Time-varying risk spillovers between renewable energy and Islamic stock markets: Evidence from the Russia-Ukraine conflict

This paper examines the downside and upside risk spillovers between renewable energy and Islamic stock markets before and during the Russia-Ukraine crisis. We employ the VAR-ADCC model and conditional value at risk (CoVaR) techniques to estimate downside and upside risk spillovers. The results show that the risk spillovers are asymmetric for the majority of cases, but the degree of asymmetry varies across distributions and sub-samples before and during the Russia-Ukraine conflict. Specifically, the downside and upside risk spillover magnitude is not significant between renewable energy and Islamic stock markets of Malaysia, Turkey, and India during the Russia-Ukraine war compared to the pre-crisis period. These results imply that renewable energy markets are not sensitivitive to the Islamic stock markets of the three countries (Malaysia, Turkey, and India) during the Russia-Ukraine war. Our findings also imply that the Canadian Islamic stock markets provide diversification opportunities against renewable energy during the extreme downside risk spillovers. These findings provide interesting insights to portfolio managers and policymakers regarding important decisions like portfolio construction, hedging, and market stability.