The tail connectedness among conventional, religious, and sustainable investments: An empirical evidence from neural network quantile regression approach
本研究使用神经网络分位数回归技术，考察传统、宗教和可持续三类投资市场在极端风险下的关联性，发现传统和宗教投资在危机中尾部风险最大，可持续投资有助于分散风险。
Abstract Financial markets are highly unpredictable and often associated with tail risks. This study examines the tail connectivity among three distinct markets—conventional, religious, and sustainable—and uses a new neural network quantile regression technique to quantify their risk exposure. The findings suggest that traditional and religious investments have the greatest tail risk exposure during crises, emphasising the importance of diversification using sustainable investments. The Systematic Network Risk Index identifies intense events, such as the COVID‐19 pandemic, the European debt crisis, and the global financial crisis, as having the greatest tail risk. The Systematic Fragility Index finds the Islamic stocks during the COVID‐19 crisis and the conventional stock market before the pandemic to the highly vulnerable markets. On the other hand, the Systemic Hazard Index identifies Islamic stocks as the primary source of systemic risk. The study concludes by providing implications for decision‐makers, regulatory authorities, investors, players in the financial system, and investment managers to diversify their risk by utilising green/sustainable investments.