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Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Sitara Karim (Department of Business Administration, Faculty of Management Sciences, ILMA University, Karachi, Pakistan)
Muhammad Abubakr Naeem (Accounting and Finance Department, College of Business and Economics, United Arab Emirates University, Al Ain, United Arab Emirates) (South Ural State University National Research University, Celabinsk, Russian Federation)

International Journal of Managerial Finance

ISSN: 1743-9132

Article publication date: 23 February 2022

Issue publication date: 12 July 2022




This study aims to examine the connectedness among green, Islamic and conventional financial markets from December 2008 to May 2021. Moreover, the impact of global factors on the connectedness of given financial markets is also observed.


This study first employed the time-varying parameter vector autoregressions (TVP-VAR) technique to explore the connectedness of markets. Second, This study utilized the wavelet coherence analysis to test the time-frequency impact of global factors in terms of implied volatilities of stock, oil, gold, currency and bond on the connectedness across financial markets.


This study finds Islamic stocks, sustainability index and S&P500 composite index are the net transmitters, whereas Sukuk, commodity index, bond market, clean energy and green bonds are the net recipient of spillovers. Time-varying features of green, Islamic and conventional financial markets are evident in system-wide connectedness. This study further evidenced that global factors drive the connectedness of financial markets, particularly during stressful times.

Practical implications

The findings of this study furnish significant implications for policymakers, regulatory authorities, investors, financial market participants and portfolio managers in terms of carefully assessing the unique characteristics offered by each financial market in terms of risk mitigation and diversifying the portfolios.


Using a portfolio of green, Islamic and conventional financial markets, the uniqueness of this study lies in the examination of the connectedness of these markets by deploying the TVP-VAR technique. In addition, wavelet analysis offers a significant contribution in terms of global factors driving the connectedness of green, Islamic and conventional markets.



Karim, S. and Naeem, M.A. (2022), "Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?", International Journal of Managerial Finance, Vol. 18 No. 4, pp. 639-660.



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