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Article
Publication date: 28 January 2022

Walid Mensi, Imran Yousaf, Xuan Vinh Vo and Sang Hoon Kang

This paper examines asymmetric multifractality (A-MF) in the leading Middle East and North Africa (MENA) stock markets under different turbulent periods (global financial crisis…

Abstract

Purpose

This paper examines asymmetric multifractality (A-MF) in the leading Middle East and North Africa (MENA) stock markets under different turbulent periods (global financial crisis [GFC] and European sovereign debt crisis [ESDC], oil price crash and COVID-19 pandemic).

Design/methodology/approach

This study applies the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method of Cao et al. (2013) to identify A-MF and MENA stock market efficiency during the COVID-19 pandemic.

Findings

The results show strong evidence of different patterns of MF during upward and downward trends. Inefficiency is higher during upward trends than during downward trends in most of the stock markets in the whole sample period, and the opposite is true during financial crises. The Turkish stock market is the least inefficient during upward and downward trends. A-MF intensifies with an increase in scales. The evolution of excessive A-MF for MENA stock returns is heterogeneous. Most of the stock markets are more inefficient during a pandemic crisis than during an oil crash and other financial crises. However, the inefficiency of the Saudi Arabia and Qatar stock markets is highly sensitive to oil price crashes. Overall, the level of inefficiency varies across market trends, scales and stock markets and over time. The findings of this study provide investors and policymakers with valuable insights into efficient investment strategies, risk management and financial stability.

Originality/value

This paper first explores A-MF in the MENA emerging stock markets. The A-MF analysis provides useful information to investors regarding asset allocation, portfolio risk management and investment strategies during bullish and bearish market states. In addition, this paper examines A-MF under different turbulent periods, such as the GFC, the ESDC, the 2014–2016 oil crash and the COVID-19 pandemic.

Details

International Journal of Emerging Markets, vol. 18 no. 10
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 13 April 2023

Walid Mensi, Vinh Xuan Vo and Sang Hoon Kang

This study aims to examine the multiscale predictability power of COVID-19 deaths and confirmed cases on the S&P 500 index (USA), CAC30 index (France), BSE index (India), two…

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Abstract

Purpose

This study aims to examine the multiscale predictability power of COVID-19 deaths and confirmed cases on the S&P 500 index (USA), CAC30 index (France), BSE index (India), two strategic commodity futures (West Texas intermediate [WTI] crude oil and Gold) and five main uncertainty indices Equity Market Volatility Ticker (EMV), CBOE Volatility Index (VIX), US Economic Policy Uncertainty (EPU), CBOE Crude Oil Volatility Index (OVX) and CBOE ETF Gold Volatility Index (GVZ). Furthermore, the authors analyze the impact of uncertainty indices and COVID-19 deaths and confirmed cases on the price returns of stocks (S&P500, CAC300 and BSE), crude oil and gold.

Design/methodology/approach

The authors used the wavelet coherency method and quantile regression approach to achieve the objectives.

Findings

The results show strong multiscale comovements between the variables under investigation. Lead-lag relationships vary across frequencies. Finally, COVID-19 news is a powerful predictor of the uncertainty indices at intermediate (4–16 days) and low (32–64 days) frequencies for EPU and at low frequency for EMV, VIX, OVX and GVZ indices from January to April 2020. The S&P500, CAC30 and BSE indexes and gold prices comove with COVID-19 news at low frequencies during the sample period. By contrast, COVID-19 news and WTI oil moderately correlated at low frequencies. Finally, the returns on equity and commodity assets are influenced by uncertainty indices and are sensitive to market conditions.

Originality/value

This study contributes to the literature by exploring the time and frequency dependence between COVID-19 news (confirmed and death cases) on the returns of financial and commodity markets and uncertainty indexes. The findings can assist market participants and policymakers in considering the predictability of future prices and uncertainty over time and across frequencies when setting up regulations that aim to enhance market efficiency.

Details

Studies in Economics and Finance, vol. 40 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 6 October 2021

Samah Hazgui, Saber Sebai and Walid Mensi

This paper aims to examine the frequency of co-movements and asymmetric dependencies between bitcoin (BTC), gold, Brent crude oil and the US economic policy uncertainty (EPU…

Abstract

Purpose

This paper aims to examine the frequency of co-movements and asymmetric dependencies between bitcoin (BTC), gold, Brent crude oil and the US economic policy uncertainty (EPU) index.

