Risk Spillover of Russia-Ukraine War and Oil Price on Asian Islamic Stocks and Cryptocurrency - A Quantile Connectedness Approach

Mohammad Ashraful Chowdhury, Mohammad Abdullah and Mansur Masih ()
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Mansur Masih: King Fahd University of Petroleum and Minerals (KFUPM), Dhahran, Saudi Arabia

Asian Economics Letters, 2024, vol. 4, issue 4, 1-8

Abstract: This paper makes an initial attempt to investigate the risk spillover of the Russia-Ukraine war and oil price on Asian Islamic Stocks and bitcoin. We apply quantile-based connectedness measures using daily return data covering four Asian Islamic stock indices–oil, gold, bitcoin, and war panic–from February 1, 2022, to July 15, 2022. The results indicate higher connectedness in the upper and lower quantiles compared to the middle quantile, which implies that return shocks react more sharply during high war panic.

Keywords: Islamic stocks; Bitcoin; Connectedness (search for similar items in EconPapers)
JEL-codes: G11 G21 H56 (search for similar items in EconPapers)
Date: 2024
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