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1 – 10 of 62Sana Braiek and Houda Ben Said
This study aims to empirically explore and compare the dynamic dependency between health-care sector and Islamic industries before, during and after the COVID-19 pandemic.
Abstract
Purpose
This study aims to empirically explore and compare the dynamic dependency between health-care sector and Islamic industries before, during and after the COVID-19 pandemic.
Design/methodology/approach
Time-varying student-t copula is used for before, during and after COVID-19 periods. The data used are the daily frequency price series of the selected markets from February 2017 to October 2023.
Findings
Empirical results found strong evidence of significant impact of the COVID-19 pandemic on the dependence structure of the studied indexes: Co-movements between various sectors are certain. The authors assist also in the birth of new dependence structure with the health-care industry in response to the COVID-19 crisis. This reflects the contagion occurrence from the health-care sector to other sectors.
Originality/value
By specifically examining the Islamic industry, this study sheds light on the resilience, challenges and opportunities within this sector, contributing novel perspectives to the broader discourse on pandemic-related impacts on economies and industries. Also, this paper conducts a comprehensive temporal analysis, examining the dynamics before, during and after the COVID-19 lockdown. Such approach enables an understanding of how the relationship between the health-care sector and the Islamic industry evolves over time, accounting for both short-term disruptions and long-term effects. By considering the pre-pandemic context, the paper adopts a longitudinal perspective, enabling a deeper understanding of how historical trends, structural factors and institutional frameworks shape the interplay between the health-care sector and the Islamic industry.
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Irina Alexandra Georgescu, Simona Vasilica Oprea and Adela Bâra
In this paper, we aim to provide an extensive analysis to understand how various factors influence electricity prices in competitive markets, focusing on the day-ahead electricity…
Abstract
Purpose
In this paper, we aim to provide an extensive analysis to understand how various factors influence electricity prices in competitive markets, focusing on the day-ahead electricity market in Romania.
Design/methodology/approach
Our study period began in January 2019, before the COVID-19 pandemic, and continued for several months after the onset of the war in Ukraine. During this time, we also consider other challenges like reduced market competitiveness, droughts and water scarcity. Our initial dataset comprises diverse variables: prices of essential energy sources (like gas and oil), Danube River water levels (indicating hydrological conditions), economic indicators (such as inflation and interest rates), total energy consumption and production in Romania and a breakdown of energy generation by source (coal, gas, hydro, oil, nuclear and renewable energy sources) from various data sources. Additionally, we included carbon certificate prices and data on electricity import, export and other related variables. This dataset was collected via application programming interface (API) and web scraping, and then synchronized by date and hour.
Findings
We discover that the competitiveness significantly affected electricity prices in Romania. Furthermore, our study of electricity price trends and their determinants revealed indicators of economic health in 2019 and 2020. However, from 2021 onwards, signs of a potential economic crisis began to emerge, characterized by changes in the normal relationships between prices and quantities, among other factors. Thus, our analysis suggests that electricity prices could serve as a predictive index for economic crises. Overall, the Granger causality findings from 2019 to 2022 offer valuable insights into the factors driving energy market dynamics in Romania, highlighting the importance of economic policies, fuel costs and environmental regulations in shaping these dynamics.
Originality/value
We combine principal component analysis (PCA) to reduce the dataset’s dimensionality. Following this, we use continuous wavelet transform (CWT) to explore frequency-domain relationships between electricity price and quantity in the day-ahead market (DAM) and the components derived from PCA. Our research also delves into the competitiveness level in the DAM from January 2019 to August 2022, analyzing the Herfindahl-Hirschman index (HHI).
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Yousra Trichilli, Hana Kharrat and Mouna Boujelbène Abbes
This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax…
Abstract
Purpose
This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax gold as a diversifier and hedge asset.
Design/methodology/approach
This paper examines the volatility spillover between Pax gold and fiat currencies using the framework of wavelet analysis, BEKK-GARCH models and Range DCC-GARCH. Moreover, this paper proposes to use the covariance and variance structure obtained from the new range DCC-GARCH framework to estimate the time-varying optimal hedge ratios, the optimal weighs and the hedging effectiveness.
