Could the Russia-Ukraine war stir up the persistent memory of interconnectivity among Islamic equity markets, energy commodities, and environmental factors?

Mahdi Ghaemi Asl and Sami Ben Jabeur

Research in International Business and Finance, 2024, vol. 69, issue C

Abstract: The intricate network of global interconnections and interdependencies unveils the profound implications of conflicts on a global scale, affecting financial, energy, and environmental systems. Thorough analysis of these far-reaching consequences can provide valuable insights for decision-makers, enabling them to effectively manage risks within the highly interconnected global context. This research examines the influence of the Russo-Ukrainian conflict, spanning from February 24th, 2022 to March 16th, 2023, on persistent memory of TVP-VAR-based connectedness among developed, emerging, and frontier equity markets, energy commodities, and environmental factors using a long short-term memory (LSTM) network. Persistent memory, in the context of an LSTM approach, pertains to the capacity of the model to retain and propagate information from prior time steps throughout the network over a prolonged duration. Our results indicate that the connection of developed stocks to oil and carbon markets is reduced after the war, whereas the opposite response is observed for emerging ones, except for the Shariah emerging-carbon market pair. Additionally, frontier stocks limit their synthesis to the carbon market, but increase it for the oil market. The current study shows that all conventional and budding stocks maintain a better persistent memory of their connection to oil markets during the chaotic period, but only Shariah markets promote their connectivity with the carbon market since they are more closely aligned with environmental standards due to their exclusion criteria. The findings can be helpful for investors and regulators fin order to have a deeper understanding of market linkages and designing green policies.

Keywords: Connectedness; Persistent memory; Stock market; Oil market; Carbon emissions price (search for similar items in EconPapers)
JEL-codes: D53 H56 Q49 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000527

DOI: 10.1016/j.ribaf.2024.102260

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