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Article
Publication date: 17 October 2016

Syed Jawad Hussain Shahzad, Memoona Kanwal, Tanveer Ahmed and Mobeen Ur Rehman

The assessment of interdependence between stock markets is an important aspect of international portfolio management. The purpose of this paper is to examine and highlight the…

Abstract

Purpose

The assessment of interdependence between stock markets is an important aspect of international portfolio management. The purpose of this paper is to examine and highlight the diversification potential of South Asian stock markets vis-à-vis developed and European stock markets.

Design/methodology/approach

The developed stocks markets include USA and UK, and South Asian stock markets include India, Pakistan and Sri Lanka while DJ STOXX 600 index is used to represent the European stock markets. Monthly data are used to examine long-run relationship through ARDL bound testing approach and estimates are obtained using DLOS. Short-term dynamics are captured through vector error correction-based Granger causality.

Findings

South Asian stock markets are closely linked with each other; similarly, developed/European markets are interlinked. US stock market not only impacts European stock markets, it also Granger cause South Asian stock markets. The findings suggest increase in comovement of South Asian stock markets with the global markets after financial crises of 2007-2008.

Practical implications

The diversification benefits of South Asian stock markets for international investors are still evident due to their low relationship (in both long and short run) with developed/European stock markets.

Originality/value

Given the emergence of South Asian stock markets, new insight on their relationship with developed stock markets can provide interesting findings for international portfolio diversification. The South Asian equity markets are an important source of investment because of their immense growth and weak correlation with international markets.

Details

South Asian Journal of Global Business Research, vol. 5 no. 3
Type: Research Article
ISSN: 2045-4457

Keywords

Article
Publication date: 6 November 2017

Syed Jawad Hussain Shahzad, Peter Josef Stauvermann, Ronald Ravinesh Kumar and Tanveer Ahmad

This study aims to examine the impact of terrorism on return and systematic risk of Pakistan’s equity industries. Daily data from 1 January 2000 to 31 December 2014 for 12…

Abstract

Purpose

This study aims to examine the impact of terrorism on return and systematic risk of Pakistan’s equity industries. Daily data from 1 January 2000 to 31 December 2014 for 12 industries based on the specific types of companies listed on Karachi Stock Exchange are used for the empirical analysis.

Design/methodology/approach

A multiplicative (additive) term is introduced in the standard capital asset pricing model to examine the change in systematic risk (industry returns) in response to the terrorist activities. The authors use the multiscale beta approach (Yamada, 2005) and the maximal overlap discrete wavelet transform (MODWT) to test the heterogeneous market hypothesis.

Findings

Terrorism activities increase the systematic risk for most of the industries and the negative impact on returns of banks and the financial industry. It is noted that terrorism positively impacts (increases) the industrial systematic risk mainly in short-run (between two and four days-time horizon).

Originality/value

The paper examines the impact of terrorism on a broad list of industries’ (banks, basic materials, chemicals, construction, consumer goods, consumer services, financials, industrials, minerals, oil and gas, textile and utilities) risk and return in Pakistan, using the multiscale beta approach (Yamada, 2005) and the MODWT methods.

Details

Accounting Research Journal, vol. 30 no. 4
Type: Research Article
ISSN: 1030-9616

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

Book part
Publication date: 28 September 2023

Georgiana Ioana Tircovnicu and Camelia-Daniela Hategan

The need for an efficient enterprise risk management (ERM) has never been greater than today when organisations face complex and interconnected risks targeting their business…

Abstract

The need for an efficient enterprise risk management (ERM) has never been greater than today when organisations face complex and interconnected risks targeting their business models. Macroeconomics and geopolitical uncertainties, digital transformations of industries and sectors, cybersecurity, and climate change, among other trends, present significant uncertainties. This article aims to analyse the scientific papers on research specific to ERM and review the links between the researched area and market or corporate governance topics. Risk management is underdeveloped in many organisations; the current standard for risk management is a reactive approach. It is usually treated in isolation rather than as a core competency and a strategic asset. As a result, risk management processes are ineffective and seen as adding value to decision-making and responding to uncertainties. Based on the literature, the scope is to set up the framework for future research on ERM by building a bibliometric analysis and examining articles collected from the Web of Science Core Collection database. The study identified the essential research on this topic based on the citations of the papers and the author’s countries with the highest number of publications and citations. VOSviewer software analysed the ERM system based on keywords, citations, geographical distribution, and authorships. The research proves a strong connection between the ERM and corporate governance topics considering the stage where most countries are regarding this subject.

