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This paper provides an important perspective to the predictive capacity of Fed and European Central Bank (ECB) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy commodities returns and volatilities during the period from August 11, 2015 to March 31, 2018.

To assess empirically the unanticipated component of the US and ECB monetary policy, the authors pursue the Kuttner's approach and use the federal funds futures and the ECB funds futures to assess the surprise component. The authors use the approach of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018.

The authors’ results suggest strong significant DCCs between Bitcoin and energy commodity markets if monetary policy surprises are incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC between Bitcoin and energy commodity markets appears to respond considerably more in the case of Fed surprises than ECB surprises.

This study is a crucial topic for policymakers and portfolio risk managers.

The purpose of this paper is to understand and compare the extent and nature of the impact of foreign portfolio investment (FPI) on the stock market volatility, particularly in the Southeast Asian emerging markets, and compare that against the corresponding experience of Indian economy, in the context of a global financial crisis of the recent past.

The Asian emerging markets are now being perceived as becoming financially more and more vulnerable to international events because of their growing exposure to unstable foreign investment flows. The daily net FPI inflow and the daily leading stock market composite index of four countries, namely, Thailand, the Philippines, Indonesia and India, have been analyzed using autoregressive conditional heteroscedasticity (ARCH)-generalized ARCH group of models dividing the study period from 2000 to 2014 among pre-crisis, crisis and post-crisis period separately.

The study reveals that the net inflow of FPI has been a significant determinant of stock market returns in all countries. The impact of volatility spillover from the FPI market to the stock market in the sample countries has been found to be different under different market conditions. The past information and volatility clustering have been significantly influencing the stock market return volatilities of all these Southeast Asian countries on average.

However, there are significant country-wise differences in the relative importance and direction of the relationship of each of these effects with the volatility of the FPI and the stock markets. These effects have been different in these four different markets and they have significantly altered in strength and significance during the global financial crisis and in the post-financial crisis period.

The purpose of this study is to investigate factors influencing the net stable funding ratio (NSFR) in the Islamic banking system. More specifically, the authors analyze the impact of the deposit structure on the liquidity ratio using the two-step generalized method of moments approach during the 2000–2014 period.

Based on IFSB-12 and the GN-6, the authors calculated the NSFR for 35 Islamic banks operating in the Middle East and North Africa (MENA) region.

The findings of this study show the following: first, ratio of profit-sharing investment accounts have a positive impact on the NSFR, while ratio of non profit-sharing investment accounts increase the maturity transformation risk; second, the results highlight that asset risk, bank capital and the business cycle have a positive impact on the liquidity ratio, while the returns on assets, bank size and market concentration have a negative impact; and third, these results support the IFSB’s efforts in developing guidelines for modifying the NSFR to enhance the liquidity risk management of institutions offering Islamic financial services.

The most prominent limitation of this research is the availability of data.

These results will be useful for authorities and policy makers seeking to clarify the implications of adopting the liquidity requirement for banking behavior.

This study contributes to the knowledge in this area by improving our understanding of liquidity risk management during liquidity stress periods. It analyzes the modified NSFR that was adopted by the IFSB. Besides, this study fills a gap in the literature. Previous studies have used the conventional ratios to determinate the main factors of the maturity transformation risk in a full-fledged Islamic bank based on an early version of NSFR. Finally, most studies focus on the NSFR as proposed by the Basel Committee, whereas the authors investigate the case of the dual-banking system in the emerging economies of seven Arab countries in the MENA region.

This study aims to investigate the determinants of Islamic stock returns listed on Jakarta Islamic Index (Indonesia) between 2008 and 2018.

This study uses a quantile bounded autoregressive distributed lag (QBARDL) model to uncover relevant relationships.

This study finds that the Dow Jones Islamic Market Index, gold returns, world oil prices and exchange rates are the determinants of the Indonesia’s Islamic stock returns. However, the relationship is time varying developing intra-/inter-quantile bounded.

Integration of the Islamic stock returns with the real economic indicators changes over time. The findings have important implications for the policymakers, the fund managers and the investors to anticipate consequences when considering the macroeconomic conditions before participating in the Indonesian Islamic stock market.

Using a QBARDL, this study finds that the Islamic stock returns have on net and “time-varying intra-/inter-quantile developing” relationship with its determinants as data quantiles progressed from 25% to 75%.

The purpose of this study is to investigate the impact of government policies adopted by the Tunisian government to cope with the COVID-19 sanitary crisis on stock market return.

The author uses daily data from March 2, 2020, to July 23, 2021.

The author finds that policies interventions have a negative impact on Tunisia's stock market, particularly stock market returns due to stringency, confinement and health measures. Also, Government announcements regarding economic has a negative impact on Tunisia's stock market but this impact is insignificant. By conducting an additional analysis, the author shows that the government interventions policies amplify the negative effect of COVID-19 on stock returns.

These results will be useful for policy authorities seeking to consider the advantages and drawbacks of government measures. Finally, a legislative proposal about the audit of public debt should be included in the Constitution to spur Tunisia's economic and social recovery.

This study contributes to the related literature in two ways: First, it is the first study to examine the impact of government actions on stock market performance. Second, it bridges a gap in the literature by investigating the case of Tunisia, because most studies focus on developed and emerging economies.

This study aims to examine the spillover effects of the mean and volatility between oil prices and stock indices of six Gulf Cooperation Council (GCC) countries (UAE, Kuwait, Saudi Arabia, Qatar, Oman and Bahrain).

