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This study quantifies the spillover effects among seven cryptocurrencies to explore the spillover characteristics of seven cryptocurrencies, namely, Bitcoin, Ethereum, Ripple, Litecoin, Monero, Stellar, and NEM. The connectedness networks of returns are based on standard VAR and quantile VAR spillovers. In addition, the framework focuses on intact, pre-, and post-COVID-19 crisis sub-sample periods. Our results highlight that Bitcoin, Litecoin, and Ripple are the dominant transmitters to return spillover. The strongest interconnection is found for Bitcoin/Litecoin and Ripple/Sellar pair. Interestingly, Ethereum is the unvarying recipient in the system and is influenced by most of the cryptocurrencies. Further, NEM exhibits no connection with any of the cryptocurrency in the network acting as a potential diversifier. The quantile spillovers suggest increased intensity of connectedness at right and left tails. The sub-sample analysis confirms the low network integration across the cryptocurrencies during pre-COVID period. Finally, the post-COVID period indicates tangled clusters across the cryptocurrencies. The analysis provides contrasting results as obtained in the pre-analysis phase. Implications for investors and policymakers are highlighted in the study.
Muhammad Abubakr Naeem; Saba Qureshi; Mobeen Ur Rehman; Faruk Balli. COVID-19 and cryptocurrency market: Evidence from quantile connectedness. Applied Economics 2021, 1 -27.
AMA StyleMuhammad Abubakr Naeem, Saba Qureshi, Mobeen Ur Rehman, Faruk Balli. COVID-19 and cryptocurrency market: Evidence from quantile connectedness. Applied Economics. 2021; ():1-27.
Chicago/Turabian StyleMuhammad Abubakr Naeem; Saba Qureshi; Mobeen Ur Rehman; Faruk Balli. 2021. "COVID-19 and cryptocurrency market: Evidence from quantile connectedness." Applied Economics , no. : 1-27.
In this article, we analyse the extent of the spillover from international tourism demand on tourism sector equity indices and find that the magnitude of the spillovers are quite dispersed across different markets, which is in line with previous studies. Novel to the literature, we examine the impact of solvency and profitability positions of the firms in the tourism equity indices on evaluating the magnitude of the spillovers from tourism demand to sector equity indices. Firms that have better solvency ratios and operated in deeper financial markets find their stock returns are affected less from the fluctuations in tourism demand. Profitability positions of the firms, however, do not have significant impact on explaining the spillovers.
Faruk Balli; Muhammad Abubakr Naeem; Hatice Ozer-Balli. Spillovers from tourism demand to tourism equity indices. Tourism Economics 2021, 1 .
AMA StyleFaruk Balli, Muhammad Abubakr Naeem, Hatice Ozer-Balli. Spillovers from tourism demand to tourism equity indices. Tourism Economics. 2021; ():1.
Chicago/Turabian StyleFaruk Balli; Muhammad Abubakr Naeem; Hatice Ozer-Balli. 2021. "Spillovers from tourism demand to tourism equity indices." Tourism Economics , no. : 1.
This main contribution of this study is to examine the asymmetric connectedness among green bonds and commodities in time- and frequency-domain using the spillover frameworks of Diebold and Yilmaz (2014) and Baruník and Křehlík (2018). Findings reveal the evidence of asymmetric spillovers among the assets across time and different frequency cycles. While the spillover is stronger for commodities within the same class, gold and silver have the strongest connectedness with green bonds regardless of the periods. However, crude oil observes a strong connection with green bonds in the long-run. Additionally, the asymmetric spillover results show that positive returns spillover is stronger in the short-run, while negative returns spillover substantially holds in both periods but is more pronounced in the short-run. In all, this study unveils the importance of the green bonds market in serving as succor against risk in other commodity markets (except precious metals) at different time horizons. Also, under appropriate scaling up of the green bond market with viable environmental policies, it promises to attract more investors so that it continues to fulfill its goal of ensuring a green economy.
Muhammad Abubakr Naeem; Oluwasegun B. Adekoya; Johnson A. Oliyide. Asymmetric spillovers between green bonds and commodities. Journal of Cleaner Production 2021, 314, 128100 .
AMA StyleMuhammad Abubakr Naeem, Oluwasegun B. Adekoya, Johnson A. Oliyide. Asymmetric spillovers between green bonds and commodities. Journal of Cleaner Production. 2021; 314 ():128100.
Chicago/Turabian StyleMuhammad Abubakr Naeem; Oluwasegun B. Adekoya; Johnson A. Oliyide. 2021. "Asymmetric spillovers between green bonds and commodities." Journal of Cleaner Production 314, no. : 128100.
Governments around the world have responded to the COVID-19 outbreak with a mix of policies. The strictest responses of the New Zealand government are notable, given their abilities to contain and limit the spread of the virus. However, their impacts on stock returns remain unclear. This paper investigates the impact of three policies, namely lockdown, the stimulus package, and the travel ban, on the returns of 14 New Zealand industry stock indices. Using daily data from 1 January 2019 to 25 August 2020, evidence points to a heightened level of integration among the various industry stock indices during the early stages of the pandemic. Only lockdown has had a positive impact on aggregate stock returns, suggesting its ability to raise investors’ confidence in the overall stock market. At the industry level, the impact of the three response policies is generally positive but heterogeneous across industry stock indices. Notably, none of the three adopted policies significantly impact technology, healthcare, and real estate returns.
