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<p>This study investigates the effectiveness of integrating Shariah-compliant indices (DJIM), sustainability benchmarks (DJSW), crude oil (WTI), gold, clean energy, and cryptocurrencies (BTC, ETH) in managing portfolio risk, enhancing sustainability, and understanding market interconnectedness. Employing the R<sup>2</sup> connectedness framework and robustness checks via Quantile Vector Autoregression (QVAR), the analysis captures dynamic spillover effects and tail risk transmission across asset classes from 2018 to 2024. The empirical results reveal that WTI and clean energy assets consistently exhibit high hedge effectiveness, particularly under volatility-based and connectedness-driven portfolio strategies such as the Minimum Variance Portfolio (MVP) and Minimum Connectedness Portfolio (MCoP). Shariah-compliant and sustainability indices demonstrate moderate hedging capacity and play a stabilizing role during systemic stress, contributing significantly to ethical and climate-aligned investing. Conversely, gold shows limited hedging performance, while BTC and ETH serve as short-term shock absorbers with high volatility. These findings underscore the importance of a diversified approach that combines ethical, sustainable, and commodity-based assets. The study contributes to the ethical finance literature by demonstrating the role of Shariah-compliant assets and clean energy integration in supporting risk management and long-term sustainability goals, offering practical insights for portfolio managers and policymakers.</p>

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Risk interconnections and management in islamic, sustainable, and commodity markets: an R2 connectedness perspective

  • 期刊论文

  • 发表日期：

    2026年4月16日

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  • Emna Mnif,
  • Anis Jarboui,
  • Nader Naifar,
  • Imen Jellouli

摘要

This study investigates the effectiveness of integrating Shariah-compliant indices (DJIM), sustainability benchmarks (DJSW), crude oil (WTI), gold, clean energy, and cryptocurrencies (BTC, ETH) in managing portfolio risk, enhancing sustainability, and understanding market interconnectedness. Employing the R2 connectedness framework and robustness checks via Quantile Vector Autoregression (QVAR), the analysis captures dynamic spillover effects and tail risk transmission across asset classes from 2018 to 2024. The empirical results reveal that WTI and clean energy assets consistently exhibit high hedge effectiveness, particularly under volatility-based and connectedness-driven portfolio strategies such as the Minimum Variance Portfolio (MVP) and Minimum Connectedness Portfolio (MCoP). Shariah-compliant and sustainability indices demonstrate moderate hedging capacity and play a stabilizing role during systemic stress, contributing significantly to ethical and climate-aligned investing. Conversely, gold shows limited hedging performance, while BTC and ETH serve as short-term shock absorbers with high volatility. These findings underscore the importance of a diversified approach that combines ethical, sustainable, and commodity-based assets. The study contributes to the ethical finance literature by demonstrating the role of Shariah-compliant assets and clean energy integration in supporting risk management and long-term sustainability goals, offering practical insights for portfolio managers and policymakers.