The connectedness of oil shocks, green bonds, sukuks and conventional bonds

Author First name, Last name, Institution

Zaghum Umar, Zayed UniversityFollow
Afsheen Abrar, National University of Modern Languages
Sinda Hadhri, ESDES
Tatiana Sokolova, HSE University

Document Type

Article

Source of Publication

Energy Economics

Publication Date

3-1-2023

Abstract

We analyze the impact of oil price shocks on three unique fixed income asset classes representing conventional bonds, Islamic bonds (sukuks) and green bonds by employing network dynamic connectedness framework. Our sample period ranges from May 1, 2009, to March 1, 2022, covering the aftermath of global financial crisis, subsequent boom and bust of oil markets and the COVID-19 pandemic. We document a sizable connectedness of oil price shocks with fixed income asset classes. We document oil demand and risk shocks' role as main transmitters of spillover. Our findings have important implications for investors, policy makers and regulators.

DOI Link

10.1016/j.eneco.2023.106562

ISSN

0140-9883

Publisher

Elsevier BV

Volume

119

Disciplines

Business

Keywords

Bonds, Connectedness analysis, Green bonds, Oil, Sukuks

Scopus ID

85148956164

Recommended Citation

Umar, Zaghum; Abrar, Afsheen; Hadhri, Sinda; and Sokolova, Tatiana, "The connectedness of oil shocks, green bonds, sukuks and conventional bonds" (2023). All Works. 5667.
https://zuscholars.zu.ac.ae/works/5667

Indexed in Scopus

yes

Open Access

no