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The Nexus of Conventional, Religious and Ethical Indexes During Crisis

Abdelsalam, Omneya; Felix Ahelegbey, Daniel; Essanaani, Yassine

Authors

Daniel Felix Ahelegbey



Abstract

This study examines the interconnectedness between conventional and ethical indexes. Using a Bayesian graphical vector autoregressive model, we derive the contemporaneous and temporal interdependencies among these stock index returns before and during the Covid-19 pandemic. Our model specification strategy combines vector autoregressive models with networks. The findings provide empirical evidence of increased interconnectedness during the Covid-19 period across all networks. Notably, the religious and FTSE Islamic networks exhibited greater resilience during the pandemic. This could be attributed to the rigorous screening processes for religious portfolios, which focus on lower-leveraged equity stocks, contributing to their stability. Additionally, our results show that the Covid-19 crisis affected network density and the roles of key player shock transmitter entities, as indicated by changes in hub and authority scores, with new key players emerging during the crisis.

Citation

Abdelsalam, O., Felix Ahelegbey, D., & Essanaani, Y. (in press). The Nexus of Conventional, Religious and Ethical Indexes During Crisis. Journal of International Financial Markets, Institutions and Money,

Journal Article Type Article
Acceptance Date Jul 2, 2024
Deposit Date Jul 3, 2024
Journal Journal of International Financial Markets, Institutions and Money
Print ISSN 1042-4431
Publisher Elsevier
Peer Reviewed Peer Reviewed
Keywords Covid-19; Conventional; Ethical; Islamic; Stock Index; Networks; VAR
Public URL https://durham-repository.worktribe.com/output/2515130