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January 24, 2026Future Business Journal1 citationsOpen Access

Dynamic Spillover Effects Among Islamic Stock Indices During Financial Crises

Dynamic spillover effect among Islamic stock indices amidst global financial crises: evidence from QVAR network and frequency connectedness

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Authors

SYSamuel Duku YeboahJGJohn Gartchie GatsiDKDavid Korsah

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Overview

Examines spillover effects in Islamic stock indices, highlighting their vulnerability during financial crises.

Key Points

  • The research aims to explore how Islamic stock indices are interconnected during global financial crises and their response to systemic shocks.
  • Utilized Quantile Vector Autoregression (QVAR) and frequency connectedness approach
  • Analyzed data from major Islamic stock indices during the COVID-19 pandemic and Russia–Ukraine war
  • Assessed short-term, medium-term, and long-term spillovers in varying market conditions
  • Developed Islamic markets are net shock transmitters; emerging markets are net receivers
  • Interconnectedness among indices increases during global crises
  • Islamic stocks show diminished safe-haven characteristics in systemic shocks
  • Portfolio optimization framework significantly mitigates systemic risk transmission
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Cite This Study

Yeboah et al. (2026) studied this question.

synapsesocial.com/papers/6974616cbb9d90c67120b3adhttps://doi.org/10.1186/s43093-026-00730-y
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