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Article
Publication date: 7 December 2022

Syed Mabruk Billah, Thi Thu Ha Nguyen and Md Iftekhar Hasan Chowdhury

This study aims to contribute by expanding the existing literature on Sukuk return and volatility and exploring the implications of the Sukuk-exchange rate interactions.

Abstract

Purpose

This study aims to contribute by expanding the existing literature on Sukuk return and volatility and exploring the implications of the Sukuk-exchange rate interactions.

Design/methodology/approach

This study examines the dynamic interactions of Sukuk with exchange rate in 15 countries, employing the Wavelet approach that considers both time and investment horizons.

Findings

The results reveal significant evolving coherence of Sukuk return and volatility with the underlying exchange rate. The relationship is more potent than what this study witnesses in their counterpart bond market. For Sukuk returns, the coherence is negative, whereas it is positive for volatility. Notably, the coherence is strong in the medium to long term and intensifies during extreme economic episodes, especially during the COVID-19 pandemic. These findings are further validated by comparing firm-level matched data for Sukuk and conventional bond.

Originality/value

To the best of the authors’ knowledge, this is the first study that reports the dynamic relationship of Sukuk return and volatility with the underlying exchange rate in 15 countries. Collectively, this study unites valuable insights for faith-based active Islamic investors and cross-border portfolio managers.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 16 no. 3
Type: Research Article
ISSN: 1753-8394

Keywords

Article
Publication date: 18 September 2019

Mouna Abdelhedi and Mouna Boujelbène-Abbes

The purpose of this paper is to empirically investigate the volatility spillover between the Chinese stock market, investor’s sentiment and oil market, specifically during the…

Abstract

Purpose

The purpose of this paper is to empirically investigate the volatility spillover between the Chinese stock market, investor’s sentiment and oil market, specifically during the 2014‒2016 turmoil period.

Design/methodology/approach

This study used the daily and monthly China market price index, oil-price index and composite index of Chinese investor’s sentiment. The authors first use the DCC GARCH model in order to study the correlation between variables. Second, the authors use a continuous wavelet decomposition technique so as to capture both time- and frequency-varying features of co-movement variables. Finally, the authors examine the spillover effects by estimating the BEKK GARCH model.

Findings

The wavelet coherency results indicate a substantial co-movement between oil and Chinese stock markets in the periods of high volatility. BEKK GARCH model outcomes confirm this relation and report the noteworthy bidirectional transmission of volatility between oil market shocks and the Chinese investor’s sentiment, chiefly in the crisis period. These results support the behavioral theory of contagion and highlight that the Chinese investor’s sentiment is a channel through which shocks are transmitted between the oil and Chinese equity markets. Thus, these results are important for Chinese authorities that should monitor the investor’s sentiment to better control the interaction between financial and real markets.

Originality/value

This study makes three major contributions to the existing literature. First, it pays attention to the recent 2015 Chinese stock market bumble. Second, it has gone some way toward enhancing our understanding of the volatility spillover between the investor’s sentiment, investor’s sentiment variation, oil prices and stock market returns (variables of interest) during oil and stock market crises. Third, it uses the continuous wavelet decomposition technique since it reveals the linkage between variables of interest at different time horizons.

Details

International Journal of Emerging Markets, vol. 15 no. 2
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 6 October 2022

Azhar Mohamad

This paper aims to explore the election cycle and financial markets puzzle in a unique emerging market like Malaysia.

296

Abstract

Purpose

This paper aims to explore the election cycle and financial markets puzzle in a unique emerging market like Malaysia.

Design/methodology/approach

By employing an event-study methodology and wavelet analyses, the author tests for uncertain information hypothesis by examining the reactions of the Kuala Lumpur Composite Index (KLCI) and ringgit surrounding Malaysian general elections, spanning from GE5 (1978) to GE14 (2018). This paper also explores the relationship between KLCI and ringgit.

Findings

While the author does not find support for the uncertain information hypothesis, the author uncovers that KLCI tends to overreact following elections, regardless of the winning coalition. The author also records no relationship between KLCI and ringgit in the short run, but the author observes that ringgit leads KLCI in the long run.

Practical implications

The study’s findings bear implications for investors' disposition in the Malaysian equity market. Investors should square off their positions before the general elections to avoid equity market overreactions and potential losses.

Originality/value

Before Malaysia GE14 (2018) general election, Barisan Nasional carried the reputation as one of the longest-serving ruling coalitions in the world since Malaya independence in 1957. However, the ruling coalition was voted out in GE14 (2018), and the Malaysian equity has since dropped.

Details

Managerial Finance, vol. 49 no. 4
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 22 November 2021

Byomakesh Debata, Kshitish Ghate and Jayashree Renganathan

This study aims to examine the relationship between pandemic sentiment (PS) and stock market returns in an emerging order-driven stock market like India.

