Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications

Mohammad Abdullah, Mohammad Ashraful Chowdhury and Zunaidah Sulong

Resources Policy, 2023, vol. 81, issue C

Abstract: This study examines asymmetric efficiency and connectedness among halal tourism stocks, green stocks, cryptocurrency, gold, and oil using data covering the period from 2018M12–2022M09. Employing asymmetric multifractal detrended cross-correlation analysis, this study finds gold to be the most efficient asset and halal tourism stocks to be more efficient than green stocks. The asymmetric connectedness approach identifies green stocks as net transmitters of return shocks in all market conditions and halal tourism stocks (oil) as net receivers of return shocks in normal and upward (downward) market conditions. The connectedness among the assets increases during major economic events such as COVID-19 and the Russia–Ukraine war. Portfolio analysis suggests that the minimum connectedness portfolio outperforms all the other methods and shows halal tourism and green stocks offer significant hedging effectiveness. Our findings have significant implications for investors and policymakers seeking to diversify portfolios, manage risks, and regulate information in periods of financial turmoil and asymmetric market conditions.

Keywords: Halal tourism stocks; Green stocks; Asymmetric efficiency; Connectedness; Portfolio diversification (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001277

DOI: 10.1016/j.resourpol.2023.103419

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