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Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy

Complexity (New York, N.Y.), 2022, Vol.2022, p.1-25 [Peer Reviewed Journal]

Copyright © 2022 Ahmed Bossman et al. ;Copyright © 2022 Ahmed Bossman et al. This is an open access article distributed under the Creative Commons Attribution License (the “License”), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. https://creativecommons.org/licenses/by/4.0 ;ISSN: 1076-2787 ;EISSN: 1099-0526 ;DOI: 10.1155/2022/1027495

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Title:
Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy
Author: Bossman, Ahmed ; Agyei, Samuel Kwaku ; Owusu Junior, Peterson ; Agyei, Ellen Animah ; Akorsu, Patrick Kwashie ; Marfo-Yiadom, Edward ; Amfo-Antiri, George
Gubareva, Mariya ; Mariya Gubareva
Subjects: Asset allocation ; Bond markets ; Coronaviruses ; COVID-19 ; Digital currencies ; Entropy ; Equity ; Global economy ; Hypotheses ; Investments ; Pandemics ; Portfolio management ; Random variables ; Securities markets ; Stock exchanges
Is Part Of: Complexity (New York, N.Y.), 2022, Vol.2022, p.1-25
Description: We revisit the flight-to-quality (FTQ) and flight-from-quality (FFQ) occurrences vis-à-vis the stock-bond nexus across differing investment time scales in the COVID-19 era, using a novel technique hinged on a denoised frequency-domain transfer entropy. Our findings divulge that flights, both FTQ and FFQ, could be attained during stress periods. Generally, in the intermediate term of the COVID-19 pandemic, both Islamic and conventional bonds could act as safe havens, diversifiers, and hedges for international equities, and the same could be observed for international equities. We reiterate empirically that flights may improve the financial system’s stability and robustness by allowing diversity to be effective when it is most required. The findings have financial and portfolio implications for investors considering how to deploy their investments in the COVID-19 era. Our findings may impact policymakers’ responses to changes in various asset classes, allowing them to better monitor financial markets and adjust macroeconomic policies.
Publisher: Hoboken: Hindawi
Language: English
Identifier: ISSN: 1076-2787
EISSN: 1099-0526
DOI: 10.1155/2022/1027495
Source: DOAJ Directory of Open Access Journals
AUTh Library subscriptions: ProQuest Central

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Flights-to-and-from-Quality with Islamic and Conventional Bonds in the COVID-19 Pandemic Era: ICEEMDAN-Based Transfer Entropy

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