Figure 2.
The line graph shows net spillover on the vertical axis from about negative 3 to 2 and date on the horizontal axis from November 2023 to January 2025. Five lines represent C P U, MY G S, I D G S, I D STOCK, and MY STOCK. C P U values remain negative and increase gradually from around negative 2.7 toward about negative 0.2. MY G S values begin positive near 1.5, fluctuate through 2024, and decrease to negative values near the end of the period. I D G S values remain mostly negative and fluctuate around negative 0.5. I D STOCK values increase from near 0 to above 1 through mid to late 2024 and then decrease slightly. MY STOCK values fluctuate between about 0.8 and 1.3 across the period.Rolling net directional connectedness based on GFEVD
Note(s): This figure shows rolling net spillovers for each variable using a 252-trading-day window, VAR(2), and -day generalized FEVD. Positive (negative) values indicate that a variable is a net transmitter (net receiver) of shocks to the system. The figure highlights time variation in transmitter/receiver roles across CPU, green sukuk markets and equity markets