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Article
Publication date: 27 April 2022

Muhammed Ashiq Villanthenkodath, Mantu Kumar Mahalik and K. Mohamed Ismail Yasar Arafath

This empirical study explores the role of tourism development (TD) in India's environmental degradation. Since sustainable eco-tourism is essential for India, whose long-term…

Abstract

Purpose

This empirical study explores the role of tourism development (TD) in India's environmental degradation. Since sustainable eco-tourism is essential for India, whose long-term economic prosperity also depends on robust tourism growth. Hence, this study offers specific policy proposals for sustainable tourism based on the simulated outcomes.

Design/methodology/approach

The study employed the quarterly data from 1995Q1–2018Q4 for empirical validation. Moreover, the autoregressive distributed lag (ARDL) approach, Toda and Yamamoto (TY) causality model and wavelet coherence are also used to analyse the role of TD in India's environmental degradation.

Findings

The ARDL bounds test confirms the long-run relationship between the series. The long-run results from the ARDL model also indicate the driving role of TD in India's environmental degradation. In addition, the usage of the wavelet coherence method confirms the changes in TD that leads to changes in India's pollution level at different frequencies and periods, especially in the long run.

Research limitations/implications

Since this analysis is India-specific, these findings may lack generalizability to other developing economies. Therefore, researchers are encouraged to examine the impact of tourism growth on the natural environment in other countries either in a panel or time-series framework.

Practical implications

This study suggests crucial implications for checking the pollution sands from TD without sacrificing tourism-led economic growth. This would be possible if the usage of green energy in India's transport sector is promoted.

Originality/value

This is the first study that analyzes the impact of TD on environmental degradation in the ARDL, wavelet coherence, TY frameworks for enabling the Indian economy for a sustainable tourism practice.

Details

Management of Environmental Quality: An International Journal, vol. 33 no. 6
Type: Research Article
ISSN: 1477-7835

Keywords

Open Access
Article
Publication date: 11 September 2020

Yousra Trichilli, Mouna Boujelbène Abbes and Sabrine Zouari

This paper examines the impact of political instability on the investors' behavior, measured by Google search queries, and on the dynamics of stock market returns.

1084

Abstract

Purpose

This paper examines the impact of political instability on the investors' behavior, measured by Google search queries, and on the dynamics of stock market returns.

Design/methodology/approach

First, by using the DCC-GARCH model, the authors examine the effect of investor sentiment on the Tunisian stock market return. Second, the authors employ the fully modified dynamic ordinary least square method (FMOL) to estimate the long-term relationship between investor sentiment and Tunisian stock market return. Finally, the authors use the wavelet coherence model to test the co-movement between investor sentiment measured by Google Trends and Tunisian stock market return.

Findings

Using the dynamic conditional correlation (DCC), the authors find that Google search queries index has the ability to reflect political events especially the Tunisian revolution. In addition, empirical results of fully modified ordinary least square (FMOLS) method reveal that Google search queries index has a slightly higher effect on Tunindex return after the Tunisian revolution than before this revolution. Furthermore, by employing wavelet coherence model, the authors find strong comovement between Google search queries index and return index during the period of the Tunisian revolution political instability. Moreover, in the frequency domain, strong coherence can be found in less than four months and in 16–32 months during the Tunisian revolution which show that the Google search queries measure was leading over Tunindex return. In fact, wavelet coherence analysis confirms the result of DCC that Google search queries index has the ability to detect the behavior of Tunisian investors especially during the period of political instability.

Research limitations/implications

This study provides empirical evidence to portfolio managers that may use Google search queries index as a robust measure of investor's sentiment to select a suitable investment and to make an optimal investments decisions.

Originality/value

The important research question of how political instability affects stock market dynamics has been neglected by scholars. This paper attempts principally to fill this void by investigating the time-varying interactions between market returns, volatility and Google search based index, especially during Tunisian revolution.

Details

Journal of Capital Markets Studies, vol. 4 no. 1
Type: Research Article
ISSN: 2514-4774

Keywords

Article
Publication date: 19 March 2024

Yousra Trichilli, Hana Kharrat and Mouna Boujelbène Abbes

This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax…

Abstract

Purpose

This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax gold as a diversifier and hedge asset.

Design/methodology/approach

This paper examines the volatility spillover between Pax gold and fiat currencies using the framework of wavelet analysis, BEKK-GARCH models and Range DCC-GARCH. Moreover, this paper proposes to use the covariance and variance structure obtained from the new range DCC-GARCH framework to estimate the time-varying optimal hedge ratios, the optimal weighs and the hedging effectiveness.

