Time-frequency comovements between environmental cryptocurrency sentiment and faith-based sectoral stocks

Ahmed Bossman, Mariya Gubareva, Samuel Kwaku Agyei and Xuan Vinh Vo

International Review of Economics & Finance, 2024, vol. 91, issue C, 699-719

Abstract: The growth of digital assets in recent periods are accompanied by negative externalities, which raise concerns over sustainability. This has influenced the news content on both conventional and social media outlets, leading to the creation of the index of cryptocurrency environmental attention (ICEA). Given the pivotal role of social and conventional media in forming investors’ attitudes and behavior in financial markets, we address this issue from the perspective of Islamic stocks, which by their nature represent a class of Shariah-compliant sustainable assets. With dataset spanning from 2014 onwards up to July 2022, we analyze how the ICEA induces market dynamics in Islamic stocks covering diverse economic sectors. By applying the bi-wavelet-based time-frequency econometric framework, our empirical findings reveal time-varying levels of coherence between the ICEA and Islamic sectoral stocks, implying that the pricing and returns-generating dynamics across various economic sectors in Islamic markets are led by media coverage on environmental attention vis-à-vis the mining and trade of cryptocurrencies. Notwithstanding, our results indicate that the real “brick-and-mortar” categories of faith-based stocks, which contains the basic materials, consumer goods, industrials, and oil & gas sectors, provide attractive diversification attributes. Our findings are important for risk, portfolio, and policy management.

Keywords: Faith-based investments; Islamic stocks; Economic sectors; Cryptocurrency environmental attention; ICEA; Wavelet analysis; Time-frequency analysis; Comovements (search for similar items in EconPapers)
JEL-codes: C22 C58 G10 G11 G15 G19 G40 G41 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:91:y:2024:i:c:p:699-719

DOI: 10.1016/j.iref.2024.01.068

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