The Feature Importance of Quantile Connectedness among Islamic Sectoral Indices and Meme Assets
Aslam, Adnan, Brahmana, Rayenda Khresna, and Yeap, Xiu Wei (2026) The Feature Importance of Quantile Connectedness among Islamic Sectoral Indices and Meme Assets. Asia Pacific Financial Markets, 33. pp. 1811-1856.
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Abstract
This study investigates the feature importance of return and volatility connectedness between Islamic sectoral indices and meme assets across quantiles. Using daily data from August 2020 to March 2024, we adopt a multistage approach combining the quantile extended joint connectedness framework, robust OLS regression, and tree-based machine learning of feature importance. The findings reveal that Islamic indices act as net return transmitters in bearish and bullish markets, while meme assets are net receivers; both are disconnected in normal conditions. In volatility spillovers, Islamic indices lead during bearish and normal markets, whereas meme assets dominate during bullish periods. Feature importance analysis shows that the global financial stress index is the most influential driver of return spillovers, while cyber-attacks emerge as the primary determinant of volatility spillovers. These findings highlight that spillover dynamics, and thus portfolio diversification benefits, vary significantly across market states and should be incorporated into risk-sensitive asset allocation strategies.
| Item ID: | 91878 |
|---|---|
| Item Type: | Article (Research - C1) |
| ISSN: | 1573-6946 |
| Keywords: | Feature analysis, Islamic sectoral indices, Machine learning, Meme assets, Quantile connectedness, Spillovers |
| Copyright Information: | © The Author(s) 2025. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/. |
| Date Deposited: | 23 Oct 2026 03:59 |
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