Findings
Wavelet coherence method reveals that, at low frequency, large zone of co-movements appears for the pairs Pax gold/EUR, Pax gold/JPY and Pax gold/RUB. Further, the BEKK results show unidirectional (bidirectional) transmission effects between Pax gold and EUR, GBP, JPY and CNY (INR, RUB) fiat currencies. Moreover, the Range DCC results show that the Pax gold and the fiat currency returns are weakly correlated with low coefficients close to zero. Thus, Pax gold seems to serve as a safe haven asset against the systematic risk of fiat currency markets. In addition, the results of optimal weights show that rational investor should invest more in Pax gold and less in fiat currencies. Concerning the hedge ratios results, the findings reveal that the INR (JPY) fiat currency appears to be the most expensive (cheapest) hedge for the Pax-gold market. However, the JPY’s fiat currency appears to be the cheapest one. As for hedging effectiveness results, the authors found that hedging strategies including fiat currencies–Pax gold pairs are most likely to sharply decrease the portfolio’s risk.
Practical implications
A comprehensive understanding of the relationship between Pax Gold and fiat currencies is crucial for refining portfolio strategies involving cryptocurrencies. This research underscores the significance of grasping volatility transmissions between these currencies, providing valuable insights to guide investors in their decision-making processes. Moreover, it encourages further exploration into the interdependencies of digital currencies. Additionally, this study sheds light on effective contagion risk management, particularly during crises such as Covid-19 and the Russia–Ukraine conflict. It underscores the role of Pax Gold as a safe-haven asset and offers practical guidance for adjusting portfolios across various economic conditions. Ultimately, this research advances our comprehension of Pax Gold’s risk-return profile, positioning it as a potential hedge during periods of uncertainty, thereby contributing to the evolving literature on cryptocurrencies.
Originality/value
This study’s primary value lies in its pioneering empirical examination of the time-varying correlations and scale dependence between Pax Gold and fiat currencies. It goes beyond by determining optimal time-varying hedge ratios through the innovative Range-DCC-GARCH model, originally introduced by Molnár (2016) and distinguished by its incorporation of both low and high prices. Significantly, this analysis unfolds within the unique context of the Covid-19 pandemic and the Russian–Ukrainian conflict, marking a novel contribution to the field.
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Khushboo Aggarwal and V. Raveendra Saradhi
The aim of this study is to examine the nature and determinants of stock market integration between India and other Asia–Pacific countries (Malaysia, Hong Kong, Singapore, South…
Abstract
Purpose
The aim of this study is to examine the nature and determinants of stock market integration between India and other Asia–Pacific countries (Malaysia, Hong Kong, Singapore, South Korea, Japan, China, Indonesia, the Philippines, Thailand and Taiwan) over the period 1991–2021.
Design/methodology/approach
Unit root tests, the dynamic conditional correlation-Glosten Jagannathan and Runkle-generalized autoregressive conditional heteroscedasticity (DCC-GJR-GARCH), pooled ordinary least squares (OLS) regression and random effects models are employed for the analysis.
Findings
The empirical results show that the DCC between each pair of sample countries is less than 0.5, indicating weak ties between the pairs of sample countries. Also, the DCC between India and other Asia–Pacific stock markets is positive and low, implying low level of integration. The correlation between India and China stock markets is found to be the highest, implying significant level of integration. The main reason for it would be strong economic linkages and bilateral trade relationship between India and China. Moreover, gross domestic product (GDP), interest rate (IR), consumer price index (CPI)-inflation and money supply (MS) differentials are the major driver of stock market integration between India and other Asia–Pacific countries.
Practical implications
The findings of the study have important implications for investors, portfolio managers and policymakers. It is found that the DCC between India and other Asia–Pacific countries (considered in the study) except China is low, which indicates weak ties between the pairs of sample countries. This implies that the Indian stock market provides good investment opportunities for foreign investors. Also, investors and portfolio managers can attain more diversified benefits and can minimize country risk by investing across Asia–Pacific countries. Further, knowledge about the factors that integrate the Indian stock market with the other Asia–Pacific stock markets will help policymakers frame suitable economic and financial stabilization policies.
Originality/value
This study contributes to the extant literature: first, by examining the linkages of Indian stock market with other Asia–Pacific countries; second, although previous studies confirmed the existence of linkages among the various stock markets, few researchers pay attention to the factors driving the process of stock market integration. This study provides additional evidence by examining the significant macroeconomic factors driving the process of such integration in the Asia–Pacific region considered under the study.
