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This study aims to contribute by expanding the existing literature on Sukuk return and volatility and exploring the implications of the Sukuk-exchange rate interactions.

This study examines the dynamic interactions of Sukuk with exchange rate in 15 countries, employing the Wavelet approach that considers both time and investment horizons.

The results reveal significant evolving coherence of Sukuk return and volatility with the underlying exchange rate. The relationship is more potent than what this study witnesses in their counterpart bond market. For Sukuk returns, the coherence is negative, whereas it is positive for volatility. Notably, the coherence is strong in the medium to long term and intensifies during extreme economic episodes, especially during the COVID-19 pandemic. These findings are further validated by comparing firm-level matched data for Sukuk and conventional bond.

To the best of the authors’ knowledge, this is the first study that reports the dynamic relationship of Sukuk return and volatility with the underlying exchange rate in 15 countries. Collectively, this study unites valuable insights for faith-based active Islamic investors and cross-border portfolio managers.

This study aims to investigate the impact of the rise in coronavirus disease 2019 (COVID-19) cases on stock prices, exchange rates and sovereign bond yields in both Brazil and India.

The authors employ the wavelet transform coherence (WTC) and continuous wavelet transform (CWT) techniques on daily data from March 17, 2020 to May 8, 2021.

The findings show that COVID-19 has no impact on exchange rates but slightly increases sovereign bond yields from 2021 onwards. In contrast, the effect of COVID-19 on stock prices is quite high in both countries. There is a considerable consistency between COVID-19 cases and stock prices across different time–frequency dimensions. The rise in COVID-19 cases has an increasing effect on stock prices in Brazil and India, especially in the high-frequency ranges.

As far as the authors know, no prior study has simultaneously analyzed the effects of the COVID-19 pandemic on exchange rates, stock prices and sovereign bonds in Brazil and India.

The purpose of this paper is to explore the relationship between Dow Jones Islamic Market World Index, Islamic gold-backed cryptocurrencies and halal chain in the presence of state (regime) dynamics.

The authors have used the Markov-switching model to identify bull and bear market regimes. Moreover, the dynamic conditional correlation, the Baba, Engle, Kraft and Kroner- generalized autoregressive conditional heteroskedasticity and the wavelet coherence models are applied to detect the presence of spillover and contagion effects.

The findings indicate various patterns of spillover between halal chain, Dow Jones Islamic Market World Index and Islamic gold-backed cryptocurrencies in high and low volatility regimes, especially during the COVID-19 pandemic. Indeed, the contagion dynamics depend on the bull or bear periods of markets.

These present empirical findings are important for current and potential traders in gold-backed cryptocurrencies in that they facilitate a better understanding of this new type of assets. Indeed, halal chain is a safe haven asset that should be combined with Islamic gold-backed cryptocurrencies for better performance in portfolio optimization and hedging, mainly during the COVID-19 period.

To the best of the authors’ knowledge, this paper is the first research on the impact of the halal chain on the Dow Jones Islamic Market World Index return, Islamic gold-backed cryptocurrencies returns in the bear and bull markets around the global crisis caused by the COVID-19 pandemic.

This study aims to examine the hedge, diversifier and safe-haven properties of bonds against infectious disease-related equity market volatility (IDEMV), like COVID-19.

The authors apply wavelet coherence methodology on the daily data of IDEMV and bond market (US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and Europe) indices from 1 January 2000 to 14 February 2021.

The results show no significant co-movement between these bond indices and IDEMV, thus confirming that they serve as a hedge against IDEMV. However, during the turbulent period like COVID-19, the authors find that the US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and European bond markets act as safe-haven against IDEMV, whereas the UK, US, Japan and Canadian bond markets demonstrate an in-phase and positive co-movement with IDEMV during COVID-19, suggesting their role as a diversifier.

The study findings are important for investors and portfolio managers regarding risk management, portfolio diversification and investment strategies.

The authors contribute to the fast growing body of work on the financial impacts of COVID-19 as well as to ongoing consideration of whether a bond is a safe-haven investment.

This paper aims to investigate the dynamic relationship between the investor sentiment and the return of various sectors in the Chinese stock market.

The wavelet coherence and wavelet phase angle approaches are used to study the lead–lag associations between sentiment index and stock returns in a time–frequency way. The multiscale linear and nonlinear Granger causality tests are performed to explore whether there is a causality between them.