Details

Digital Transformation, Strategic Resilience, Cyber Security and Risk Management
Type: Book
ISBN: 978-1-80455-254-4

Keywords

Article
Publication date: 31 October 2023

Siong Min Foo, Nazrul Hisyam Ab Razak, Fakarudin Kamarudin, Noor Azlinna Binti Azizan and Nadisah Zakaria

This study comprehensively aims to review the key influential and intellectual aspects of spillovers between Islamic and conventional financial markets.

Abstract

Purpose

This study comprehensively aims to review the key influential and intellectual aspects of spillovers between Islamic and conventional financial markets.

Design/methodology/approach

The study uses the bibliometric and content analysis methods using the VOSviewer software to analyse 52 academic documents derived from the Web of Sciences (WoS) between 2015 and June 2022.

Findings

The results demonstrate the influential aspects of spillovers between Islamic and conventional financial markets, including the leading authors, journals, countries and institutions and the intellectual aspects of literature. These aspects are synthesised into four main streams: research between stock indexes; studies between stock indexes, oil and precious metal; works between Sukuk, bond and indexes; and empirical studies review. The authors also propose future research directions in spillovers between Islamic and conventional financial markets.

Research limitations/implications

Our study is subject to several limitations. Firstly, the authors only used the WoS database. Secondly, the study only includes papers and reviews written in English from the WoS. This study assists academic scholars, practitioners and regulatory bodies in further exploring the suggested issues in future studies and improving and predicting economic and financial stability.

Originality/value

To the best of the authors’ knowledge, no extant empirical studies have been conducted in this area of research interest.

Details

Journal of Islamic Accounting and Business Research, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1759-0817

Keywords

Article
Publication date: 10 February 2023

Roslina Mohamad Shafi and Yan-Ling Tan

This study aims to explore the evolution of the Islamic capital market (ICM) from the perspective of research publications.

Abstract

Purpose

This study aims to explore the evolution of the Islamic capital market (ICM) from the perspective of research publications.

Design/methodology/approach

A bibliometric analysis was applied based on selected publications from the Web of Science Core Collection (WoSCC) database from 2000 to 2021. The study adopted VOSviewer software which was developed by Leiden University.

Findings

This study has some implications that need urgent action. Firstly, there are some areas that have received little attention among researchers, although they are relevant to the industry, for instance, in fintech and blockchain in ICM. Secondly, the inconsistent frequency of publications in some niche areas may suggest that there are unprecedented events that hinder further research; probably, the researcher may anticipate more information and progress in the industry. Thirdly, the need to strengthen the collaboration between industry and academia to advance research.

Research limitations/implications

This study considered only the WoSCC database. The provider of WoSCC is Clarivate (formerly known as Thomson Reuters), where access to publications is limited to institutional subscribers. The implications of this study are to identify and propose future research trends in the field of ICM.

Originality/value

To the best of the authors’ knowledge, the present study is among the pioneer studies in analysing bibliometric focusing on ICM. Previous research has focused on Islamic finance and banking, and not specifically on ICM. Accordingly, this study sheds light on research gaps in ICM.

Details

Journal of Islamic Accounting and Business Research, vol. 14 no. 8
Type: Research Article
ISSN: 1759-0817

Keywords

Article
Publication date: 10 May 2023

Nader Trabelsi

This study aims to uncover the main predictors of financial distress in the Gulf Cooperation Council (GCC) countries using a wide range of global factors and asset classes.

Abstract

Purpose

This study aims to uncover the main predictors of financial distress in the Gulf Cooperation Council (GCC) countries using a wide range of global factors and asset classes.

Design/methodology/approach

This study uses novel approaches that take into account extreme events as well as the nonlinear behavior of time series over various time intervals (i.e. short, medium and long term) and during boom and bust episodes. This study primarily uses the conditional value at risk (CoVaR), the quantile multivariate causality test and the partial wavelet coherence method. The data collection period ranges from March 2014 to September 2022.

Findings

US T-bills and gold are the primary factors that can increase financial stability in the GCC region, according to VaRs and CoVaRs. More proof of the predictive value of the oil, gold and wheat markets, as well as geopolitical tensions, uncertainty over US policy and volatility in the oil and US equities markets, is provided by the multivariate causality test. When low extreme quantiles or cross extreme quantiles are taken into account, these results are substantial and sturdy. Lastly, after adjusting for the effect of crude oil prices, this study’s wavelet coherence results indicate diminished long-run connections between the GCC stock market and the chosen global determinants.

