Exploring the spillover of return between gold, Sharia stock, sukuk and exchange rate using TVP-VAR approach: ASEAN-5 case study

The study examines spillover of return across asset classes in the ASEAN-5. Our study sample consists of gold, S&P Shariah, DJ Sukuk, and the currencies of ASEAN-5. The TVP-VAR approach is employed to analyse the interconnections among the assets. The results show that Shariah stocks and gold are key players in the network’s net transmitter, and sukuk is the net receiver in the system. The highest return connectedness is between currency and Shariah stock, whereas the lowest is between gold and Shariah stock. The study suggests that investors can identify the connectedness channels of assets to better manage risk.