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The purpose of the study is to adopt Morlet’s wavelet method to examine the differences in the level of volatility (i.e. riskiness) between the conventional and Shari’ah indexes during the COVID-19 pandemic (February 4 to June 19, 2020) on selected Association of South East Asian Nation (ASEAN) and Gulf Cooperation Council (GCC) countries. As a comparison, the equivalent time period of relative tranquillity is used; February 4 to June 19, 2019.

Morlet’s wavelet method is used in analyzing the volatility levels for both the conventional and Shari’ah indexes before and during the COVID-19 pandemic for the selected ASEAN and GCC countries.

This study has several findings; first, the markets in the ASEAN region appear to be more volatile during the pandemic than in the GCC region. Second, most of the Shari’ah indexes were more volatile during the COVID-19 pandemic than their conventional counterparts. Nevertheless, the GCC index pairs appear to show more similarities between both the Shari’ah and conventional index.

The findings from this study indicate that investors, government, regulators and all other stakeholders should stay vigilant during a pandemic or health threat period as it has become a pertinent source of volatility spillovers. As such, investors should devise optimal asset allocation strategies, portfolio diversification and portfolio rebalancing measures, taking into consideration not only financial adversity but also public health gravity as a potential source of turbulent markets.

This study uses the wavelet method to examine the volatility level of both the Shari’ah and conventional indexes during the COVID-19 pandemic and its equivalent time frame in 2019. It has further added to the Islamic literature by comparing the volatility between selected ASEAN and GCC countries. The wavelet method is most appropriate for short-duration studies as it captures both the time and frequency domains of the time-series behavior.

The purpose of this paper is to study the effect of vapor assembly sequence and assembly temperature on the corrosion protection of the complex silane films Al alloy. The performance and application range of silane films are enhanced.

The complex silane films were successfully prepared on the surface of aluminum alloy using via vapor phase assembly of 1,2,3-benzotriazole (BTA) and dodecyltrimethoxysilanes (DTMS). The protection of the assembly films against corrosion of Al alloy is investigated by the electrochemical measurements and the alkaline solution accelerated corrosion test. Thickness and hydrophobicity of the complex films are studied using ellipsometric spectroscopy and contact angle tests.

It shows that the anti-corrosion ability of the complex films is overall superior to that of the single-component assembled films. DTMS-BTA films have larger thickness and best anti-corrosion ability. The alkyl chains in DTMS have better compatibility with BTA molecules. The rigid BTA molecule can permeate into the long alkyl chain of DTMS as fillers and improve the barrier properties of the complex films.

In this paper, a green and efficient method of vapor phase assembly is proposed to rust prevention during manufacture of Al alloy workpiece.

The study attempts to identify the linkages in the term structure of illiquidity and the impact of global and domestic factors on sovereign bonds in emerging Asia. The objective of the study ensues on defining the direction of illiquidity spillover across bonds of varying tenors.

This study explores the joint dynamics of contemporary liquidity risk premia and its time-varying effect on the term structure spectrum using the Diebold and Yilmaz (2012) spillover framework.

A substantial relationship was found to exist between the liquidity of bonds with closer terms to maturity. The macroeconomic environment primarily impacts the liquidity of 10-year bonds, and they spiral down to the subsequent bond liquidity, exhibiting a rippling effect. The authors further show that the direction of liquidity shock transmission is from long- to medium- and thence to short-term bonds. Among the global factors, foreign investments and S & P 500 VIX significantly affect the liquidity of 10-year bonds.

The study has several implications for academicians, policymakers and domestic and global investment professionals. The drivers of liquidity risk and the transmission across the term structure help investors in designing efficient portfolio diversification strategies. The results are relevant for cross-border investors in the valuation of emerging Asian sovereign bonds while deciding on asset allocations and hedging strategies. The monetary regulators strive on a continuous basis to improve the liquidity in sovereign bond markets in order to ensure efficient funding of development activities. This study finds that short-term bonds are more liquid than long-term bonds. Their auction framework with higher series of short-term bond issues helps to provide the required liquidity in the markets.