The empirical results show that during normal period, investor sentiment index has a stronger relationship with stock returns of industrials, consumer discretionary, health care, utilities, real estate and financial sectors. In crisis period, investor sentiment has a significant positive relationship with all industry sectors. In the short term, there is bidirectional causality between investor sentiment and stock returns of all sectors. In the medium and long run, almost all sector stock returns Granger-cause the investors' sentiment index but investor sentiment does not Granger-cause all sectors, which is in contrast to the developed markets.

The interindustry impact of investment sentiment on the stock market can help construct arbitrage portfolio by investors who are interested in Chinese stock market.

This paper focuses on the industry sector differences of investor sentiment impact on the Chinese stock market. As far as the authors know, this is the first paper to explore the time–frequency relationship between sentiment index and industry stock returns in China using the time–frequency method based on wavelet coherence, which considers the heterogeneity of different types of investors' responses to various economic and financial events.

The study investigates the co-movements amongst real estate investments trust (REITs). This study examines the co-movements between the world and individual countries' REITs and the co-movements amongst country-pair REITs. This study explores the responsiveness of the REITs markets' co-movements to the 2008 global financial crisis (GFC), the coronavirus disease 2019 (COVID-19) pandemic and the Russian–Ukraine conflict.

The study employs a wavelet coherency technique and relies on data from six REITs markets over the 1995–2022 period.

The evidence shows a generally high level of coherency between the global and the country's REITs. The findings further indicate higher co-movements between some country pairs and a lower co-movement for others. The results suggest that the REITs markets increased in co-movements around the 2008 GFC, the COVID-19 pandemic and the Russian–Ukraine conflict. These increased co-movements mostly lasted for a short period suggesting REITs markets contagion around these global events. The results generally suggest interdependence between the global and the country's REITs. Additionally, interdependence is observed for some of the country-pair REITs.

The evidence indicates that REITs markets respond to global events. Thus, the increasing co-movement amongst REITs observed in this study may expose domestic REITs to global crisis. However, this study provides opportunities for minimising the cost of capital for real estate projects. Also, REITs provide limited diversification gains around crisis times. Therefore, countries need to open the REITs markets to global investors whilst pursuing policies to ensure the resilience of the REITs markets to global events. Investors should also take note of the declining geographic diversification gains from some country-pair REITs portfolios.

This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax gold as a diversifier and hedge asset.

This paper examines the volatility spillover between Pax gold and fiat currencies using the framework of wavelet analysis, BEKK-GARCH models and Range DCC-GARCH. Moreover, this paper proposes to use the covariance and variance structure obtained from the new range DCC-GARCH framework to estimate the time-varying optimal hedge ratios, the optimal weighs and the hedging effectiveness.

Wavelet coherence method reveals that, at low frequency, large zone of co-movements appears for the pairs Pax gold/EUR, Pax gold/JPY and Pax gold/RUB. Further, the BEKK results show unidirectional (bidirectional) transmission effects between Pax gold and EUR, GBP, JPY and CNY (INR, RUB) fiat currencies. Moreover, the Range DCC results show that the Pax gold and the fiat currency returns are weakly correlated with low coefficients close to zero. Thus, Pax gold seems to serve as a safe haven asset against the systematic risk of fiat currency markets. In addition, the results of optimal weights show that rational investor should invest more in Pax gold and less in fiat currencies. Concerning the hedge ratios results, the findings reveal that the INR (JPY) fiat currency appears to be the most expensive (cheapest) hedge for the Pax-gold market. However, the JPY’s fiat currency appears to be the cheapest one. As for hedging effectiveness results, the authors found that hedging strategies including fiat currencies–Pax gold pairs are most likely to sharply decrease the portfolio’s risk.

A comprehensive understanding of the relationship between Pax Gold and fiat currencies is crucial for refining portfolio strategies involving cryptocurrencies. This research underscores the significance of grasping volatility transmissions between these currencies, providing valuable insights to guide investors in their decision-making processes. Moreover, it encourages further exploration into the interdependencies of digital currencies. Additionally, this study sheds light on effective contagion risk management, particularly during crises such as Covid-19 and the Russia–Ukraine conflict. It underscores the role of Pax Gold as a safe-haven asset and offers practical guidance for adjusting portfolios across various economic conditions. Ultimately, this research advances our comprehension of Pax Gold’s risk-return profile, positioning it as a potential hedge during periods of uncertainty, thereby contributing to the evolving literature on cryptocurrencies.

