The study investigates the tail-risk spillover between the markets for sukuk and conventional bonds across fifteen countries between 2016 and 2023. First, we estimate a time varying parameter-value at risk (TVP-VAR)-based frequency connectedness model to measure the total, short-, and long-term...

Investors seek safe haven assets for portfolio diversification and risk management because climate change and environmental markets have recently become the concern of many governments, companies, households, politicians and academics. Therefore, this study examines the dynamic connectedness...