Abstract

Purpose

This study aims to examine the relationship between pandemic sentiment (PS) and stock market returns in an emerging order-driven stock market like India.

Design/methodology/approach

This study uses nonlinear causality and wavelet coherence techniques to analyze the sentiment-returns nexus. The analysis is conducted on the full sample period from January to December 2020 and further extended to two subperiods from January to June and July to December to investigate whether the associations between sentiment and market returns persist even several months after the outbreak.

Findings

This study constructs two novel measures of PS: one using Google Search Volume Intensity and the other using Textual Analysis of newspaper headlines. The empirical findings suggest a high degree of interrelationship between PS and stock returns in all time-frequency domains across the full sample period. This interrelationship is found to be further heightened during the initial months of the crisis but reduces significantly during the later months. This could be because a considerable amount of uncertainty regarding the crisis is already accounted for and priced into the markets in the initial months.

Originality/value

The ongoing coronavirus pandemic has resulted in sharp volatility and frequent crashes in the global equity indices. This study is an endeavor to shed light on the ongoing debate on the COVID-19 pandemic, investors’ sentiment and stock market behavior.

Details

Review of Behavioral Finance, vol. 15 no. 2
Type: Research Article
ISSN: 1940-5979

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 residential…

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. 16 no. 1
Type: Research Article
ISSN: 1753-8270

Keywords

Article
Publication date: 11 September 2017

Syed Jawad Hussain Shahzad, Safwan Mohd Nor, Nur Azura Sanusi and Ronald Ravinesh Kumar

The purpose of this paper is to identify the arbitrage opportunities between US industry-level credit and stock markets with a focus on dynamic lead-lag relationships given that…

Abstract

Purpose

The purpose of this paper is to identify the arbitrage opportunities between US industry-level credit and stock markets with a focus on dynamic lead-lag relationships given that these markets involve heterogeneous agents operating over various time horizons.

Design/methodology/approach

The authors use daily data of 11 US industries stock markets and their credit counterparts to model the dynamic dependence and casual nexuses using time-frequency approach, namely, wavelet squared coherence (WTC).

Findings

The WTC estimation results show that credit and stock markets are out of phase (counter cyclical) and stock markets lead their credit counterparts. The coherence between two markets increases during financial crises. The banks (utilities) industry credit and stock markets have relatively high (low) dependence.

Research limitations/implications

The casual nexuses between stock and credit markets have multilateral dimensions. Greater interest in examining the relationship between stock markets and credit default swap (CDS) spreads emerged as an important albeit a complex area of research, and gained prominence especially at the onset and following the global financial crises of 2007-2008 which clearly showed that the positive views of CDSs contribution in creating a resilient and efficient financial sector was nothing further from the truth.

Practical implications

The arbitrage and hedging opportunities between stock and credit markets are industry dependent and vary over investment time horizons. The utilities industry seems attractive for the investment with the objective to exploit arbitrage, but not for hedging.

Originality/value

The paper, for the first time, employs time-frequency approach to assess the arbitrage opportunities between US industry-level credit and stock markets.

Details

Journal of Economic Studies, vol. 44 no. 4
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 1 June 1955

AMONG new problems faced by design engineers of supersonic aircraft and missiles is the destructive effect of rain. At transonic and supersonic speeds, rain erosion of aircraft…

Abstract

AMONG new problems faced by design engineers of supersonic aircraft and missiles is the destructive effect of rain. At transonic and supersonic speeds, rain erosion of aircraft materials may prove to be a limiting factor in all‐weather flying conditions.

Details

Aircraft Engineering and Aerospace Technology, vol. 27 no. 6
Type: Research Article
ISSN: 0002-2667

Article
Publication date: 1 June 2022

Ghulame Rubbaniy, Ali Awais Khalid, Abiot Tessema and Abdelrahman Baqrain

The purpose of the paper is to investigate co-movement of major implied volatility indices and economic policy uncertainty (EPU) indices with both the health-based fear index and…

Abstract

Purpose

The purpose of the paper is to investigate co-movement of major implied volatility indices and economic policy uncertainty (EPU) indices with both the health-based fear index and market-based fear index of COVID-19 for the USA and the UK to help investors and portfolio managers in their informed investment decisions during times of infectious disease spread.

Design/methodology/approach

This study uses wavelet coherence approach because it allows to observe lead–lag nonlinear relationship between two time-series variables and captures the heterogeneous perceptions of investors across time and frequency. The daily data used in this study about the USA and the UK covers major implied volatility indices, EPU, health-based fear index and market-based fear index of COVID-19 for both the first and second waves of COVID-19 pandemic over the period from March 3, 2020 to February 12, 2021.