Design/methodology/approach

The authors use a wavelet approach and a quantile-on-quantile regression (QQR) method.

Findings

The results show a positive interdependence between BTC and commodity price returns at both medium and low frequencies over the sample period. In contrast, the dependence is negative between BTC and EPU index at both medium and low frequencies. Furthermore, the co-movements between markets are more pronounced during crises. The results show that strategic commodities and EPU index have the ability to predict BTC price returns at both medium- and long-terms. The QQR method reveals that higher gold returns tend to predict higher/lower BTC returns when the market is in a bullish/bearish state. Moreover, lower gold returns tend to predict lower (higher) BTC returns when the market is in a bearish (bullish) state (positive (negative) relationship). The lower Brent returns tend to predict higher/lower BTC returns when the market is in a bullish/bearish state. High Brent quantiles tend to predict the lower BTC returns in its extremely bearish states. Finally, higher and lower EPU changes tend to predict lower and higher BTC returns when the market is in a bearish/bullish state (negative relationship).

Originality/value

There is generally a lack of understanding of the linkages between BTC, gold, oil and uncertainty index across multiple frequencies. This is, as far as the authors know, the first attempt to apply both the wavelet approach and a QQR method to examine the multiscale linkages among markets under study. The findings should encourage the relevant policymakers to consider these co-movements which vary over time and in duration when setting up regulations that deem to enhance the market efficiency.

Details

Studies in Economics and Finance, vol. 39 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 25 August 2021

Walid Mensi, Ramzi Nekhili, Xuan Vinh Vo and Sang Hoon Kang

This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between…

Abstract

Purpose

This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between positive and negative returns.

Design/methodology/approach

This paper employs the spillover index of Diebold and Yilmaz (2012) to measure the volatility spillover index for total, positive and negative volatility.

Findings

The results show time-varying and asymmetric volatility spillovers among the stock markets under investigation. During the coronavirus disease 2019 (COVID-19) pandemic, bad volatility spillovers are more pronounced and dominated over good volatility spillovers, indicating contagion effects.

Originality/value

The presence of confirmed COVID-19 cases positively (negatively) affects the good and bad spillovers under low and intermediate (upper) quantiles. Both types of spillovers at various quantiles agree also influenced by the number of COVID-19 deaths.

Details

International Journal of Emerging Markets, vol. 18 no. 9
Type: Research Article
ISSN: 1746-8809

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

Content available

Abstract

Details

Managerial Finance, vol. 44 no. 5
Type: Research Article
ISSN: 0307-4358

Article
Publication date: 15 February 2023

Lili Zhang, Jie Ling and Mingwei Lin

The aim of this paper is to present a comprehensive analysis of risk management in East Asia from 1998 to 2021 by using bibliometric methods and tools to explore research trends…

Abstract

Purpose

The aim of this paper is to present a comprehensive analysis of risk management in East Asia from 1998 to 2021 by using bibliometric methods and tools to explore research trends, hotspots, and directions for future research.

Design/methodology/approach

The data source for this paper is the Web of Science Core Collection, and 7,154 publications and related information have been derived. We use recognized bibliometric indicators to evaluate publications and visually analyze them through scientific mapping tools (VOS Viewer and CiteSpace).

Findings

The analysis results show that China is the most productive and influential country/region. East Asia countries have strong cooperation with each other and also have cooperation with other countries. The study shows that risk management has been involved in various fields such as credit, supply chain, health emergency and disaster especially in the background of COVID-19. We also found that machine learning, especially deep learning, has been playing an increasingly important role in risk management due to its excellent performance.

Originality/value

This paper focuses on studying risk management in East Asia, exploring its publication's fundamental information, citation and cooperation networks, hotspots, and research trends. It provides some reference value for scholars who are interested or further research in this field.

Details

International Journal of Intelligent Computing and Cybernetics, vol. 16 no. 3
Type: Research Article
ISSN: 1756-378X

Keywords

Article
Publication date: 14 April 2022

Mosab I. Tabash, Fatima Muhammad Abdulkarim, Mustapha Ishaq Akinlaso and Raj S. Dhankar

The paper examines the relationship between Islamic banking and the growth of the economy in Nigeria in both the short run and long run.