Findings

Wavelet coherence method reveals that, at low frequency, large zone of co-movements appears for the pairs Pax gold/EUR, Pax gold/JPY and Pax gold/RUB. Further, the BEKK results show unidirectional (bidirectional) transmission effects between Pax gold and EUR, GBP, JPY and CNY (INR, RUB) fiat currencies. Moreover, the Range DCC results show that the Pax gold and the fiat currency returns are weakly correlated with low coefficients close to zero. Thus, Pax gold seems to serve as a safe haven asset against the systematic risk of fiat currency markets. In addition, the results of optimal weights show that rational investor should invest more in Pax gold and less in fiat currencies. Concerning the hedge ratios results, the findings reveal that the INR (JPY) fiat currency appears to be the most expensive (cheapest) hedge for the Pax-gold market. However, the JPY’s fiat currency appears to be the cheapest one. As for hedging effectiveness results, the authors found that hedging strategies including fiat currencies–Pax gold pairs are most likely to sharply decrease the portfolio’s risk.

Practical implications

A comprehensive understanding of the relationship between Pax Gold and fiat currencies is crucial for refining portfolio strategies involving cryptocurrencies. This research underscores the significance of grasping volatility transmissions between these currencies, providing valuable insights to guide investors in their decision-making processes. Moreover, it encourages further exploration into the interdependencies of digital currencies. Additionally, this study sheds light on effective contagion risk management, particularly during crises such as Covid-19 and the Russia–Ukraine conflict. It underscores the role of Pax Gold as a safe-haven asset and offers practical guidance for adjusting portfolios across various economic conditions. Ultimately, this research advances our comprehension of Pax Gold’s risk-return profile, positioning it as a potential hedge during periods of uncertainty, thereby contributing to the evolving literature on cryptocurrencies.

Originality/value

This study’s primary value lies in its pioneering empirical examination of the time-varying correlations and scale dependence between Pax Gold and fiat currencies. It goes beyond by determining optimal time-varying hedge ratios through the innovative Range-DCC-GARCH model, originally introduced by Molnár (2016) and distinguished by its incorporation of both low and high prices. Significantly, this analysis unfolds within the unique context of the Covid-19 pandemic and the Russian–Ukrainian conflict, marking a novel contribution to the field.

Details

EuroMed Journal of Business, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1450-2194

Keywords

Article
Publication date: 20 December 2021

Taicir Mezghani and Mouna Boujelbène-Abbes

This paper investigates the impact of financial stress on the dynamic connectedness and hedging for oil market and stock-bond markets of the Gulf Cooperation Council (GCC).

Abstract

Purpose

This paper investigates the impact of financial stress on the dynamic connectedness and hedging for oil market and stock-bond markets of the Gulf Cooperation Council (GCC).

Design/methodology/approach

This study uses the wavelet coherence model to examine the interactions between financial stress, oil and GCC stock and bond markets. Second, the authors apply the time–frequency connectedness developed by Barunik and Krehlik (2018) so as to identify the direction and scale connectedness among these markets. Third, the authors examine the optimal weights, hedge ratio and hedging effectiveness for oil and financial markets based on constant conditional correlation (CCC), dynamic conditional correlation (DCC) and Baba-Engle-Kraft-Kroner (BEKK)-GARCH models.

Findings

The authors have found that the correlation between the oil and stock-bond markets tends to be stable in nonshock periods, but it evolves during oil and financial shocks at lower frequencies. Moreover, the authors find that the oil market and financial stress are the main transmitters of risks. The connectedness is mainly driven by the long term, demonstrating that the markets rapidly process the financial stress spillover effect, and the shock is transmitted over the long run. Optimal weights show different patterns for each negative and positive case of the financial stress index. In the negative (positive) financial stress case, investors should have more oil (stocks) than stocks (oil) in their portfolio in order to minimize risk.

Originality/value

This study has gone some way toward enhancing one’s understanding of the time–frequency connectedness between the financial stress, oil and GCC stock-bond markets. Second, it identifies the impact of financial stress into hedging strategies offering important insights for investors aiming at managing and reducing portfolio risk.

Details

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

Keywords

Article
Publication date: 25 April 2022

Anwar Hasan Abdullah Othman, Mohamed Alshami and Adam Abdullah

This paper aims to investigate the linear and nonlinear interactions between the blockchain technology index and the UAE stock market index within the context of the Abu Dhabi and…

Abstract

Purpose

This paper aims to investigate the linear and nonlinear interactions between the blockchain technology index and the UAE stock market index within the context of the Abu Dhabi and Dubai banking sector.

Design/methodology/approach

In this study, linear analysis was performed using the generalized autoregressive conditional heteroscedasticity model (GARCH) (1,1) model, whereas nonlinear analysis was performed using the wavelet coherence model.

