Article Per Year (5 Year)
p-Index From 2021 - 2026
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This Author published in this journals
All Journal International Journal of Accounting & Finance in Asia Pasific
Rinda Siaga Pangestuti
President University
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Islamic vs Conventional Market Connectedness under Global Uncertainties: Evidence from GCC Countries Isti Pujihastuti; Rinda Siaga Pangestuti
International Journal of Accounting and Finance in Asia Pasific (IJAFAP) Vol 9, No 2 (2026): June 2026
Publisher : AIBPM Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32535/ijafap.v9i2.4409

Abstract

Global uncertainty increasingly shapes financial connectedness in oil-dependent economies, particularly in the Gulf Cooperation Council (GCC), where Islamic and conventional markets operate side by side. This study examines the time-varying and directional spillovers between global uncertainty indicators and GCC Islamic and conventional financial indices during 2014–2024. Using the quantitative empirical approach, Dynamic Conditional Correlation GARCH (DCC-GARCH) model and the Diebold-Yilmaz Spillover Index, the analysis evaluates evolving correlations, directional spillovers, and rolling system-wide connectedness. The results show that Islamic and conventional GCC indices remain strongly correlated throughout the sample, while linkages with uncertainty indicators intensify during the 2014–2016 oil price collapse, the COVID-19 pandemic, and the Russia-Ukraine conflict. The rolling Total Connectedness Index (TCI) ranges from 55% to 80%, indicating substantial and crisis-sensitive interdependence. Oil price uncertainty and the GCC conventional index emerge as the main stock transmitters, with the conventional index occupying a central position through strong two-way spillover links. These findings imply that GCC financial stability is highly exposed to external uncertainty, highlighting the need for crisis-responsive risk management and diversification strategies.
Sustainability Risk Diffusion Through Clean Energy, Transition Risk, and ESG Market Connectedness in Malaysia Rinda Siaga Pangestuti; Roszy Non; Erwin Susanto Sadirsan
International Journal of Accounting and Finance in Asia Pasific (IJAFAP) Vol 9, No 2 (2026): June 2026
Publisher : AIBPM Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32535/ijafap.v9i2.4410

Abstract

Climate change and the global low-carbon transition have intensified sustainability-related risks across financial markets, yet evidence on how such risks diffuse into emerging Asian economies remains limited. This study examines the dynamic connectedness and volatility spillovers among the NASDAQ Clean Edge Green Energy Index (CELS), the Transition Risk Index (TRI), and Malaysia's FTSE4Good Bursa Malaysia Index (F4GBM) during 2019-2025. This quantitative econometric study applies a hybrid framework combining the Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model and the Diebold–Yilmaz connectedness index to daily returns. The results show that CELS is a persistent net transmitter of volatility, TRI is a policy-sensitive net receiver, and F4GBM alternates between absorbing and transmitting shocks. The total connectedness index rises from about 4% in late 2023 to above 8% by mid-2025, signaling deeper integration between climate-related risks and ESG market performance. The study concludes that investors should incorporate transition-risk indicators into diversification and hedging strategies, while policymakers should strengthen ESG disclosure, green taxonomies, and macroprudential climate-finance governance.
Co-Authors Erwin Susanto Sadirsan Isti Pujihastuti Roszy Non