Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications. (March 2023)

• Record Type: Journal Article
• Authors: Abdullah, Mohammad; Chowdhury, Mohammad Ashraful Ferdous; Sulong, Zunaidah
• Is Part Of: Resources policy. Volume 81(2023)
• Publication Date: 2023-03
• Subjects: Halal tourism stocks -- Green stocks -- Asymmetric efficiency -- Connectedness -- Portfolio diversification; G14 -- G15; Mines and mineral resources -- Periodicals; Ressources minérales -- Périodiques; Ressources naturelles -- Gestion -- Périodiques; Environnement -- Politique gouvernementale -- Périodiques; 333.8
• DOI: 10.1016/j.resourpol.2023.103419
• Languages: English
• ISSNs: 0301-4207

Abstract

Abstract: This study examines asymmetric efficiency and connectedness among halal tourism stocks, green stocks, cryptocurrency, gold, and oil using data covering the period from 2018M12–2022M09. Employing asymmetric multifractal detrended cross-correlation analysis, this study finds gold to be the most efficient asset and halal tourism stocks to be more efficient than green stocks. The asymmetric connectedness approach identifies green stocks as net transmitters of return shocks in all market conditions and halal tourism stocks (oil) as net receivers of return shocks in normal and upward (downward) market conditions. The connectedness among the assets increases during major economic events such as COVID-19 and the Russia–Ukraine war. Portfolio analysis suggests that the minimum connectedness portfolio outperforms all the other methods and shows halal tourism and green stocks offer significant hedging effectiveness. Our findings have significant implications for investors and policymakers seeking to diversify portfolios, manage risks, and regulate information in periods of financial turmoil and asymmetric market conditions. Highlights: We examine the asymmetric efficiency and connectedness for portfolio implications. Asymmetric multifractal analysis identifies gold as the most efficient asset. Asymmetric connectedness shows halal tourism is the net receiver in overall markets. Dynamic analysis shows the time-varying nature of connectedness. Portfolio analysis indicates the hedging potential of halal tourism and green stocks.