitor financial markets and adjust macroeconomic policies.http://dx.doi.org/10.1155/2022/1027495 |
| spellingShingle | Ahmed Bossman Samuel Kwaku Agyei Peterson Owusu Junior Ellen Animah Agyei Patrick Kwashie Akorsu Edward Marfo-Yiadom George Amfo-Antiri Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy Complexity |
| title | Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy |
| title_full | Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy |
| title_fullStr | Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy |
| title_full_unstemmed | Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy |
| title_short | Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy |
| title_sort | flights to and from quality with islamic and conventional bonds in the covid 19 pandemic era iceemdan based transfer entropy |
| url | http://dx.doi.org/10.1155/2022/1027495 |
| work_keys_str_mv | AT ahmedbossman flightstoandfromqualitywithislamicandconventionalbondsinthecovid19pandemiceraiceemdanbasedtransferentropy AT samuelkwakuagyei flightstoandfromqualitywithislamicandconventionalbondsinthecovid19pandemiceraiceemdanbasedtransferentropy AT petersonowusujunior flightstoandfromqualitywithislamicandconventionalbondsinthecovid19pandemiceraiceemdanbasedtransferentropy AT ellenanimahagyei flightstoandfromqualitywithislamicandconventionalbondsinthecovid19pandemiceraiceemdanbasedtransferentropy AT patrickkwashieakorsu flightstoandfromqualitywithislamicandconventionalbondsinthecovid19pandemiceraiceemdanbasedtransferentropy AT edwardmarfoyiadom flightstoandfromqualitywithislamicandconventionalbondsinthecovid19pandemiceraiceemdanbasedtransferentropy AT georgeamfoantiri flightstoandfromqualitywithislamicandconventionalbondsinthecovid19pandemiceraiceemdanbasedtransferentropy |