Abstract

Purpose

The paper examines the relationship between Islamic banking and the growth of the economy in Nigeria in both the short run and long run.

Design/methodology/approach

The study employs quarterly secondary time series data for Islamic banking as well as major macroeconomic variables to study the contribution of Islamic banking to the economy of Nigeria. It employs autoregressive distributed lags (ARDL) and error correction model (ECM) approaches from 2013 quarter 1 up to 2020 quarter 2.

Findings

The results show that Islamic banking has a positive contribution to Nigeria's economy in both short run and long run, but this contribution is insignificant.

Practical implications

Policymakers should endeavor to redesign the country's financial architecture and come up with policies that can support the growth of Islamic finance sector. This will significantly strengthen Nigeria's position as one of the leading Islamic finance hubs in Africa.

Originality/value

This is the first study to examine the contribution of Islamic banking to the Nigerian economy according to the best knowledge of the authors.

Details

African Journal of Economic and Management Studies, vol. 13 no. 4
Type: Research Article
ISSN: 2040-0705

Keywords

Article
Publication date: 12 May 2021

Walid Chkili and Manel Hamdi

The purpose of this study is to investigate the volatility and forecast accuracy of the Islamic stock market for the period 1999–2017. This period is characterized by the…

Abstract

Purpose

The purpose of this study is to investigate the volatility and forecast accuracy of the Islamic stock market for the period 1999–2017. This period is characterized by the occurrence of several economic and political events such as the September 11, 2001, terrorist attack and the 2007–2008 global financial crisis.

Design/methodology/approach

This study constructs a new hybrid generalized autoregressive conditional heteroskedasticity (GARCH)-type model based on an artificial neural network (ANN). This model is applied to the daily Dow Jones Islamic Market World Index during the period June 1999–January 2017.

Findings

The in-sample results show that the volatility of the Islamic stock market can be better described by the fractionally integrated asymmetric power ARCH (FIAPARCH) approach that takes into account asymmetry and long memory features. Considering the out-of-sample analysis, this paper has applied a hybrid forecasting model, which combines the FIAPARCH approach and the ANN. Empirical results reveal that the proposed hybrid model (FIAPARCH-ANN) outperforms all other single models such as GARCH, fractional integrated GARCH and FIAPARCH in terms of all performance criteria used in the study.

Practical implications

The results have some implications for Islamic investors, portfolio managers and policymakers. These implications are related to the optimal portfolio diversification decision, the hedging strategy choice and the risk management analysis.

Originality/value

The paper develops a new framework that combines an ANN and FIAPARCH model that introduces two important features of time series, namely, asymmetry and long memory.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 14 no. 5
Type: Research Article
ISSN: 1753-8394

Keywords

Article
Publication date: 14 November 2023

Barkha Dhingra, Shallu Batra, Vaibhav Aggarwal, Mahender Yadav and Pankaj Kumar

The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a…

Abstract

Purpose

The increasing globalization and technological advancements have increased the information spillover on stock markets from various variables. However, there is a dearth of a comprehensive review of how stock market volatility is influenced by macro and firm-level factors. Therefore, this study aims to fill this gap by systematically reviewing the major factors impacting stock market volatility.

Design/methodology/approach

This study uses a combination of bibliometric and systematic literature review techniques. A data set of 54 articles published in quality journals from the Australian Business Deans Council (ABDC) list is gathered from the Scopus database. This data set is used to determine the leading contributors and contributions. The content analysis of these articles sheds light on the factors influencing market volatility and the potential research directions in this subject area.

Findings

The findings show that researchers in this sector are becoming more interested in studying the association of stock markets with “cryptocurrencies” and “bitcoin” during “COVID-19.” The outcomes of this study indicate that most studies found oil prices, policy uncertainty and investor sentiments have a significant impact on market volatility. However, there were mixed results on the impact of institutional flows and algorithmic trading on stock volatility, and a consensus cannot be established. This study also identifies the gaps and paves the way for future research in this subject area.

Originality/value

This paper fills the gap in the existing literature by comprehensively reviewing the articles on major factors impacting stock market volatility highlighting the theoretical relationship and empirical results.

Details

Journal of Modelling in Management, vol. 19 no. 3
Type: Research Article
ISSN: 1746-5664

Keywords

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