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Article
Publication date: 2 February 2015

Benoît Robert, Luciano Morabito, Irène Cloutier and Yannick Hémond

The purpose of this paper is to present a coherence analysis to evaluate the resilience for a critical infrastructure (CI). This is the new way to evaluate the CI and…

Abstract

Purpose

The purpose of this paper is to present a coherence analysis to evaluate the resilience for a critical infrastructure (CI). This is the new way to evaluate the CI and demonstrate that the authors need to pass from the protection towards resilience.

Design/methodology/approach

The authors use two approaches for this research. First is a consequence-based approach to evaluate the resilience. This approach has been used many times for evaluating the interdependencies between CIs. The second is a systemic approach to characterize the system and doing the coherence analysis.

Findings

This paper presents a methodology to evaluate the coherence in a context of CIs protection. The coherence analysis in resilience is a new concept and the first result to the application seems very good for the user of the research.

Originality/value

The originality of this paper is the coherence analysis applied to a resilience evaluation. The criteria for coherence analysis is innovative and it is a new way to consider the resilience and the relation between an organization and it is partners. Another value is the need for a wider scope in the analysis of hazards and how to address them that includes the infrastructure system itself, but also other related organizations and infrastructure systems.

Details

Disaster Prevention and Management, vol. 24 no. 1
Type: Research Article
ISSN: 0965-3562

Keywords

Article
Publication date: 7 August 2017

Kim Hiang Liow and Shao Yue Angela

The purpose of this paper is to investigate the volatility spectral of five major public real estate markets, namely, the USA, the UK, Japan (JP), Hong Kong (HK), and…

Abstract

Purpose

The purpose of this paper is to investigate the volatility spectral of five major public real estate markets, namely, the USA, the UK, Japan (JP), Hong Kong (HK), and Singapore (SG), during the pre- and post-global financial crisis (GFC) periods.

Design/methodology/approach

First, univariate spectral analysis is concerned with discovering price cycles for the respective real estate markets. Second, bivariate cross-spectral analysis seeks to uncover whether any two real estate price series share common cycles with regard to their relative magnitudes and lead-lag patterns of the cyclical variations. Finally, to test the contagion effects, the authors estimate the exact percentage change in co-spectral density (cyclical covariance) due to high frequencies (short run) after the GFC.

Findings

The authors find that whilst none of the public real estate markets examined are spared from the crisis, the three Asian markets were less severely affected by the GFC and were accompanied by a reversal in volatility increase three years post-global financial crisis. Additionally, the public real estate markets studied have become more cyclically linked in recent years. This is particularly true at longer frequencies. Finally, these increased cyclical co-movements measure the outcomes of contagion and indicate fairly strong contagious effects between the public real estate markets examined due to the crisis.

Research limitations/implications

The implication of this research is that benefits to investors from international real estate diversification may not be as great during the present time compared to previous periods because national public real estate markets have become more correlated. Nevertheless, the findings do not imply the complete absence of diversification benefits. This is because although cyclical correlations increase in the short run, many of the correlation values are still between low and moderate range, indicating that some diversification benefits may still be realized.

Practical implications

Given the significant market share and the highest levels of securitization in Asia-Pacific markets including JP, HK/China, and SG, this cyclical research including major public real estate markets has practical implications for ongoing international real estate investment strategies, particularly for the USA/UK and Asian portfolio managers.

Originality/value

This paper contributes to the limited research on the cyclical return and co-movement dynamics among major public real estate markets during financial/economic crisis in international finance. Moreover, the frequency-domain analysis conducted in this paper adds to better understanding regarding the impact of GFC on the cyclical return volatility and co-movement dynamics of major developed public real estate markets in international investing.

Details

Journal of Property Investment & Finance, vol. 35 no. 5
Type: Research Article
ISSN: 1463-578X

Keywords

Article
Publication date: 29 March 2013

Mikko Ranta

The purpose of this paper is to examine contagion among the major world markets during the last 25 years and propose a new way to analyze contagion with wavelet methods.

Abstract

Purpose

The purpose of this paper is to examine contagion among the major world markets during the last 25 years and propose a new way to analyze contagion with wavelet methods.

