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The purpose of this study is to evaluate whether the classification of the equity mutual fund depends on the performance measure used.

The sample for this study includes stock mutual funds for the USA, Europe and emerging market economies covering the period 2010 to 2020. Using more than 20 performance measures the results are compared using the Sharpe ratio as the reference.

The results show that performance measures based on absolute reward–risk ratios like Sortino, Treynor, etc. have similar rankings, because in general the numerator (mean excess return) is the same. However, when the authors employ other types of performance measures, results may be significantly different, especially in the case of metrics for “incremental returns”, i.e. alphas. Focussing on markets, their results show that choosing performance measures is more relevant for emerging markets.

The sample is only limited to the USA, Europe and the emerging market, and there are other performance metrics in the literature which have not been covered in this work.

The ordering of equity mutual funds depends on the measure used, specially if investors employ factor models to measure excess returns (alphas). Hence, policy formulation on disclosure of mutual fund performance should encourage the use of several metrics from different families. Investors must be aware of the different rankings made and the most appropriate metrics based on their preferences.

This paper focusses specifically on the effect that performance metrics have on relative fund performance. Previous studies have ignored alpha metrics to rank funds, which are commonly employed by investors. The authors’ study performs an analysis for three different markets considering the two main developed ones (the American and European equity markets), as well as the emerging one, largely ignored until now.

The purpose of this paper is to investigate the determinants of users' intention to continue to invest in cryptocurrencies. The paper also aims to examine the impact of hedonic motivation and the legal environment on perceived value in cryptocurrencies.

A questionnaire was designed to obtain data from 258 respondents in UAE. The Structural Equation Modeling – Partial Least Squares (SEM-PLS) was used to evaluate the research model and test the hypotheses.

The results of smart PLS path analysis showed that perceived value, hedonic motivation, gambling attitude, and price volatility were significant determinants of the continued intention to invest in cryptocurrency. This study also revealed that hedonic motivation enhances perceived value and improves the perception of cryptocurrencies value from user's perspective.

This study provides new insights into the literature on cryptocurrencies adoption, and delivers advanced understanding about the determinants of user's intention to continue investing in cryptocurrencies. In addition, the study provides important practical implications for cryptocurrencies companies to promote this financial technology to users by enhancing the knowledge of policy makers about how investors think and get motivated towards a continued investment of cryptocurrencies.

This study aims to investigate the relationship between stock markets, environmental, social and governance (ESG) factors and Shariah-compliant in an integrated framework.

The authors employ the multivariate factor stochastic volatility (mvFSV) framework to extract the volatility of the different sectoral indices. Based on this evidence, the authors employ the quantile vector autoregressive (QVAR) approach to examine the dynamic spillover connectedness among the aforementioned indices.

The study emphasizes the following major findings: (1) significant time-varying spillover connectedness across quantiles, (2) bidirectional and asymmetric spillover effect among the ESG index and the other sectoral indices, (3) the strength of spillover connectedness is time-varying across quantiles, (4) based on the perspective of portfolio optimization, ESG market is a significant strong forecasting contributor to conventional and Shariah-compliant markets, (5) overall, the findings point out serious quantile pass-through effect among ESG index and the other sectoral indices during the COVID-19 health crisis.

This study extends the previous literature in the following ways. First, to the best of the researchers’ knowledge, none of the existing studies have investigated the relationship between stock markets, ESG factors and Shariah-compliant in an integrated framework. Second, this study extends the previous scholarships by applying the mvFSV. Third, the authors propose a new rolling version to estimate dynamic spillovers, namely the rolling-window quantile VAR method. This approach provides a great advantage in computing the dynamics of return and variance spillover between variables in terms not only of the overall factor but also of the net (pairwise) aspect.

This paper aims to explore the impact of the COVID-19 pandemic on the market timing skills of Islamic equity funds in Asia, Europe and North America.

The authors employed a two-step process. First, a Granger causality test is applied to test the bivariate relationship between Islamic fund indices and stock market ones by highlighting the impact of the COVID-19 pandemic. Second, the methodology of Treynor and Mazuy (1966) is deployed to account for the market timing abilities skills of Islamic fund managers during the pandemic period.

The investigation revealed mixed results. The European Islamic funds were positively impacted by the stock market as well as by the COVID-19 pandemic context. Additionally, compared to their Asian and North American peers, only European Islamic fund managers have the ability to time the market during the health crisis period.

Despite its contribution to the Islamic finance literature, this study has some flaws. Indeed, the selected sample of three regions, namely Asia, Europe and North America, precludes extrapolating these conclusions. Other regions should be investigated to further our understanding of Islamic equity funds. Furthermore, due to data availability and accessibility, the study period was limited to a specific time of the COVID-19 pandemic. This shortcoming can be addressed through a multiwave investigation, especially since each region was exposed differently to the pandemic.

