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1 – 2 of 2Shinaj 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 Islamic) in…
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.
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M. Kabir Hassan, Jennifer Brodmann, Blake Rayfield and Makeen Huda
The purpose of this paper is to investigate proprietary data from customers of a Southern Louisiana credit union. It analyzes the factors that contribute to an accelerated failure…
Abstract
Purpose
The purpose of this paper is to investigate proprietary data from customers of a Southern Louisiana credit union. It analyzes the factors that contribute to an accelerated failure time (AFT) using information from customers’ credit applications as well as information provided in their credit report.
Design/methodology/approach
This paper investigates the factors that affect credit risk using survival analysis by employing two primary models – the AFT model and the Cox proportional hazard (PH) model. While several studies employ the Cox PH model, few use the AFT model. However, this paper concludes that the AFT model has superior predictive qualities.
Findings
This paper finds that the factors specific to borrowers and local factors play an important role in the duration of a loan.
Practical implications
This paper offers an easily interpretable model for determining the duration of a potential borrower. The marketing department of credit unions can then use this information to predict when a customer will default, thus allowing the credit union to intervene in a timely manner to prevent defaults. Further, the credit union can use this information to seek out customers who are less likely to default.
Originality/value
This study is different from the previous research due to its focus on credit unions, which have distinct characteristics. Compared to similar lending institutions, the charter of the credit union does not allow management to sell off loans to other investors.
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