Dynamic return connectedness and spillover effects between Shariah Islamic indices and commodity futures market during black swan events: a quantile VAR connectedness approach

M. Thilaga (), V. Veeravel () and K. Prabhakar Rajkumar ()
Additional contact information
M. Thilaga: Periyar University
V. Veeravel: LNJN-NICFS-National Forensic Sciences University
K. Prabhakar Rajkumar: Central University of Tamil Nadu

SN Business & Economics, 2025, vol. 5, issue 11, 1-25

Abstract: Abstract The present study explores the dynamic return connectedness and spillover effects between Shariah Islamic indices and the commodity futures market during the black swan events such as the COVID-19 pandemic and the Russia-Ukraine war. The study employs a newly proposed quantile vector autoregression (QVAR) spillover approach of Chatziantoniou et al. (2021) on daily data from May 7, 2014, to September 29, 2023. Further, we divide the full sample into three sub-periods: pre-COVID-19, post-COVID-19, and the Russia-Ukraine war. The study results show a strong total spillover connectedness between Shariah Islamic indices and the commodity futures market during the entire study period. Further, the study also finds that the net directional connectedness results document that the Shariah Islamic indices exhibit the highest source of shocks to commodity futures returns in the lower and upper quantiles. The overall results show a strong and significant time-varying connectedness between Shariah Islamic indices and commodity futures returns during the black swan events.

Keywords: Commodity futures; Islamic indices; Quantile connectedness; Spillover effect; Return connectedness; Russia-Ukraine war (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s43546-025-00946-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:snbeco:v:5:y:2025:i:11:d:10.1007_s43546-025-00946-0

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/43546

DOI: 10.1007/s43546-025-00946-0

Access Statistics for this article

SN Business & Economics is currently edited by Gino D'Oca

More articles in SN Business & Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().