Findings

Based on the results of the GARCH (1) model, the authors find that the blockchain technology index has a positive significant impact on stock market returns in the Abu Dhabi and Dubai banking sector. In addition, the findings indicate that increasing blockchain integration in the banking industry decreases banks’ stock market volatility and facilitates price stabilization. Additionally, the coherence wavelet analysis reveals that there is a phase relationship between the blockchain technology index and banks’ stock market indices in the banking sector of the UAE. The association was stronger during the global pandemic crisis because they were moving together across different timescales.

Practical implications

With the help of the linear analysis, this study offers a focal point and valuable insights to policymakers, central banks and commercial banks management on how implementing blockchain technology in the banking industry help boost stock market returns, reduce volatility and facilitate price stability. As a result of the nonlinear analysis of the significant long-term degree of co-movement between blockchain technology and banks’ stock markets in UAE, policymakers or the management of banks in UAE should take the growth of the blockchain technology industry into consideration to ensure the continued development of the banking sector. For investors, the findings provide implications for portfolio managers operating in the UAE who are encouraged to take short-term co-movement into account (1–16-week horizons) through both frequency and time when designing their portfolio while keeping long-horizon periods in mind is not recommended.

Originality/value

It is a pioneering study that empirically examines the linear and nonlinear nexus between the blockchain technology index and banks’ stock market returns and price stability.

Details

Journal of Financial Economic Policy, vol. 14 no. 6
Type: Research Article
ISSN: 1757-6385

Keywords

Article
Publication date: 28 June 2022

Hayet Soltani and Mouna Boujelbene Abbes

This study aims to investigate the impact of the COVID-19 pandemic on both of stock prices and investor's sentiment in China during the onset of the COVID-19 crisis.

Abstract

Purpose

This study aims to investigate the impact of the COVID-19 pandemic on both of stock prices and investor's sentiment in China during the onset of the COVID-19 crisis.

Design/methodology/approach

In this study, the ADCC-GARCH model was used to analyze the asymmetric volatility and the time-varying conditional correlation among the Chinese stock market, the investors' sentiment and its variation. The authors relied on Diebold and Yilmaz (2012, 2014) methodology to construct network-associated measures. Then, the wavelet coherence model was applied to explore the co-movements between these variables. To check the robustness of the study results, the authors referred to the RavenPack COVID sentiments and the Chinese VIX, as other measures of the investor's sentiment using daily data from December 2019 to December 2021.

Findings

Using the ADCC-GARCH model, a strong co-movement was found between the investor's sentiment and the Shanghai index returns during the COVID-19 pandemic. The study results provide a significant peak of connectivity between the investor's sentiment and the Chinese stock market return during the 2015–2016 and the end of 2019–2020 turmoil periods. These periods coincide, respectively, with the 2015 Chinese economy recession and the COVID-19 pandemic outbreak. Furthermore, the wavelet coherence analysis confirms the ADCC results, which revealed that the used proxies of the investor's sentiment can detect the Chinese investors' behavior especially during the health crisis.

Practical implications

This study provides two main types of implications: on the one hand, for investors since it helps them to understand the economic outlook and accordingly design their portfolio strategy and allocate decisions to optimize their portfolios. On the other hand, for portfolios managers, who should pay attention to the volatility spillovers between investor sentiment and the Chinese stock market to predict the financial market dynamics during crises periods and hedge their portfolios.

Originality/value

This study attempted to examine the time-varying interactions between the investor's sentiment proxies and the stock market dynamics. Findings showed that the investor's sentiment is considered a prominent channel of shock spillovers during the COVID-19 crisis, which typically confirms the behavioral contagion theory.

Details

Asia-Pacific Journal of Business Administration, vol. 15 no. 5
Type: Research Article
ISSN: 1757-4323

Keywords

Article
Publication date: 4 November 2020

Fatima Muhammad Abdulkarim and Mosab I. Tabash

This study investigates the presence of portfolio diversification benefits for South African, Nigerian, Ghanaian and Kenyan fixed-income investors diversifying bond portfolios in…

Abstract

Purpose

This study investigates the presence of portfolio diversification benefits for South African, Nigerian, Ghanaian and Kenyan fixed-income investors diversifying bond portfolios in the Malaysian sovereign Sukuk market.

Design/methodology/approach

The paper uses wavelet coherence and a multivariate generalized autoregressive conditional heteroscedastic (GARCH) model. The data cover the period from September 2013 to January 2019.

