Connectedness between Islamic Cryptocurrencies and Green Assets: Deep Insights from Extreme Events

The occurrence of consecutive devastating events has an adverse influence on investment avenues and investing behavior. As Islamic cryptocurrencies are novel digital financial assets based on Islamic law, it is crucial to explore their connectedness with green assets during periods of financial and economical struggle. This study emphasizes the safe haven attribute of both considered assets by revealing the spillover transmitter and receiver behavior. The extended version of the quantile connectedness (QVAR) technique by Ando et al. (2022) is employed for the period 28 December 2018 to 12 August 2022. The events covered are the Bitcoin Price Crash in 2018, the COVID-19 pandemic, the global plummet in oil demand in 2020, and the Russia–Ukraine War. The findings of static quantile connectedness disclose that at the median quantile (normal market condition), there is a weak connectedness between Islamic cryptocurrencies and green assets. However, inbearish and bullish market conditions, the degree of connectedness progresses. The outcomes of dynamic quantile connectedness demonstrate that total connectedness between Islamic cryptocurrencies and green assets is unstable and fluctuates with disastrous health, financial, and economic crises. These results accentuate that in both normal and extreme market conditions, investors and policymakers should continually study the market's behavior and spillover movement to alter their investment distributions.