Over the period 2008–2019, a bivariate VARMA-GARCH-ADCC model was combined with the maximal overlap discrete wavelet transform technique filter to shed light on a wide range of possible spillover effects in the mean and variances of level prices at various time horizons.

The authors find that the spillover effects between oil prices and the GCC stock markets are time-varying and spread across various time horizons. Besides, oil prices and stock market indices are directly impacted by their own shocks and variations and indirectly influenced by other price volatilities and wavelet scales. The linkages in volatility spillovers between oil prices and the GCC stock markets occur in the short-term, midterm and long-term horizons. More specifically, the results also show that the asymmetric estimates are statistically significant for the associations between oil prices and each stock market in the GCC countries. This implies that negative shocks play a more vital role than positive shocks in driving the dynamic condition correlations between oil and stock markets under study.

The significant interrelatedness between oil prices and each stock market in the GCC countries has important implications for investors, portfolio managers, and other market participants. They can use the findings of this research to create the best oil-GCC stock portfolios and predict more precisely the volatility spillover patterns in constructing their hedging strategies.

In several ways, this study differs from previous research. First, while previous empirical studies of the dynamic link between oil prices and stock markets have focused primarily on developed or emerging markets, the focus of this is on six GCC countries. Second, the linkage between oil prices and stock markets is typically studied at the original data level in the time domain in relevant literature, while frequency information is overlooked. Therefore, the current study examines this relationship from a multiscale perspective. Third, in this paper, to capture a wide range of possible spillover effects in the mean and variance of level prices at multiple wavelet scales, the authors use a VARMA-GARCH-ADCC model in conjunction with wavelet multiresolution analysis. Additionally, this article also applies wavelet hedge ratio and wavelet hedge portfolio analysis at various time horizons.

The purpose of this study is to examine the impact of selected corporate governance (CG) variables on the equity value multiple (EVM) of listed firms in Nigeria.

The research used data obtained from 100 firms listed on the Nigerian Stock Exchange (NSE) from 2014 to 2018. A generalized method of moment was used to estimate the relationship, whereas principal component analysis was used to generate composite values of EVMs.

Findings reveal a significant association between board size, board independence, board gender diversity, managerial shareholding, audit committee independence, disclosure of CG information and EVM at a 1% level of significance.

This study was limited to firms that disclosed information on CG and EVMs.

These empirical findings lend support to agency theory, which suggests the use of various CG variables as a way of reducing principal-agent conflicts. It also lends support to resource dependency theory from a gender diversity perspective.

The study is a pioneering effort toward unlocking the relationship between some CG variables and the EVMs, focusing on firms listed on the NSE.

There is not a comprehensive study which covers the evolution of the Turkish Islamic liquidity management landscape so far. The purpose of this study is to show how Turkish PBs have been gradually furnished with the needed liquidity management instruments by the Turkish Treasury, Central Bank of the Republic of Turkey and other related regulatory bodies and to analyze the repercussions of the evolution of Islamic liquidity management on balance sheets of participation banks (PBs) over time. This study also aims to come up with some humble policy recommendations that can improve Islamic liquidity management set up going forward.

The study acknowledges that at least two important elements of liquidity management should be in place on the way of improving the Islamic liquidity management environment. The first one is asset side liquidity or having an adequate amount of high-quality liquid assets. The second one is liability side liquidity, meaning that having access to funding liquidity, especially to central bank liquidity. Historical development of liquidity-related asset-side and liability-side balance sheet items between 2010 and 2020 are analyzed and visualized to demonstrate the progress in the Islamic liquidity management landscape in Turkey.

From 2010 to 2020, Turkish financial authorities made a great effort to get PBs to have more proper liquidity management tools. Turkish authorities have leveled the playing field for PBs via enriching liquidity management tools. Government sukuk issuances has filled the liquid asset gap, improved the liquidity profile of PBs and lessened overall liquidity risk while introduced central bank liquidity facilitates have reduced funding liquidity risk. Islamic liquidity management setup is much more advanced and participation banking system is more resilient than the past, but there are still some missing steps that can further ameliorate the Islamic liquidity management ecosystem in Turkey.

This study is a visualized ratio analysis of PB’s improving liquidity profile in the past 10 years and fills an important gap in terms of displaying the overall Islamic liquidity management landscape in Turkey. Further studies and analysis can be built on this paper on Islamic liquidity management, banking and finance in the future. This paper can be a useful basement for researchers who intend to study on potential impacts of improving the liquidity of PBs on monetary transmission, banking profitability and overall banking system systemic risks.

Three different and interconnected areas should be further improved. These are enriching the diversity of government securities, providing central bank liquidity facilities under various available Islamic contracts and establishing an organized Islamic money market which will facilitate fund flows among various Islamic Financial Institutions (IFIs) and conventional financial institutions. Policymakers should act together, handle arising issues in a holistic manner, design and operationalize these incomplete parts of the puzzle to further optimize the playing field for the IFIs. Thus, there will be a more inclusive and competitive finance industry in which all risks are better managed and resources are more efficiently allocated.

Although various other studies are available on the Turkish Islamic banking industry, there is not such a specific study on Islamic liquidity management of Turkish PBs which makes this study a preliminary and different one. Apart from shedding light on the Turkish journey that has built a sound Islamic liquidity management infrastructure in the past 10 year, this study also shows an exemplary country experience in developing a more inclusive and robust financial ecosystem. This paper also contributes to financial development and inclusion literature as a policy paper.