The nexus of conventional, religious and ethical indexes during crisis
用贝叶斯图形向量自回归模型研究新冠疫情前后传统、伊斯兰和ESG指数间的相互关联，发现疫情期间关联增强，伊斯兰网络更具韧性，归因于宗教组合的低杠杆筛选。
This study examines the interconnectedness between conventional and ethical indexes. Using a Bayesian graphical vector autoregressive model, we derive the contemporaneous and temporal interdependencies among these stock index returns before and during the Covid-19 pandemic. Our model specification strategy combines vector autoregressive models with networks. The findings provide empirical evidence of increased interconnectedness during the Covid-19 period across all networks. Notably, the religious and FTSE Islamic networks exhibited greater resilience during the pandemic. This could be attributed to the rigorous screening processes for religious portfolios, which focus on lower-leveraged equity stocks, contributing to their stability. Additionally, our results show that the Covid-19 crisis affected network density and the roles of key player shock transmitter entities, as indicated by changes in hub and authority scores, with new key players emerging during the crisis. • Study examines interconnectedness of conventional, Islamic, and ESG indices pre- and during Covid-19. • Increased interconnectedness observed during Covid-19, with Islamic networks showing greater resilience. • Religious portfolios’ lower-leverage focus contributed to their stability during the pandemic. • Covid-19 affected network density and key player shock transmitters. • Harmonization in screening criteria for Islamic finance and ESG indices is crucial.