Findings

The findings obtained from the wavelet coherence model reveal evidence of portfolio diversification opportunities for African fixed-income investors in the Malaysian sovereign Sukuk market. These opportunities are more significant in the short- and medium-term investment horizons than in the long-term. Also, the results of multivariate GARCH show that the Malaysian Sukuk market has a negative unconditional correlation with the South African bond market, signifying better diversification benefits for these investors.

Practical implications

The findings have implications for both fund managers and investors intending to include Sukuk in a diversified portfolio to reduce their risks and maximize their return from bonds.

Originality/value

To the best knowledge of the authors, this is the first study to examine the opportunities for African investors in the Malaysian Sukuk market.

Details

African Journal of Economic and Management Studies, vol. 12 no. 1
Type: Research Article
ISSN: 2040-0705

Keywords

Article
Publication date: 6 October 2022

Yousra Trichilli and Mouna Boujelbéne

The purpose of this paper is to explore the relationship between Dow Jones Islamic Market World Index, Islamic gold-backed cryptocurrencies and halal chain in the presence of…

Abstract

Purpose

The purpose of this paper is to explore the relationship between Dow Jones Islamic Market World Index, Islamic gold-backed cryptocurrencies and halal chain in the presence of state (regime) dynamics.

Design/methodology/approach

The authors have used the Markov-switching model to identify bull and bear market regimes. Moreover, the dynamic conditional correlation, the Baba, Engle, Kraft and Kroner- generalized autoregressive conditional heteroskedasticity and the wavelet coherence models are applied to detect the presence of spillover and contagion effects.

Findings

The findings indicate various patterns of spillover between halal chain, Dow Jones Islamic Market World Index and Islamic gold-backed cryptocurrencies in high and low volatility regimes, especially during the COVID-19 pandemic. Indeed, the contagion dynamics depend on the bull or bear periods of markets.

Practical implications

These present empirical findings are important for current and potential traders in gold-backed cryptocurrencies in that they facilitate a better understanding of this new type of assets. Indeed, halal chain is a safe haven asset that should be combined with Islamic gold-backed cryptocurrencies for better performance in portfolio optimization and hedging, mainly during the COVID-19 period.

Originality/value

To the best of the authors’ knowledge, this paper is the first research on the impact of the halal chain on the Dow Jones Islamic Market World Index return, Islamic gold-backed cryptocurrencies returns in the bear and bull markets around the global crisis caused by the COVID-19 pandemic.

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: 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

Open Access
Article
Publication date: 24 May 2023

Hayet Soltani, Jamila Taleb and Mouna Boujelbène Abbes

This paper aims to analyze the connectedness between Gulf Cooperation Council (GCC) stock market index and cryptocurrencies. It investigates the relevant impact of RavenPack COVID…

Abstract

Purpose

This paper aims to analyze the connectedness between Gulf Cooperation Council (GCC) stock market index and cryptocurrencies. It investigates the relevant impact of RavenPack COVID sentiment on the dynamic of stock market indices and conventional cryptocurrencies as well as their Islamic counterparts during the onset of the COVID-19 crisis.

Design/methodology/approach

The authors rely on the methodology of Diebold and Yilmaz (2012, 2014) to construct network-associated measures. Then, the wavelet coherence model was applied to explore co-movements between GCC stock markets, cryptocurrencies and RavenPack COVID sentiment. As a robustness check, the authors used the time-frequency connectedness developed by Barunik and Krehlik (2018) to verify the direction and scale connectedness among these markets.

Findings

The results illustrate the effect of COVID-19 on all cryptocurrency markets. The time variations of stock returns display stylized fact tails and volatility clustering for all return series. This stressful period increased investor pessimism and fears and generated negative emotions. The findings also highlight a high spillover of shocks between RavenPack COVID sentiment, Islamic and conventional stock return indices and cryptocurrencies. In addition, we find that RavenPack COVID sentiment is the main net transmitter of shocks for all conventional market indices and that most Islamic indices and cryptocurrencies are net receivers.

Practical implications

This study provides two main types of implications: On the one hand, it helps fund managers adjust the risk exposure of their portfolio by including stocks that significantly respond to COVID-19 sentiment and those that do not. On the other hand, the volatility mechanism and investor sentiment can be interesting for investors as it allows them to consider the dynamics of each market and thus optimize the asset portfolio allocation.

Originality/value

This finding suggests that the RavenPack COVID sentiment is a net transmitter of shocks. It is considered a prominent channel of shock spillovers during the health crisis, which confirms the behavioral contagion. This study also identifies the contribution of particular interest to fund managers and investors. In fact, it helps them design their portfolio strategy accordingly.

Details

European Journal of Management and Business Economics, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2444-8451

Keywords

1 – 10 of 358