book chapter
Drawing on daily returns from June 2018 to March 2024, this study evaluates how a multi-asset portfolio of Islamic finance equities (DJIM), sustainability indices (DJSW), WTI crude oil, and gold can jointly enhance risk mitigation and ESG alignment. Utilizing an R2 connectedness framework that combines partial correlation networks, VAR modeling, and GFEVD, we quantify dynamic spillovers and shock transmissions as percentage contributions to forecast variance. Empirical results reveal that WTI and clean-energy benchmarks deliver the strongest hedging benefits across Minimum Variance, Minimum Correlation, and Minimum Connectedness portfolios. Islamic finance and sustainability indices, while offering moderate volatility reduction, assume a vital defensive role during market stress by upholding Shariah compliance and ethical mandates.
This page summarises published work. The authoritative version sits with the publisher.
DOI: 10.4018/979-8-3373-2655-9.ch012
Is something wrong with this record? Report it or request removal.
Discussion
Have you built on this work, tried to replicate it, or seen it applied in practice? Share what you know. Verified researchers and MARATTO™ domain experts can open a discussion, and any member can reply. Contributions are reviewed before they appear.
No discussion yet. Open the first thread.
New to MARATTO™? Create a free account.