The paper provides scholars, portfolio managers and investors with insights regarding the investment dilemma during the COVID-19 pandemic period, especially for those wishing to hedge their pandemic risk exposure and/or diversify their portfolios. Equally, the depiction of potential market timing abilities of Islamic fund managers across the three regions would serve as a guide to identifying the most suitable internationally focused investment strategy.

The paper provides scholars, portfolio managers and investors with insights regarding the investment dilemma during the COVID-19 pandemic period, especially for those wishing to hedge their pandemic risk exposure and/or diversify their portfolios. Equally, the depiction of potential market timing abilities of Islamic funds managers across the three regions would serve as a guide to identify the most suitable internationally focused investment strategy.

The originality of this investigation is that it is the first to examine Islamic equity fund managers and their skills to time the stock markets during the COVID-19 pandemic period in Asia, Europe and North America. The current paper extends the Islamic finance literature.

This study aims to investigate the impact of the COVID-19 pandemic on the time-frequency connectedness between green bonds, stock markets and commodities (Brent and Gold), with a particular focus on China and its implication for portfolio diversification across different frequencies.

To this end, the authors implement the frequency connectedness approach of Barunik and Krehlik (2018), followed by the network connectedness before and during the COVID-19 outbreak. In particular, the authors implement more involvement in portfolio allocation and risk management by estimating hedge ratios and hedging effectiveness for green bonds and other financial assets.

The time-frequency domain spillover results show that gold is the net transmitter of shocks to green bonds in the long run, whereas green Bonds are the net recipients of shocks, irrespective of time horizons. The subsample analysis for the pandemic crisis period shows that green bonds dominate the network connectedness dynamic, mainly because it is strongly connected with the SP500 index and China (SSE). Thus, green bonds may serve as a potential diversifier asset at different time horizons. Likewise, the authors empirically confirm that green bonds have sizeable diversification benefits and hedges for investors towards stock markets and commodity stock pairs before and during the COVID-19 outbreak for both the short and long term. Gold only offers diversification gains in the long run, while Brent does not provide the desired diversification gains. Thus, the study highlights that green bonds are only an effective diversified.

This study contributes to the existing literature by improving the understanding of the interconnectedness and hedging opportunities in short- and long-term horizons between green bonds, commodities and equity markets during the COVID-19 pandemic shock, with a particular focus on China. This study's findings provide more implications regarding portfolio allocation and risk management by estimating hedge ratios and hedging effectiveness.

This study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) vis-à-vis conventional investments (namely, equity index, gold and commodities).

The authors examine the sample period 2007–2021 using the bivariate cross-quantilogram (CQG) analysis and a dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity (GARCH) experiment with several extensions.

The evidence shows that the analyzed ESG investments exhibit mainly diversifying features depending on the asset class taken as a reference, with some potential hedging/safe-haven qualities (for the green bond) in peculiar timespans. Therefore, the results suggest that investors might consider sustainable investing as a new measure of risk reduction, which has interesting implications for both portfolio allocation and policy design.

To the best of the authors’ knowledge, this study is the first that empirically investigates at once the dependence between different ESG investments (i.e. equity and green bond) with different conventional investments such as gold, equity and commodity market indices over a large sample period (2007–2021). Well-suited methodologies like the bivariate CQG and the DCC multivariate GARCH are used to capture the spillover effect and the hedging/diversifying nature, even in temporary contexts. Finally, a global perspective is used.

The authors investigate whether firm-specific vulnerability to climate change influences foreign exchange hedging, using a novel text-based measure of firm-level climate change exposure generated by state-of-the-art machine-learning algorithms.

The authors' empirical analysis includes firm-fixed effects, random-effects regressions, propensity score matching (PSM), entropy balancing, an instrumental-variable analysis and using an exogenous shock as a quasi-natural experiment.

The authors' findings suggest that greater climate change exposure brings about a significant reduction in exchange rate hedging. Companies more exposed to climate change may invest significant resources to address climate change risk, such that they have fewer resources available for currency risk management. Additionally, firms seriously coping with climate change risk may view exchange rate risk as relatively less important in comparison to the risk posed by climate change. Notably, the authors also find that the negative effect of climate change exposure on currency hedging can be specifically attributed to the regulatory aspect of climate change risk rather than the physical dimension, suggesting that companies view the regulatory dimension of climate change as more critical.

Recent studies have demonstrated that climatic fluctuations represent one of the most recent sources of unpredictability, thereby impacting the economy and financial markets (Barnett et al., 2020; Bolton and Kacperczyk, 2020; Engle et al., 2020). The authors' study advances this field of research by revealing that company-specific exposure to climate change serves as a significant determinant of corporate currency hedging, thus expanding the existing knowledge base.

In this paper, the authors investigate the impact of the confirmation bias on returns, expectations and hedging of optimistic and pessimistic traders in the cryptocurrencies, commodities and stock markets before and during COVID-19 periods.

The authors investigate the impact of the confirmation bias on the estimated returns and the expectations of optimistic and pessimistic traders by employing the financial stochastic model with confirmation bias. Indeed, the authors compute the optimal portfolio weights, the optimal hedge ratios and the hedging effectiveness.