Findings

The results document a strong positive co-movement between implied volatility indices and two proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the COVID-19 proxy, is more representative of the stock market and exhibits a stronger positive co-movement with volatility indices than the COVID-19 fear index (C19FI). This study also finds that the UK’s implied volatility index weakly co-moves with the C19FI compared to the USA. The results show that EPU indices of both the USA and the UK exhibit a weak or no correlation with the C19FI. However, this study finds a significant and positive co-movement of EPU indices with IDEMVI over the short horizon and most of the sampling period with the leading effect of IDEMVI. This study’s robustness analysis using partial wavelet coherence provides further strengths to the findings.

Research limitations/implications

The investment decisions and risk management of investors and portfolio managers in financial markets are affected by the new information on volatility and EPU. The findings provide insights to equity investors and portfolio managers to improve their risk management practices by incorporating how health-related risks such as COVID-19 pandemic can contribute to the market volatility and economic risks. The results are beneficial for long-term equity investors, as their investments are affected by contributing factors to the volatility in US and UK’s stock markets.

Originality/value

This study adds following promising values to the existing literature. First, the results complement the existing literature (Rubbaniy et al., 2021c) in documenting that type of COVID-19 proxy matters in explaining the volatility (EPU) relationships in financial markets, where market perceived fear of COVID-19 is appeared to be more pronounced than health-based fear of COVID-19. Second, the use of wavelet coherence approach allows us to observe lead–lag relationship between the selected variables, which captures the heterogeneous perceptions of investors across time and frequency and have important insights for the investors and portfolio managers. Finally, this study uses the improved data of COVID-19, stock market volatility and EPU compared to the existing studies (Sharif et al., 2020), which are too early to capture the effects of exponential spread of COVID-19 in the USA and the UK after March 2020.

Details

Studies in Economics and Finance, vol. 40 no. 1
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 8 February 2022

Veli Yilanci and Ugur Korkut Pata

This study aims to investigate the impact of the rise in coronavirus disease 2019 (COVID-19) cases on stock prices, exchange rates and sovereign bond yields in both Brazil and…

Abstract

Purpose

This study aims to investigate the impact of the rise in coronavirus disease 2019 (COVID-19) cases on stock prices, exchange rates and sovereign bond yields in both Brazil and India.

Design/methodology/approach

The authors employ the wavelet transform coherence (WTC) and continuous wavelet transform (CWT) techniques on daily data from March 17, 2020 to May 8, 2021.

Findings

The findings show that COVID-19 has no impact on exchange rates but slightly increases sovereign bond yields from 2021 onwards. In contrast, the effect of COVID-19 on stock prices is quite high in both countries. There is a considerable consistency between COVID-19 cases and stock prices across different time–frequency dimensions. The rise in COVID-19 cases has an increasing effect on stock prices in Brazil and India, especially in the high-frequency ranges.

Originality/value

As far as the authors know, no prior study has simultaneously analyzed the effects of the COVID-19 pandemic on exchange rates, stock prices and sovereign bonds in Brazil and India.

Details

International Journal of Emerging Markets, vol. 18 no. 11
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 13 December 2021

Davide Aloini, Andrea Fronzetti Colladon, Peter Gloor, Emanuele Guerrazzi and Alessandro Stefanini

The purpose of the research is to conduct an exploratory investigation of the material handling activities of an Italian logistics hub. Wearable sensors and other smart tools were…

Abstract

Purpose

The purpose of the research is to conduct an exploratory investigation of the material handling activities of an Italian logistics hub. Wearable sensors and other smart tools were used for collecting human and environmental features during working activities. These factors were correlated with workers' performance and well-being.

Design/methodology/approach

Human and environmental factors play an important role in operations management activities since they significantly influence employees' performance, well-being and safety. Surprisingly, empirical studies about the impact of such aspects on logistics operations are still very limited. Trying to fill this gap, the research empirically explores human and environmental factors affecting the performance of logistics workers exploiting smart tools.

Findings

Results suggest that human attitudes, interactions, emotions and environmental conditions remarkably influence workers' performance and well-being, however, showing different relationships depending on individual characteristics of each worker.

Practical implications

The authors' research opens up new avenues for profiling employees and adopting an individualized human resource management, providing managers with an operational system capable to potentially check and improve workers' well-being and performance.

Originality/value

The originality of the study comes from the in-depth exploration of human and environmental factors using body-worn sensors during work activities, by recording individual, collaborative and environmental data in real-time. To the best of the authors' knowledge, the current paper is the first time that such a detailed analysis has been carried out in real-world logistics operations.

Details

The TQM Journal, vol. 34 no. 2
Type: Research Article
ISSN: 1754-2731

Keywords

11 – 20 of 48