Design/methodology/approach

The analysis uses a novel way to study contagion using wavelet methods. The comparison is made between co‐movements at different time scales. Co‐movement methods of the discrete wavelet transform and the continuous wavelet transform are applied.

Findings

Clear signs of contagion among the major markets are found. Short time scale co‐movements increase during the major crisis while long time scale co‐movements remain approximately at the same level. In addition, gradually increasing interdependence between markets is found.

Research limitations/implications

Because of the chosen method, the approach is limited to large data sets.

Practical implications

The research has practical implications to portfolio managers etc. who wish to have better view of the dynamics of the international equity markets.

Originality/value

The research uses novel wavelet methods to analyze world equity markets. These methods allow the markets to be analyzed in the whole state space.

Details

International Journal of Managerial Finance, vol. 9 no. 2
Type: Research Article
ISSN: 1743-9132

Keywords

Article
Publication date: 25 April 2022

Anwar Hasan Abdullah Othman, Mohamed Alshami and Adam Abdullah

This paper aims to investigate the linear and nonlinear interactions between the blockchain technology index and the UAE stock market index within the context of the Abu…

Abstract

Purpose

This paper aims to investigate the linear and nonlinear interactions between the blockchain technology index and the UAE stock market index within the context of the Abu Dhabi and Dubai banking sector.

Design/methodology/approach

In this study, linear analysis was performed using the generalized autoregressive conditional heteroscedasticity model (GARCH) (1,1) model, whereas nonlinear analysis was performed using the wavelet coherence model.

Findings

Based on the results of the GARCH (1) model, the authors find that the blockchain technology index has a positive significant impact on stock market returns in the Abu Dhabi and Dubai banking sector. In addition, the findings indicate that increasing blockchain integration in the banking industry decreases banks’ stock market volatility and facilitates price stabilization. Additionally, the coherence wavelet analysis reveals that there is a phase relationship between the blockchain technology index and banks’ stock market indices in the banking sector of the UAE. The association was stronger during the global pandemic crisis because they were moving together across different timescales.

Practical implications

With the help of the linear analysis, this study offers a focal point and valuable insights to policymakers, central banks and commercial banks management on how implementing blockchain technology in the banking industry help boost stock market returns, reduce volatility and facilitate price stability. As a result of the nonlinear analysis of the significant long-term degree of co-movement between blockchain technology and banks’ stock markets in UAE, policymakers or the management of banks in UAE should take the growth of the blockchain technology industry into consideration to ensure the continued development of the banking sector. For investors, the findings provide implications for portfolio managers operating in the UAE who are encouraged to take short-term co-movement into account (1–16-week horizons) through both frequency and time when designing their portfolio while keeping long-horizon periods in mind is not recommended.

Originality/value

It is a pioneering study that empirically examines the linear and nonlinear nexus between the blockchain technology index and banks’ stock market returns and price stability.

Details

Journal of Financial Economic Policy, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1757-6385

Keywords

Article
Publication date: 19 June 2020

Yaman Omer Erzurumlu, Tunc Oygur and Alper Kirik

Considering the different motivation for the creation of each of these cryptocurrencies, the purpose of this paper is to examine whether there is a dominant external…

Abstract

Purpose

Considering the different motivation for the creation of each of these cryptocurrencies, the purpose of this paper is to examine whether there is a dominant external factor in the cryptocurrency world. Using a novel two-step time and frequency independent methodology, the authors examine a large scope of cryptocurrencies and external factors within the same period, and analytical framework.

Design/methodology/approach

The examined cryptocurrencies are Bitcoin, Ethereum, Ripple, Litecoin, Monero and Dash. In total, 18 external factors from 5 factor families are selected based on the mining motivation of these cryptocurrencies. The study first examines discrete wavelet transform-based (WTB) correlations, reduce the dimension and focuson relevant pairs. Selected pairs are further examined by wavelet coherence to capture the intermittent nature of the relationships allowing the most needed “Flexibility of frequency and time domains”.