This study’s primary value lies in its pioneering empirical examination of the time-varying correlations and scale dependence between Pax Gold and fiat currencies. It goes beyond by determining optimal time-varying hedge ratios through the innovative Range-DCC-GARCH model, originally introduced by Molnár (2016) and distinguished by its incorporation of both low and high prices. Significantly, this analysis unfolds within the unique context of the Covid-19 pandemic and the Russian–Ukrainian conflict, marking a novel contribution to the field.

While an increasing number of investors value socially responsible investment practices, Bitcoin has faced criticism for its carbon footprint resulting from excessive mining power consumption. By examining Bitcoin’s interconnectedness with environmental, social and governance (ESG) equities, this study aims to construct a socially responsible investment strategy for cypto investors.

This study uses wavelet analysis and a time-varying parameter vector autoregressive (TVP-VAR) model to uncover the interdependence between ESG equities and Bitcoin. This study computes the optimal ratio, showing that Bitcoin significantly reduces portfolio risk when combined with green stocks.

The results show that co-movements between green stocks and Bitcoin are low, indicating that they are suitable combinations for portfolio diversification. From an environmental perspective, this investment strategy offers a theoretical solution to mitigate the negative impacts associated with Bitcoin mining. It aims to address the dilemma faced by sustainability-conscious investors, who must navigate the economic payoff of Bitcoin against their commitment to green investment principles.

The findings can provide valuable insights for policymakers seeking to develop strategies that promote sustainable investments among crypto investors.

Research on ethical investment practices in the cryptocurrency market remains in the early stages of development. Ethical investors can benefit from including Bitcoin in their ESG equity portfolios.

The authors examine the volatility connections between the equity markets of China and its trading partners from developed and emerging markets during the various crises episodes (i.e. the Asian Crisis of 1997, the Global Financial Crisis, the Chinese Market Crash of 2015 and the COVID-19 outbreak).

The authors use the GARCH and Wavelet approaches to estimate causalities and connectedness.

According to the findings, China and developed equity markets are connected via risk transmission in the long term across various crisis episodes. In contrast, China and emerging equity markets are linked in short and long terms. The authors observe that China leads the stock markets of India, Indonesia and Malaysia at higher frequencies. Even China influences the French, Japanese and American equity markets despite the Chinese crisis. Finally, these causality findings reveal a bi-directional causality among China and its developed trading partners over short- and long-time scales. The connectedness varies across crisis episodes and frequency (short and long run). The study's findings provide helpful information for portfolio hedging, especially during various crises.

The authors examine the volatility connections between the equity markets of China and its trading partners from developed and emerging markets during the various crisis episodes (i.e. the Asian Crisis of 1997, the Global Financial Crisis, the Chinese Market Crash of 2015 and the COVID-19 outbreak). Previously, none of the studies have examined the connectedness between Chinese and its trading partners' equity markets during these all crises.

This study aims to investigate the impact of the COVID-19 pandemic on both of stock prices and investor's sentiment in China during the onset of the COVID-19 crisis.

In this study, the ADCC-GARCH model was used to analyze the asymmetric volatility and the time-varying conditional correlation among the Chinese stock market, the investors' sentiment and its variation. The authors relied on Diebold and Yilmaz (2012, 2014) methodology to construct network-associated measures. Then, the wavelet coherence model was applied to explore the co-movements between these variables. To check the robustness of the study results, the authors referred to the RavenPack COVID sentiments and the Chinese VIX, as other measures of the investor's sentiment using daily data from December 2019 to December 2021.

Using the ADCC-GARCH model, a strong co-movement was found between the investor's sentiment and the Shanghai index returns during the COVID-19 pandemic. The study results provide a significant peak of connectivity between the investor's sentiment and the Chinese stock market return during the 2015–2016 and the end of 2019–2020 turmoil periods. These periods coincide, respectively, with the 2015 Chinese economy recession and the COVID-19 pandemic outbreak. Furthermore, the wavelet coherence analysis confirms the ADCC results, which revealed that the used proxies of the investor's sentiment can detect the Chinese investors' behavior especially during the health crisis.

This study provides two main types of implications: on the one hand, for investors since it helps them to understand the economic outlook and accordingly design their portfolio strategy and allocate decisions to optimize their portfolios. On the other hand, for portfolios managers, who should pay attention to the volatility spillovers between investor sentiment and the Chinese stock market to predict the financial market dynamics during crises periods and hedge their portfolios.

This study attempted to examine the time-varying interactions between the investor's sentiment proxies and the stock market dynamics. Findings showed that the investor's sentiment is considered a prominent channel of shock spillovers during the COVID-19 crisis, which typically confirms the behavioral contagion theory.