Quantifying the quantile connectedness among Memecoin, Halal ETF and ESG index

IF 3.1 Q2 BUSINESS Journal of Islamic Marketing Pub Date : 2024-06-14 DOI:10.1108/jima-01-2024-0048

Sabia Tabassum, Umra Rashid, Mustafa Raza Rabbani, Miklesh Prasad Yadav

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Abstract

Purpose

The purpose of this paper is to examine the connectedness among Memecoin, Halal exchange traded funds (ETF) and environmental, social and governance (ESG) indexes in different quantiles.

Design/methodology/approach

The authors consider Dogecoin to measure Memecoin while Wahed FTSE USA Shariah ETF (HLAL) and SP Funds S&P 500 Sharia Industry Exclusions ETF (SPUS) are used to represent Halaf ETF. Similarly, iShares ESG Aware MSCI USA ETF (ESGU) and Vanguard ESG US Stock (ESGV) proxy the ESG index ETF. The daily price of these examined markets is considered from January 2, 2020, to January 18, 2024. The quantile vector autoregression is deployed for the empirical computation.

Findings

The result reveals that Memecoin (Dogecoin) emerges as the best diversifier irrespective of various quantiles because it is least connected in terms of recipient and transmission of shock. In addition, the authors observe an intriguing observation that the total connectedness in higher quantile is large, followed by lower quantile.

Originality/value

This study is undertaken considering the novelty in the form of the proxies of examined markets along with natural outbreak (COVID-19) and man-made outbreak (Russia–Ukraine invasion) periods.

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量化 Memecoin、Halal ETF 和 ESG 指数之间的量化关联性

本文旨在研究 Memecoin、Halal 交易所交易基金（ETF）和环境、社会和治理（ESG）指数在不同量级之间的关联性。作者认为 Dogecoin 可用于衡量 Memecoin，而 Wahed FTSE USA Shariah ETF (HLAL) 和 SP Funds S&P 500 Sharia Industry Exclusions ETF (SPUS) 可用于代表 Halaf ETF。同样，iShares ESG Aware MSCI USA ETF (ESGU) 和 Vanguard ESG US Stock (ESGV) 代表 ESG 指数 ETF。这些考察市场的每日价格从 2020 年 1 月 2 日至 2024 年 1 月 18 日。研究结果表明，Memecoin（Dogecoin）无论在哪个量级都是最好的分散工具，因为它在冲击的接受者和传播方面的关联度最小。此外，作者还观察到一个耐人寻味的现象，即较高数量级的总关联度较大，其次是较低数量级。原创性/价值这项研究考虑到了所研究市场的代理形式以及自然爆发期（COVID-19）和人为爆发期（俄罗斯-乌克兰入侵）的新颖性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Islamic Marketing BUSINESS-

CiteScore

8.40

自引率

28.10%

发文量

期刊介绍： Launched in 2010, Journal of Islamic Marketing (JIMA) was the first journal dedicated to investigating Marketing’s relationship with Islam, in theory and practice, across Muslim majority and minority geographies. JIMA tackles the nuances associated with Muslim consumption patterns, doing business in Muslim markets, and targeting Muslim consumers. When considering the acronyms for the emerging economies to watch: in 2001 it was BRIC (Brazil, Russia, India, and China); and more recently in 2013 MINT (Mexico, Indonesia, Nigeria, Turkey), and CIVETS (Columbia, Indonesia, Vietnam, Egypt, Turkey and South Africa) – then it is apparent that economies with large Muslim populations are growing in importance. One quarter of the world''s population are Muslim, with well over half of Muslims today under the age of 25 - which prompted Miles Young, Global CEO of Ogilvy, to assert that Muslims are the "third one billion", following interest in Indian and Chinese billions, in terms of market opportunities.