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

Author

Listed:
  • Mohammad Ashraful Ferdous Chowdhury
  • Mohammad Abdullah
  • Mansur Masih

    (King Fahd University of Petroleum and Minerals (KFUPM), Dhahran, Saudi Arabia)

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.

Suggested Citation

  • Mohammad Ashraful Ferdous Chowdhury & Mohammad Abdullah & Mansur Masih, 2024. "Risk Spillover of Russia-Ukraine War and Oil Price on Asian Islamic Stocks and Cryptocurrency - A Quantile Connectedness Approach," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 4(4), pages 1-8.
    • Handle: RePEc:ayb:jrnael:112
    DOI: 2024/07/08
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    More about this item

    Keywords

    Islamic stocks; Bitcoin; Connectedness;
    All these keywords.

    JEL classification:

    • H56 - Public Economics - - National Government Expenditures and Related Policies - - - National Security and War
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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