Unraveling financial interconnectedness: A quantile VAR model analysis of AI-based assets, sukuk, and islamic equity indices

Mabruk Billah

Research in International Business and Finance, 2025, vol. 75, issue C

Abstract: This study delves into the interrelationships among AI-based financial assets, Sukuk, and Islamic equity indices in the financial markets using the Quantile VAR Model over the period from May 7, 2019, to May 31, 2024. The primary focus is on analyzing the linkages and connectedness between diverse market segments, with an emphasis on tail-based dependencies. The research also considers the impact of various market variables to shed light on how spillovers between different market segments at different quantiles are influenced. The findings indicate varying degrees of interconnectedness across upper, average, and lower quantiles, with fluctuating intensity in return spillovers over time. Notably, extreme high (E.H.) and low (E.L.) conditions, such as those present during events like the COVID-19 pandemic, the Russia-Ukraine conflict, and the Palestine-Israel conflicts, demonstrate parallel dependencies and distinct market behaviors. The directional effects assessments reveal changing levels of connectedness between different market indices over time, with shifts from receivers to transmitters and vice versa. The insights from this study have practical implications for policymakers and market participants, as they offer crucial guidance for developing effective regulatory policies, investment strategies, and risk management approaches in the dynamic financial landscape.

Keywords: Artificial intelligence, Extreme Volatility; Financial Markets; Quantile VAR; Risk Spillovers; Tail Dependence; COVID-19, Russia-Ukraine conflict (search for similar items in EconPapers)
JEL-codes: C58 C60 G11 G12 G13 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005117

DOI: 10.1016/j.ribaf.2024.102718

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