Outputs (26)

Risk transmission and returns dependence between oil and socially responsible funds? (2025)
Journal Article
Ur Rehman, M., Nautiyal, N., Zeitun, R., Vo, X. V., & Alessa, N. (in press). Risk transmission and returns dependence between oil and socially responsible funds?. Applied Economics, 1-20. https://doi.org/10.1080/00036846.2025.2504202

This study investigates the relationship between the international oil market and socially responsible investments (SRIs) from October 2016 to March 2022. For this end, we use copulas and a conditional value-at-risk framework to analyse average and a... Read More about Risk transmission and returns dependence between oil and socially responsible funds?.

Is it just green? Asymmetry behavior of returns in green investments (2025)
Journal Article
Rehman, M. U., Nautiyal, N., & Vo, X. V. (2025). Is it just green? Asymmetry behavior of returns in green investments. International Review of Economics and Finance, 100, Article 104088. https://doi.org/10.1016/j.iref.2025.104088

Green investments have gained significant attention over the past decade whether it be stocks or fixed-income securities. Such increasing coherence between the green assets is diluting diversification gains which is another reason for the increasing... Read More about Is it just green? Asymmetry behavior of returns in green investments.

The resilience of green bonds to oil shocks during extreme events (2025)
Journal Article
Rehman, M. U., Nautiyal, N., Zeitun, R., Vo, X. V., & Ghardallou, W. (2025). The resilience of green bonds to oil shocks during extreme events. Journal of Environmental Management, 378, Article 124685. https://doi.org/10.1016/j.jenvman.2025.124685

Investments in green energy are increasing exponentially due to rising environmental concerns. Our work scrutinizes the influence of decomposed structural oil shocks on the green bonds in developed countries from November 28, 2008 to May 21, 2021. We... Read More about The resilience of green bonds to oil shocks during extreme events.

The resilience of green bonds to oil shocks during extreme events (2025)
Journal Article
Rehman, M. U., Nautiyal, N., Zeitun, R., Vo, X. V., & Ghardallou, W. (in press). The resilience of green bonds to oil shocks during extreme events. Journal of Environmental Management, 378(April 2025), 1-18. https://doi.org/10.1016/j.jenvman.2025.124685

Investments in green energy are increasing exponentially due to rising environmental concerns. Our work scrutinizes the influence of decomposed structural oil shocks on the green bonds in developed countries from November 28, 2008 to May 21, 2021. We... Read More about The resilience of green bonds to oil shocks during extreme events.

How do US sectoral markets connect in calm and crisis? A quantile-based network analysis (2025)
Journal Article
Rehman, M. U., Zeitun, R., Nautiyal, N., Vo, X. V., & Kang, S. H. (in press). How do US sectoral markets connect in calm and crisis? A quantile-based network analysis. Applied Economics, 1-24. https://doi.org/10.1080/00036846.2025.2456127

his work investigates how the return coherence of the US sectoral market changed during/post COVID-19 from the pre-pandemic period. We sampled daily data for a pre-COVID-19 period from January 2018 to November 2019 and a during/post-COVID-19 period f... Read More about How do US sectoral markets connect in calm and crisis? A quantile-based network analysis.

The temporal variability in the returns of socially responsible funds to structural oil shocks (2025)
Journal Article
Rehman, M. U., Nautiyal, N., Zeitun, R., & Vo, X. V. (2025). The temporal variability in the returns of socially responsible funds to structural oil shocks. North American Journal of Economics and Finance, 77, Article 102366. https://doi.org/10.1016/j.najef.2025.102366

In this paper, we investigate the potential presence of returns comovement between socially responsible investment (SRI) funds and oil shocks based on daily data from March 8, 2016 to June 11, 2021. According to the seminal work of Ready (2018), oil... Read More about The temporal variability in the returns of socially responsible funds to structural oil shocks.

Oil shocks and the Islamic financial market: Evidence from a causality-in-quantile approach (2024)
Journal Article
Raheem, I. D., le Roux, S., & Rehman, M. U. (2024). Oil shocks and the Islamic financial market: Evidence from a causality-in-quantile approach. International Economics, 180, 1-11. https://doi.org/10.1016/j.inteco.2024.100559

This study examines the nonlinear relationship between Islamic stock indices and oil shocks. Nonlinearity is viewed from the prism of nonparametric causality-in-quantile, and oil price is decomposed into demand, supply, and risk. The objective of thi... Read More about Oil shocks and the Islamic financial market: Evidence from a causality-in-quantile approach.

Oil Shocks and the Islamic Financial Market: Evidence from a Causality-in-Quantile Approach (2024)
Journal Article
Raheem, I. D., le Roux, S., & Rehman, M. U. (2024). Oil Shocks and the Islamic Financial Market: Evidence from a Causality-in-Quantile Approach. International Economics, 180, Article 100559. https://doi.org/10.1016/j.inteco.2024.100559

This study examines the nonlinear relationship between Islamic finance and oil shocks. Nonlinearity is viewed from the prism of nonparametric causality-in-quantile, and oil price is decomposed into demand, supply, and risk. Using a... Read More about Oil Shocks and the Islamic Financial Market: Evidence from a Causality-in-Quantile Approach.

Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets (2024)
Journal Article
Mensi, W., Rehman, M. U., Gök, R., Gemici, E., & Vo, X. V. (2024). Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets. Research in International Business and Finance, 73(Part A), 1-22. https://doi.org/10.1016/j.ribaf.2024.102579

This study examines the dependence structure and risk spillovers between crude oil and eight major agricultural futures (wheat, corn, soybean coffee, cotton, lumber, cocoa, and live cattle) markets. It also analyzes the potential conditional diversif... Read More about Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets.

Portfolio risk and return between energy and non-energy stocks (2024)
Journal Article
Nautiyal, N., Alrababa'a, A. R., Rehman, M. U., Vo, X. V., & Saleh Al-Faryan, M. A. (2024). Portfolio risk and return between energy and non-energy stocks. Heliyon, 10(10), Article e31199. https://doi.org/10.1016/j.heliyon.2024.e31199

This paper aims to examine the potential for portfolio returns by adding together conventional and energy stocks with varying proportions. We examine the risk and return characteristics of a portfolio comprising energy and non-energ... Read More about Portfolio risk and return between energy and non-energy stocks.