Findings

Each coin appears to operate as a unique character with the exception of Bitcoin and Litecoin. There is no prominent external driver. The cryptocurrency market is not a clear substitute for a specific factor or market. Two-step WTB filtered wavelet coherence analysis help us to analyze a large number of factor without the loss of focus. The co-movements within the cryptocurrencies spillover from Ethereum to altcoins and later to Bitcoin.

Originality/value

The study presents one of the first examples of two-step WTB filtered wavelet coherence analysis. The methodology suggests an approach for simultaneous examination of large number of variables. The scope of the study provides a rather holistic view of the co-movements of external factors and major cryptocurrencies.

Details

Studies in Economics and Finance, vol. 37 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 4 February 2022

Zulfiqar Ali Imran and Muhammad Ahad

This study aims to compare the safe-haven properties of different asset markets such as gold, dollar, oil and disaggregated real estate sector (house, plot and…

Abstract

Purpose

This study aims to compare the safe-haven properties of different asset markets such as gold, dollar, oil and disaggregated real estate sector (house, plot and residential) against equity returns in Pakistan over the monthly period of January 2011–December 2020.

Design/methodology/approach

The authors use wavelet coherence to encapsulate the overall dependence and correlation of asset classes. Further, the authors also study the potential of diversification at the tail of returns distribution by applying the wavelet value-at-risk (VaR) framework.

Findings

The results of wavelet coherence show that the dependence is weaker (stronger) in the short (long)-term investment horizon. Moreover, the findings of wavelet VaR reveal that the degree of co-movement between gold and equity returns greatly affects the portfolio risk followed by residential property and oil.

Practical implications

The findings are beneficial for the individual investor, fund managers and financial advisors looking for the optimal portfolio combination that hedges the excessive negative movements in equity returns subject to the heterogeneity in the investment horizon.

Originality/value

This is a primary effort to estimate safe-haven investments opportunities at a large spectrum, including disaggregated real estate sector against stock returns in Pakistan. Moreover, this study uses wavelet coherence and wavelet VaR which have an advantage over traditional analysis for diversification.

Details

International Journal of Housing Markets and Analysis, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1753-8270

Keywords

Article
Publication date: 11 February 2021

Dervis Kirikkaleli

This study aims to close a gap in the relevant literature by investigating the causal linkage between financial risk (FR) and economic risk (ER) in China for the period…

Abstract

Purpose

This study aims to close a gap in the relevant literature by investigating the causal linkage between financial risk (FR) and economic risk (ER) in China for the period 1985Q1–2018Q4.

Design/methodology/approach

Based on the aim of the present study, Toda Yamamoto causality and wavelet coherence tests are used to capture the relationship between FR and ER in China.

Findings

The findings from wavelet coherence reveal that there is feedback causality between FR and ER in China at different frequencies and different periods between 1985 and 2018. The consistency of the findings from wavelet coherence is confirmed by the outcomes of Toda Yamamoto causality test.

Research limitations/implications

Although this study provides strong and consistent empirical findings for China, further studies should consider advancing the argument by focusing on different emerging markets.

Practical implications

Results are crucial for policy decision-making and can be used by researchers and macro-economic policymakers to take an action, if necessary, by implementing more appropriate or alternative economic and financial decisions.

Originality/value

To the best of the author’s knowledge, this relationship in China has not been comprehensively explored by using newly developed econometrics techniques. Therefore, this study is likely to open a debate about the literature as the study concludes with a discussion on short- and long-run implications for policymakers in China.

Article
Publication date: 19 January 2021

Fatma Alahouel and Nadia Loukil

This study examines co-movements between global Islamic index and heterogeneous rated/maturity sukuk. It tests the impact of financial uncertainty on these movements.

Abstract

Purpose

This study examines co-movements between global Islamic index and heterogeneous rated/maturity sukuk. It tests the impact of financial uncertainty on these movements.

Design/methodology/approach

Firstly, we conduct a bivariate wavelet analysis to assess the co-movements between stocks and sukuk indexes. Secondly, we use General dynamic factor model and stochastic volatility to construct financial uncertainty index from Islamic stock indexes. Finally, we run regression analysis to determine the impact of uncertainty on the obtained correlations.