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David Korsah, Godfred Amewu and Kofi Osei Achampong
This study seeks to examine the relationship between macroeconomic shock indicators, namely geopolitical risk (GPR), global economic policy uncertainty (GEPU) and financial stress…
Abstract
Purpose
This study seeks to examine the relationship between macroeconomic shock indicators, namely geopolitical risk (GPR), global economic policy uncertainty (GEPU) and financial stress (FS), and returns as well as volatilities on seven carefully selected stock markets in Africa. Specifically, the study intends to unravel the co-movement and interdependence between the respective macroeconomic shock indicators and each of the stock markets under consideration across time and frequency.
Design/methodology/approach
This study employed wavelet coherence approach to examine the strength and stability of the relationships across different time scales and frequency components, thereby providing valuable insights into specific periods and frequency ranges where the relationships are particularly pronounced.
Findings
The study found that GEPU, Financial Stress (FS) and GPR failed to induce significant influence on African stock market returns in the short term (0–4 months band), but tend to intensify in the long-term band (after 6th month). On the contrary, stock market volatilities exhibited strong coherence and interdependence with GEPU, FSI and GPR in the short-term band.
Originality/value
This study happens to be the first of its kind to comprehensively consider how the aforementioned macro-economic shock indicators impact stock markets returns and volatilities over time and frequency. Further, none of the earlier studies has attempted to examine the relationship between macro-economic shocks, stock returns and volatilities in different crisis periods. This study is the first of its kind in to employ data spanning from May 2007 to April 2023, thereby covering notable crisis periods such as global financial crisis (GFC) and the COVID-19 pandemic episodes.
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This study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging…
Abstract
Purpose
This study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging from equities, commodities, real estate, currencies and bonds.
Design/methodology/approach
It used a multivariate factor stochastic volatility model to capture the dynamic changes in covariance and volatility correlation, thus offering empirical insights into the co-volatility dynamics. Unlike conventional research on price or return transmission, this study directly models the time-varying covariance and volatility correlation.
Findings
The study uncovers pronounced co-volatility movements between cryptocurrencies and specific indices such as GSCI Energy, GSCI Commodity, Dow Jones 1 month forward and U.S. 10-year TIPS. Notably, these movements surpass those observed with precious metals, industrial metals and global equity indices across various regions. Interestingly, except for Japan, equity indices in the USA, Canada, Australia, France, Germany, India and China exhibit a co-volatility movement. These findings challenge the existing literature on cryptocurrencies and provide intriguing evidence regarding their co-volatility dynamics.
Originality
This study significantly contributes to applying asset pricing models in cryptocurrency markets by explicitly addressing price and volatility dynamics aspects. Using the stochastic volatility model, the research adding methodological contribution effectively captures cryptocurrency volatility's inherent fluctuations and time-varying nature. While previous literature has primarily focused on bitcoin and a few other cryptocurrencies, this study examines the stochastic volatility properties of a wide range of cryptocurrency indices. Furthermore, the study expands its scope by examining global asset markets, allowing for a comprehensive analysis considering the broader context in which cryptocurrencies operate. It bridges the gap between traditional asset pricing models and the unique characteristics of cryptocurrencies.
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Alcides J. Padilla and Jorge David Quintero Otero
The purpose of this paper is to assess sub-national business cycle (BC) synchronization's impact on national cycles in four emerging markets economies with inflation targeting…
Abstract
Purpose
The purpose of this paper is to assess sub-national business cycle (BC) synchronization's impact on national cycles in four emerging markets economies with inflation targeting (IT-EMEs): Brazil, Colombia, South Korea and Mexico.
Design/methodology/approach
The authors use panel data models with fixed-effects and distributed lags.
Findings
The authors disclosed that sub-national synchronization increased national cycle amplitudes during expansion and recession phases. The authors also noticed that South Korea exhibited a more pronounced effect compared to Latin American countries, and this seemed to be associated with differences in the homogeneity of the production structures in the regions of these countries.
Research limitations/implications
The authors cautioned that contrasting the findings with prior research on the effects of regional BC synchronization in IT-EMEs or with studies in different geographical contexts, is not possible due to the absence of prior research endeavors with this specific focus.
Originality/value
This study constitutes a first attempt to explain the impact of subnational cycle synchronization on the magnitude of national cycles in four IT-EMEs.
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Siti Nurazira Mohd Daud, Nur Syazwina Ghazali and Nur Hafizah Mohammad Ismail
This paper aims to examine the relationships among environmental, social and governance (ESG) practices, innovation and economic growth in five Asian countries from 1990 to 2020.
Abstract
Purpose
This paper aims to examine the relationships among environmental, social and governance (ESG) practices, innovation and economic growth in five Asian countries from 1990 to 2020.
