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

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.

Citation

Tabassum, S., Rashid, U., Rabbani, M.R. and Yadav, M.P. (2024), "Quantifying the quantile connectedness among Memecoin, Halal ETF and ESG index", Journal of Islamic Marketing, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/JIMA-01-2024-0048