The term structure of illiquidity is upward sloping, inferring a higher underlying liquidity risk of long-term bonds compared to short-term bonds. This finding suggests that a higher representation of short-term bonds in the auction framework helps to enhance the overall market liquidity.

This study offers insights into the debate on the shape of the term structure of illiquidity and the point of origination of liquidity shocks. Further, the direction of spillover across a wide spectrum of bonds is also demonstrated.

In this paper, we study the effect of global energy and food inflation on household inflation expectations during the period 1988M01–2020M03 for a set of European economies.

We use multifractal de-trended cross-correlation analysis to estimate the non-linear and time-varying cross-correlation. We provide additional robustness tests using the Autoregressive-Distributed Lag method.

We find that household inflation expectations, global energy inflation and global food inflation are all multifractal. We also find that the household inflation expectations, global energy inflation and global food inflation are positively correlated (i.e., they are persistent). However, household inflation expectations respond more when the volatility of the global energy inflation is lower than when the volatility is higher. The correlation between household inflation expectations and global food inflation does not depend on the level of volatility.

First, paying attention to the global commodity inflation might help anchor inflation expectations better. It is so because Central Bank's efficacy in achieving price stability may be weakened if there is a relationship between commodity inflation and inflation expectation. This task would become even more difficult in the average inflation targeting regime than inflation targeting regime if actual inflation is persistently different from the target inflation. Second, our results also emphasize the importance of effective strategy for communicating to households about actual inflation, inflation target and keep them updated about how monetary policy functions.

We contribute to the literature by estimating the cross-correlation between household inflation expectations with the global commodity inflation, conditional to the volatility of the commodity inflation under consideration.

The purpose of this study is to examine the dynamic connectedness and volatility spillovers between commodities and corporations exhibiting the best environmental, social and governance (ESG) practices. In addition, the authors determine the optimal hedge ratios and portfolio weights for ESG and commodity investors and portfolio managers.

This study uses the novel frequency connectedness framework to point out volatility spillover between ESG indices covering the USA, developed and emerging markets and commodity indices, including energy (crude oil, natural gas and heating oil), industrial metals (aluminum, copper, zinc, nickel and lead) and precious metals (gold and silver) by using daily data between January 3, 2011 and May 26, 2021, covering significant socio-economic developments and the COVID-19 outbreak.

The results of this study suggest a total connectedness index at a mediocre level, mainly driven by the shocks creating uncertainty in the short term. And the results indicate that all ESG indices are net volatility transmitters, and all commodity indices other than crude oil and copper are net volatility receivers.

The results imply statistically significant hedging and portfolio diversification opportunities to investors and portfolio managers across the asset classes, proven by the hedging effectiveness analyses.

This study provides implications for policymakers focusing on the risk of contagion among the commodity and ESG markets during turbulent periods to ensure international financial stability.

This study contributes to the existing literature by differentiating ESG portfolios as the USA, developed and developing markets and examining dynamic connectedness and volatility spillovers between ESG portfolios and commodities with a different technique. This study also contributes by considering COVID-19 outbreak.

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.

In this study, the authors analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.

The study used a mix of wavelet-based approaches, including continuous wavelet transformation and discrete wavelet transformation. The analysis used data from the Geopolitical Risk index (GP{R), Dow Jones Sukuk index (SUKUK), Dow Jones Islamic index (DJII), Dow Jones composite index (DJCI), one of the top crude oil benchmarks which is based on the Europe (BRENT) (oil fields in the North Sea between the Shetland Island and Norway), and Global Gold Price Index (gold) from May 31, 2012, to June 13, 2022.

The results of the study indicate that during the COVID-19 and Russia–Ukraine conflict period geopolitical risk (GPR) was in the leading position, where BRENT confirmed the lagging relationship. On the other hand, during the COVID-19 pandemic period, SUKUK, DJII and DJCI are in the leading position, where GPR confirms the lagging position.

