Intermarket Dynamics: Exploring Volatility Spillovers in Islamic Equity Markets, Decentralized Finance, and NFTs
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Ishaq Talahmeh
Palestine Ahliya University, Bethlehem, Palestine. & Eastern Mediterranean University, North Cyprus.
Mousa Ajouz
Palestine Ahliya University, Bethlehem, Palestine.
Ruaa Binsaddig
College of Business Administration, University of Business and Technology, Jeddah, Saudi Arabia.
Abstract
This study investigates volatility transmission among Islamic Equity Markets, Decentralized Finance (DeFi), and Non-Fungible Tokens (NFTs) using daily data. The analysis reveals intricate interactions within these financial domains. A significant finding is the heightened volatility spillover from the Dow Jones Islamic Market World Index (DJIM) to NFTs, compared to DJIM's transmission to DeFi. Conversely, the Sukuk market demonstrates a stronger correlation with DeFi than with NFTs. Moreover, temporal variations in these relationships underscore distinct patterns of volatility spillover across different timeframes. This research provides insights into the complex dynamics between traditional Islamic finance and emerging digital asset sectors.