ABSTRACT

The purpose of this study is to investigate the return connectedness in the median, left, and right tail, using the novel methodology of quantile-based connectedness proposed by Ando et al. (2018). We use daily data covering the period from 1 January 2013 to 27 October 2020, which includes different financial crises occurring in GCC, Turkey, Malaysia, and Indonesia. Furthermore, analysing the dynamic connectedness, the Sukuk market was significantly influenced by the COVID-19 pandemic. Our findings reveal that the spillover structures in both upper and lower tails differ from those observed in the middle quantile. Finally, we find that Bahrain, Malaysia, Oman, and Qatar transmitted more spillovers than they admitted during the COVID-19 outbreak. These findings offer vital implications for regulators and policymakers, investors, traders, and portfolio managers regarding whether diversification across Sukuk indices is achievable during turbulent periods like COVID-19.

摘要

本研究的目的是使用 Ando 等人提出的基于分位数的连接性的新方法来研究中位数、左尾和右尾的回报连接性。（2018 年）。我们使用涵盖 2013 年 1 月 1 日至 2020 年 10 月 27 日期间的每日数据，其中包括海湾合作委员会、土耳其、马来西亚和印度尼西亚发生的不同金融危机。此外，分析动态连通性，Sukuk 市场受到 COVID-19 大流行的显着影响。我们的研究结果表明，上尾和下尾的溢出结构与在中间分位数中观察到的不同。最后，我们发现巴林、马来西亚、阿曼和卡塔尔在 COVID-19 爆发期间传播的溢出效应比他们承认的要多。这些发现对监管机构和政策制定者、投资者、交易员、