Design/methodology/approach
The study innovatively constructed the ESG index at the country level by using frequency statistics on text mining and factor analysis for each country over time. In addition, this study used the autoregressive distributed lag method to establish a long-term relationship.
Findings
The authors discovered that ESG practices among corporate entities significantly impact economic growth in Malaysia, the Philippines and Singapore. Specifically, the environmental component positively affects the growth of Malaysia, Thailand and the Philippines, while the governance components of ESG contribute to Thailand’s economic growth. The authors also discovered that innovation improves countries’ economic growth, thus offering policy insights into promoting ESG practices and stimulating the ecosystem for innovation.
Originality/value
The paper fills the gap left in previous inconclusive findings on the association between ESG practices and country growth.
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Green sukuk (GS) is an emerging financial tool that has gained momentum in recent years owing to increased attention being given to Islamic finance, socially responsible investing…
Abstract
Purpose
Green sukuk (GS) is an emerging financial tool that has gained momentum in recent years owing to increased attention being given to Islamic finance, socially responsible investing (SRI) and sustainability agendas. Yet, GS studies are fragmented, dispersed and lack comprehensive reviews. As a response to this gap in academia, this paper aims to synthesize the knowledge on GS into thematic clusters, providing a more comprehensive understanding of the subject and offering guidelines for future research.
Design/methodology/approach
This study implemented a systematic literature review approach to analyse studies on GS that were published prior to and including June 2023. The PRISMA 2020 protocol was used in the sample selection process. A total of 62 peer-reviewed journal articles from six databases were identified and categorized into various themes.
Findings
The results suggest that previous research has predominantly focused on the areas of GS advantages, drivers, market development and potential sectors, along with challenges and recommendations to improve the market. However, it was found that some other aspects, including GS pricing, performance and purchasing intention, require further research attention. The analysis also indicated that the use of theories in the GS context was limited, with only five theories employed in just four out of the 62 articles examined. Moreover, this paper’s findings revealed that the studies employing quantitative and empirical analysis methods were limited to four articles. Geographically, most of the studies were conducted in Indonesia and Malaysia, while other countries with high-potential markets (e.g. GCC) had limited GS practices and studies.
Practical implications
The results of this study have several practical implications. For investors, a review of GS will provide greater insight into the understanding of the GS market, helping them make better investment decisions. For policymakers, this paper empowers them with the knowledge to make informed decisions regarding GS markets by highlighting key recommendations identified in the literature. Finally, the proposed guidelines can be used in future research.
Originality/value
While Green Bonds have received significant attention, there is a dearth of research on GS and those that exist are fragmented. A systematic literature review is necessary to identify knowledge gaps for future research.
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Omokolade Akinsomi, Mustapha Bangura and Joseph Yacim
Several studies have examined the impact of market fundamentals on house prices. However, the effect of economic sectors on housing prices is limited despite the existence of…
Abstract
Purpose
Several studies have examined the impact of market fundamentals on house prices. However, the effect of economic sectors on housing prices is limited despite the existence of two-speed economies in some countries, such as South Africa. Therefore, this study aims to examine the impact of mining activities on house prices. This intends to understand the direction of house price spreads and their duration so policymakers can provide remediation to the housing market disturbance swiftly.
Design/methodology/approach
This study investigated the effect of mining activities on house prices in South Africa, using quarterly data from 2000Q1 to 2019Q1 and deploying an auto-regressive distributed lag model.
Findings
In the short run, we found that changes in mining activities, as measured by the contribution of this sector to gross domestic product, impact the housing price of mining towns directly after the first quarter and after the second quarter in the non-mining cities. Second, we found that inflationary pressure is instantaneous and impacts house prices in mining towns only in the short run but not in the long run, while increasing housing supply will help cushion house prices in both submarkets. This study extended the analysis by examining a possible spillover in house prices between mining and non-mining towns. This study found evidence of spillover in housing prices from mining towns to non-mining towns without any reciprocity. In the long run, a mortgage lending rate and housing supply are significant, while all the explanatory variables in the non-mining towns are insignificant.
Originality/value
These results reveal that enhanced mining activities will increase housing prices in mining towns after the first quarter, which is expected to spill over to non-mining towns in the next quarter. These findings will inform housing policymakers about stabilising the housing market in mining and non-mining towns. To the best of the authors’ knowledge, this study is the first to measure the contribution of mining to house price spillover.
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