The present study is unique in three respects. First, the authors revisit the influence of GPR on global asset markets such as Islamic stocks, Islamic bonds, conventional stocks, oil and gold. Second, the authors use the wavelet power spectrum and coherence analysis to determine the level of reliance based on time and frequency features. Third, the authors conduct an empirical study that includes recent endogenous shocks generated by health crises such as the COVID-19 epidemic, as well as shocks caused by the geopolitical danger of a war between Russia and Ukraine.

1. We analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.

2. The results of the wavelet-based approach show that Dow Jones composite and Islamic indexes have observed the highest mean return during the study period.

3. GPR and BRENT are estimated to have the highest amount of risk throughout the observation period.

4. Dow Jones Sukuk, Islamic and composite stock show similar trend of volatility during the COVID-19 pandemic period and comparatively gold observes lower variance during the COVID-19 pandemic and Russia–Ukraine conflict.

We analyze the impact of geopolitics risk on Sukuk, Islamic and composite stocks, oil and gold markets and portfolio diversification implications during the COVID-19 pandemic and Russia–Ukraine conflict period.

The results of the wavelet-based approach show that Dow Jones composite and Islamic indexes have observed the highest mean return during the study period.

GPR and BRENT are estimated to have the highest amount of risk throughout the observation period.

Dow Jones Sukuk, Islamic and composite stock show similar trend of volatility during the COVID-19 pandemic period and comparatively gold observes lower variance during the COVID-19 pandemic and Russia–Ukraine conflict.

This particular study examined the government bond price variations in order to determine the presence of excess volatility both at country and panel group level of BRICS countries context.

The study applied the autoregressive GARCH panel model approach proposed by Fakhry and Richter (2015) to evaluate the presence of excess volatility and then examined the diversification benefits. Further, the use of discrete wavelet transformation (DWT) has added the advantage to observe volatility across bonds along with potential diversification benefits by retaining information from the time and frequency domain perspective for both the maturities.

The main finding indicates that the excess volatility is present in BRICS countries at individual level i.e. in the case of Russia, India and China. However, the 10-year bond showing a less volatility compared to 5-year bond with the possibility of reaping out the benefits of diversification with international portfolio of sovereign bonds.

The main implication of the research is related to the non-perseverance of EMH as far sovereign bonds of BRICS countries are concerned as the results indicate presence of excess volatility in the 5-year and 10-year bond markets. However, the implicit behavior of 5-year bond could benefit the active fund managers and investors by taking an advantage of a reducing systemic risk through short-medium term investments.

This study contributes not only to the existing studies of similar nature by examining the excess volatility in bond markets but also taking account of co-moment of distinct maturities to confirm possible international diversification benefits for BRICS countries context.

This study aims to examine the uncertainty spillover among eight important asset classes (cryptocurrencies, US stocks, US bonds, US dollar, agriculture, metal, oil and gold) using weekly data from 2014 to 2020. This study also examines the US macro uncertainty and US financial stress spillover on these assets.

The authors use time–frequency connectedness method to study the uncertainty spillover among the asset classes.

This study’s findings revealed that the uncertainty spillover is time-varying and peaked during the 2016 oil supply glut and COVID-19 pandemic. US stocks are the highest transmitter of uncertainty to all other assets, followed by the US dollar and oil. US stocks (US dollar and oil) transmit uncertainty in long (short) term. Furthermore, US macro uncertainty is the net transmitter of uncertainty to the US stocks, industrial metals and oil markets. In contrast, US financial stress is the net transmitter of uncertainty to the US bonds, cryptocurrencies, the US dollar and gold markets. US financial stress (US macro uncertainty) has long (short)-term effects on asset price volatility.

This study complements the studies on volatility spillover among the important asset classes. This study also includes recently financialized asset classes such as cryptocurrencies, agricultural and industrial commodities. This study examines the macro uncertainty and financial stress spillover on these assets.

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.