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1 – 2 of 2Mohamed Fakhfekh, Ahmed Jeribi, Ahmed Ghorbel and Nejib Hachicha
In a first place, the present paper is designed to examine the dynamic correlations persistent between five cryptocurrencies, WTI, Gold, VIX and four stock markets (SP500, FTSE…
Abstract
Purpose
In a first place, the present paper is designed to examine the dynamic correlations persistent between five cryptocurrencies, WTI, Gold, VIX and four stock markets (SP500, FTSE, NIKKEI and MSCIEM). In a second place, it investigates the relevant optimal hedging strategy.
Design/methodology/approach
Empirically, the authors examine how WTI, Gold, VIX and five cryptocurrencies can be applicable to hedge the four stock markets. Three variants of multivariate GARCH models (DCC, ADCC and GO-GARCH) are implemented to estimate dynamic optimal hedge ratios.
Findings
The reached findings prove that both of the Bitcoin and Gold turn out to display remarkable hedging commodity features, while the other assets appear to demonstrate a rather noticeable disposition to act as diversifiers. Moreover, the results show that the VIX turns out to stand as the most effectively appropriate instrument, fit for hedging the stock market indices various related refits. Furthermore, the results prove that the hedging strategy instrument was indifferent for FTSE and NIKKEI stock while for the American and emerging markets, the hedging strategy was reversed from the pre-cryptocurrency crash to the during cryptocurrency crash period.
Originality/value
The first paper's empirical contribution lies in analyzing emerging cross-hedge ratios with financial assets and compare hedging effectiveness within the period of crash and the period before Bitcoin crash as well as the sensitivity of results to refits choose to compare between short term hedging strategy and long-term one.
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Nejib Hachicha and Amine Ben Amar
– The purpose of this paper is to investigate empirically the impact of the Islamic Bank Financing on Malaysia’s economic growth over the period 2000Q1-2011Q4.
Abstract
Purpose
The purpose of this paper is to investigate empirically the impact of the Islamic Bank Financing on Malaysia’s economic growth over the period 2000Q1-2011Q4.
Design/methodology/approach
A neoclassical production function augmented by some indicators of Islamic bank finance has been the theoretical framework for this paper’s empirical investigation. The unit root tests show that all the variables are integrated of order 1. The test of Johansen and Juselius (1990) has shown the existence of a single cointegrating relationship between the gross domestic product (GDP), the investment, the labor force and the indicator of Islamic bank finance. Hence, an error correction model has been constructed to estimate the economic growth elasticity with respect to the different Islamic bank finance indicators.
Findings
The estimated elasticities show that, in the long run, the GDP in Malaysia is not sensitive to the Islamic financing. The estimation of an error correction model shows that the elasticity of the Malaysian output with respect to the different Islamic financing indicators in the short run turn around 0.35. Thus, the effect of the different Islamic finance indicators on the economic growth in the long run is less important than their effect in the short run. This economic result can be explained by the structure of the Islamic bank financing that marginalizes the profit-and-loss sharing (PLS)-based instruments. This turns out to be consistent with the economic reality in Malaysia, as the Islamic banks engage much more in non-participatory activities whose impact is, generally, of short term.
Social implications
To improve the efficiency of the Malaysian Islamic banks as financial inter-mediaries that facilitate the capital accumulation and the economic growth, the paper suggests to strengthen the weight of the PLS-based instruments in the loan portfolios of the Malaysian Islamic banks. This may reduce inequalities and improve economic opportunities for people who have a high potential to contribute to the capital accumulation and the creation of the value-added.
Originality/value
The contribution of this paper is two-fold. On the one hand, it provides a further contribution to the rare empirical literature relative to the impact of the Islamic finance on growth by determining the elasticity of economic growth with respect to Islamic bank financing in Malaysia. On the other hand, and to the best of the authors’ knowledge, this paper remains the first to correctly resort to the error correction model in determining this elasticity.
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