The authors find that without confirmation bias, during the two sub periods, the expectations of optimistic and pessimistic trader’s seem to convergence toward zero. However, when confirmation bias is particularly strong, the average distance between these two expectations are farer. The authors further show that, with and without confirmation bias, the optimal weights (the optimal hedge ratios) are found to be lower (higher) for all pairs of financial market during the COVID-19 period as compared to the pre-COVID-19 period. The authors also document that the stronger the confirmation bias is, the lower the optimal weight and the higher the optimal hedge ratio. Moreover, results reveal that the values of the optimal hedge ratio for optimistic and pessimistic traders affected or not by the confirmation bias are higher during the COVID-19 period compared to the estimates for the pre-COVID period and inversely for the optimal hedge ratios and the hedging effectiveness index. Indeed, either for optimists or pessimists, the presence of confirmation bias leads to higher optimal hedge ratio, higher optimal weights and higher hedging effectiveness index.

The findings of the study provided additional evidence for investors, portfolio managers and financial analysts to exploit confirmation bias to make an optimal portfolio allocation especially during COVID-19 and non-COVID-19 periods. Moreover, the findings of this study might be useful for investors as they help them to make successful investment decision in potential hedging strategies.

First, this is the first scientific work that conducts a stochastic analysis about the impact of emotional biases on the estimated returns and the expectations of optimists and pessimists in cryptocurrency and commodity markets. Second, the originality of this study stems from the fact that the authors make a comparative analysis of hedging behavior across different markets and different periods with and without the impact of confirmation bias. Third, this paper pays attention to the impact of confirmation bias on the expectations and hedging behavior in cryptocurrencies and commodities markets in extremely stressful periods such as the recent COVID-19 pandemic.

This paper aims to examine the dynamic conditional correlation (DCC) and hedging ratios between Dow Jones markets and oil, gold and bitcoin. Using daily data, including the COVID-19 pandemic and the Russia–Ukraine war. We employ the DCC-generalized autoregressive conditional heteroskedasticity (GARCH) and asymmetric DCC (ADCC)-GARCH models.

DCC-GARCH and ADCC-GARCH models.

The most of DCCs among market pairs are positive during COVID-19 period, implying the existence of volatility spillovers (Contagion-effects). This implies the lack of additional economic gains of diversification. So, COVID-19 represents a systematic risk that resists diversification. However, during the Russia–Ukraine war the DCCs are negative for most pairs that include Oil and Gold, implying investors may benefit from portfolio-diversification. Our hedging analysis carries significant implications for investors seeking higher returns while hedging their Dow Jones portfolios: keeping their portfolios unhedged is better than hedging them. This is because Islamic stocks have the ability to mitigate risks.

Our paper may make a valuable contribution to the existing literature by examining the hedging of financial assets, including both conventional and Islamic assets, during periods of stability and crisis, such as the COVID-19 pandemic and the Russia–Ukraine war.

This study examines the dynamics of the comovement and causal relationship between conventional (Bitcoin, Ethereum and Binance coin) and Islamic (OneGram, X8X token and HelloGold) cryptocurrencies.

This study uses wavelet coherence approach to examine the time-varying lead-lag relationship between conventional and Islamic cryptocurrencies. Furthermore, the authors use BEKK-GARCH model to estimate the optimal weights, hedge ratio and hedging effectiveness in pre-COVID-19 and during the COVID-19 period.

The authors find no significant comovement in pre-COVID-19. However, the authors find significant positive comovement in conventional and Islamic cryptocurrencies at the beginning of the pandemic, and in most cases, conventional cryptocurrencies are leading. X8X and HelloGold have no/weak correlation with conventional cryptocurrencies, implying that investors can diversify the risk by making an Islamic and conventional cryptocurrencies portfolio. The authors also calculate the optimal weights, hedge ratio and hedging effectiveness using the BEKK-GARCH model. Based on the optimal weights, for the portfolios of conventional–Islamic cryptocurrencies, investors are suggested to increase their investment in Islamic cryptocurrencies during the COVID-19 than normal period. The results of hedge ratios show that hedging costs are higher during COVID-19 than before.

The findings of the paper offer several practical policy implications for investors, portfolio manager, Shariah advisors and policymakers pertaining to asset allocation, risk management, forecasting and diversification. Specifically, investors can maximize the risk adjusted returns of their conventional cryptocurrencies portfolio by adding some portions of Islamic cryptocurrencies. Considering the comovement is time-varying, investors/manager should adjust their investment strategies frequently. For the entrepreneurs in crypto-industry, it is advised to introduce new Islamic cryptocurrencies, as it has a huge growth potential because of their distinct features and performance.

This is the first study that explores the linkages between conventional and Islamic cryptocurrencies, therefore this study extends the literature of Islamic finance, stablecoins and cryptocurrencies in pre-COVID-19 and during COVID-19 period. The study results provide insights to conventional crypto investor on how to manage their portfolio during normal and turbulent period.