Research limitations/implications

Despite the implications of the author’s research for decision makers, there are some limitations mainly related to the selection of Morgan Stanley Capital International (MSCI) GCC ex-Saudi Arabia. Considering the economic importance of the Kingdom of Saudi Arabia (KSA) in the region, the author believes that it would be better to include this country in the data to obtain more robust results. In addition, there is evidence in the literature of the existence of heterogeneous responses to global shocks; some markets are more vulnerable than others. This is another limitation of this study, as this study considers the GCC as a bloc rather than each country individually. These limitations could open up further research opportunities.

Originality/value

These findings are important for investors seeking to manage their portfolios under extreme market conditions. They are also important for government policies aimed at mitigating the impact of external shocks.

Details

Journal of Financial Economic Policy, vol. 15 no. 4/5
Type: Research Article
ISSN: 1757-6385

Keywords

Article
Publication date: 28 February 2024

Muhammad Zada, Jawad Khan, Imran Saeed, Shagufta Zada and Zhang Yong Jun

The purpose of this study is to investigate the relationship between sustainable leadership and sustainable project performance. Specifically, the study aims to examine the…

Abstract

Purpose

The purpose of this study is to investigate the relationship between sustainable leadership and sustainable project performance. Specifically, the study aims to examine the mediating role of knowledge integration, examining how knowledge integration within an organization influences project outcomes. In addition, the study seeks to explore the moderating role of top management knowledge values, examining how the values and beliefs of top management influence the relationship between sustainable leadership and project performance.

Design/methodology/approach

A three-wave survey of 392 employees working in construction sector projects in Pakistan used both hierarchical regression analysis and Hayes’ PROCESS macro method to evaluate the hypotheses.

Findings

The study results show that sustainable leadership positively relates to sustainable project performance and knowledge integration mediating this relationship. In addition, the top management knowledge value moderates the indirect effect of sustainable leadership on sustainable project performance via knowledge integration.

Research limitations/implications

Although the model was tested using three-wave data, it is important to note that the data were obtained from a single source. Therefore, it is possible that common method bias may have influenced the results, and this cannot be disregarded.

Practical implications

Organizations seek to prioritize sustainability and integrate sustainability considerations into their project management processes. Organizations can achieve improved sustainable project performance by investing in sustainable leadership development, fostering a culture of knowledge sharing and learning, prioritizing top management support for sustainable performance and integrating sustainable considerations into project management processes.

Originality/value

The study’s grounding on organizational learning theory adds an original and valuable perspective to the relationship between sustainable leadership and sustainable project performance. This investigation is original, as it combines sustainable leadership, knowledge integration and the moderating role of top management knowledge value to understand their impact on sustainable project performance. This unique approach contributes to the literature by providing new insights into these relationships and mechanisms in the construction industry.

Details

Journal of Knowledge Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1367-3270

Keywords

Article
Publication date: 4 November 2021

Asim Rafiq, Ameer Muhammad Aamir and Muhammad Nadeem

The aim of the paper is to determine the asymmetric impact of tourism on the deficit in the balance of payments (BOPs).

Abstract

Purpose

The aim of the paper is to determine the asymmetric impact of tourism on the deficit in the balance of payments (BOPs).

Design/methodology/approach

The research uses the non-linear autoregressive distributed lag (ARDL) model to investigate the asymmetric impact of tourism on Pakistan's BOPs deficit using quarterly data from 1995 to 2019.

Findings

The finding reveals that due to the positive change in tourism, the BOPs deficit decreases by 27%, although due to the negative change in tourism, the BOPs deficit rises by 2.3%. In addition, the significance of F-statistics (10.609) confirms the existence of co-integration between tourism and the deficit in the BOPs. The Wald test confirms the asymmetric association between tourism and the deficit in the BOPs over the long term.

Research limitations/implications

In order to improve tourism in Pakistan, policymakers must consider the following implications. First, there is a need for an adequate infrastructure that can help the tourist. Second, the Government must maintain a stable law and order situation as a whole and particularly at tourist destinations. Finally, the Government should develop tourism-friendly policies in order to boost tourism in Pakistan.

Originality/value

The research provides new evidence of the impact of tourism on the BOPs using the novel non-linear ARDL (NARDL) technique. The evidence will help policymakers to develop policies to improve tourism in order to reduce the BOPs deficit.

Details

Journal of Economic and Administrative Sciences, vol. 39 no. 4
Type: Research Article
ISSN: 1026-4116

Keywords

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