Findings

Our results suggest the absence of flight to quality phenomenon since correlations are positive especially at a short investment horizon. There is evidence of contagion phenomena across assets. Financial uncertainty may be considered as a determinant of stock-sukuk co-movements. Our results show that a rise in financial uncertainty induces correlation to move in the opposite direction in the short term, (exception for correlation with AA-Rated sukuk). However, the sign of stock market uncertainty becomes positive in the long term, which leads sukuk and stocks to move in the same direction (exception for 1–3 Year and AA Rated sukuk).

Practical implications

Investors may combine sukuk with 1–3 Year maturity and AA Rated when considering long holding periods. Further, all sukuk categories provide diversification benefit in time high financial uncertainty expectation for AA Rated sukuk when considering short holding periods.

Originality/value

To the best of our best knowledge, our study is the first investigation of the impact of financial uncertainty on Stock-sukuk co-movements and provides recommendation considering sukuk with different characteristics.

Details

International Journal of Emerging Markets, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 4 March 2022

Shinaj Valangattil Shamsudheen, Mudeer Ahmed Khattak, Aishath Muneeza and Makeen Huda

This study aims to investigate the reaction (in terms of returns and volatility) of Gulf Cooperation Council (GCC) country-wise stock markets (both conventional and…

Abstract

Purpose

This study aims to investigate the reaction (in terms of returns and volatility) of Gulf Cooperation Council (GCC) country-wise stock markets (both conventional and Islamic) in response to the surge of COVID-19 cases, with special reference to the announcement of financial stimulus packages in each country and the recent global oil price plunge. Further, the study also examines the impact of COVID-19 cases on the stock market returns of each GCC country and the continuous dynamics of correlation between COVID-19 cases and GCC stock markets.

Design/methodology/approach

This study uses an exponential generalized auto regressive conditional heteroskedasticity model and continuous wavelet coherence to estimate the stock market volatility and co-movement between COVID-19 cases and stock returns.

Findings

Empirical findings indicate an adverse reaction (negative returns and high volatility) during the period examined, with the stimulus package resulting in a positive transformation of returns in each country-level stock market as well as the regional stock index. Further, no evidence of an adverse effect of the oil price plunge is identified. All findings are identical between both conventional and Islamic stock indices.

Originality/value

While ample research has been conducted on the impact and dynamics of the pandemic on stock markets, little has addressed the areas of financial stimulus packages and the oil price plunge. The findings of this study show that further research needs to be conducted to elucidate the ways in which effective financial stimulus packages can be formulated in the GCC region to mitigate the adverse effects of COVID-19 for economies without causing major financial deficits, as well as to find strategies to diversify economies away from the oil curse.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 15 no. 2
Type: Research Article
ISSN: 1753-8394

Keywords

Article
Publication date: 25 February 2014

Ma Feicheng and Li Yating

This paper aims to explore the characteristics of the co-occurrence network of online tags and propose new approaches of applying social network analysis by utilising…

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Abstract

Purpose

This paper aims to explore the characteristics of the co-occurrence network of online tags and propose new approaches of applying social network analysis by utilising social tagging in order to organise data.

Design/methodology/approach

The authors collected online resources labelled “tag” from 7 November 2004 to 31 October 2011 from the CiteULike website, comprising 684 papers and their URLs, titles and data on tagging (users, times, and tags). They examined the co-occurrence network of online tags by using the analyses of social networks, including the analysis of coherence, the analysis of centricity and core to periphery categorical analysis.

Findings

Some features of the co-occurrence of online tags are as follows: the internet is subject to the “small world” phenomenon, as well as being “scale-free”. The structure of the internet reflects stable areas of core knowledge. In addition to five possible applications of social network analysis, social tagging has the greatest significance in organising online resources.

Originality/value

This research finds that co-occurrence of tags online is an effective way to organise and index data. Some suggestions are provided on the organisation of online resources.

Details

Online Information Review, vol. 38 no. 2
Type: Research Article
ISSN: 1468-4527

Keywords

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