Description:
Climate change, environmental degradation and the novel covid-19 pandemic have affected financial markets worldwide forcing investors to search for safe haven assets for portfolio diversification and risk management. To this end, this study employs Wavelet coherence techniques and the spillover index methodologies to investigate comprehensively time-varying relationship between green sukuk and selected assets from the crypto-currency and commodity markets. The investigated period covers a period of 30 months pre and post covid-19 pandemic dating from October 15, 2019, to March 10, 2022. The projections of wavelet coherence analysis indicate a weak correlation between green sukuk and Bitcoin, Binance coin, gold and silver across different investment horizons whereas a moderate correlation was spotted between green sukuk and Ethereum and Palladium at low frequency on the outbreak of covid-19 pandemic. The static spillover analysis signified high connectedness between assets under study in the short term and affirmed potential long term diversification benefits of integrating green sukuk for risk adjusted returns of the portfolio. Dynamic rolling windows results demonstrated the impact of covid-19 pandemic on the intensity of assets’ connectedness particularly in the short run prompting temporal transmission of risks between asset classes at the onset of the covid 19 pandemic. The findings of the study are robust and offer useful insights to investors, speculators, academia, and policymakers