Elie Bouri; Muhammad Abubakr Naeem; Safwan Mohd Nor; Imen Mbarki; Tareq Saeed. Government responses to COVID-19 and industry stock returns. Economic Research-Ekonomska Istraživanja 2021, 1 -24.
AMA StyleElie Bouri, Muhammad Abubakr Naeem, Safwan Mohd Nor, Imen Mbarki, Tareq Saeed. Government responses to COVID-19 and industry stock returns. Economic Research-Ekonomska Istraživanja. 2021; ():1-24.
Chicago/Turabian StyleElie Bouri; Muhammad Abubakr Naeem; Safwan Mohd Nor; Imen Mbarki; Tareq Saeed. 2021. "Government responses to COVID-19 and industry stock returns." Economic Research-Ekonomska Istraživanja , no. : 1-24.
Against the backdrop of the exponentially growing trend in green finance investments and the calls for green recovery in the post-COVID world, this study presents the time-frequency connectedness between green and conventional financial markets by using the spillover models of Diebold and Yilmaz (2012) and Baruník and Křehlík (2018). Covering a sample period from January 01, 2008, to July 31, 2020, we aim to explore the dynamics of connectedness between conventional and green investments in fixed income, equity, and energy markets. Additionally, we determine the role of market-wide uncertainty in altering the connectedness structure by performing a subsample analysis for the ongoing COVID-19 pandemic crisis period. Our results show that competing energy investments are not connected, and there is only one-way spillovers from the conventional bonds in the fixed-income investments. Additionally, we observe a low (high) intergroup connectedness for conventional (green) investments. Moreover, the frequency-based analysis shows that connectedness between these competing markets is more pronounced during the short-run. The subsample analysis for the pandemic crisis period shows similar results except for the disconnection between bond markets in the short-run frequency. Our time-varying analysis shows peaks and troughs in the connectedness between climate-friendly and conventional investments that suggest different global events such as the Eurozone Debt Crisis and Shale Oil Revolution drives the association between alternate investments. Similarly, we observe an enhanced connectedness during the recent COVID-19 period, suggesting that financial stability would be a significant factor in determining the smooth transition to green investments.
Muhammad Arif; Mudassar Hasan; Suha M. Alawi; Muhammad Abubakr Naeem. COVID-19 and time-frequency connectedness between green and conventional financial markets. Global Finance Journal 2021, 49, 100650 .
AMA StyleMuhammad Arif, Mudassar Hasan, Suha M. Alawi, Muhammad Abubakr Naeem. COVID-19 and time-frequency connectedness between green and conventional financial markets. Global Finance Journal. 2021; 49 ():100650.
Chicago/Turabian StyleMuhammad Arif; Mudassar Hasan; Suha M. Alawi; Muhammad Abubakr Naeem. 2021. "COVID-19 and time-frequency connectedness between green and conventional financial markets." Global Finance Journal 49, no. : 100650.
The purpose of this study is to investigate the return connectedness in the median, left, and right tail, using the novel methodology of quantile-based connectedness proposed by Ando et al. (2018 Ando, T., M. Greenwood-Nimmo, and Y. Shin. 2018. Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks. Available at SSRN 3164772. https://doi.org/10.2139/ssrn.3164772 [Google Scholar]). We use daily data covering the period from 1 January 2013 to 27 October 2020, which includes different financial crises occurring in GCC, Turkey, Malaysia, and Indonesia. Furthermore, analysing the dynamic connectedness, the Sukuk market was significantly influenced by the COVID-19 pandemic. Our findings reveal that the spillover structures in both upper and lower tails differ from those observed in the middle quantile. Finally, we find that Bahrain, Malaysia, Oman, and Qatar transmitted more spillovers than they admitted during the COVID-19 outbreak. These findings offer vital implications for regulators and policymakers, investors, traders, and portfolio managers regarding whether diversification across Sukuk indices is achievable during turbulent periods like COVID-19.
Muhammad Abubakr Naeem; Mabruk Billah; Mohamed Marei; Faruk Balli. Quantile connectedness between Sukuk bonds and the impact of COVID-19. Applied Economics Letters 2021, 1 -10.
AMA StyleMuhammad Abubakr Naeem, Mabruk Billah, Mohamed Marei, Faruk Balli. Quantile connectedness between Sukuk bonds and the impact of COVID-19. Applied Economics Letters. 2021; ():1-10.
Chicago/Turabian StyleMuhammad Abubakr Naeem; Mabruk Billah; Mohamed Marei; Faruk Balli. 2021. "Quantile connectedness between Sukuk bonds and the impact of COVID-19." Applied Economics Letters , no. : 1-10.
We examine the median- and tail-based return interdependence among cryptocurrencies under both normal and extreme market conditions. Using daily data and combining the LASSO technique with quantile regression within a framework of network analysis, the main results show the following: Interdependence is higher at tails than at medians, especially the right tail. Bitcoin is not the leading risk transmitter or receiver, but this role is taken by smaller cryptocurrencies. The volatilities of market, size, and momentum drive return connectedness and clustering coefficients under both normal and extreme market conditions. Finally, profitable trading strategies are constructed and evaluated.
Syed Jawad Hussain Shahzad; Elie Bouri; Tanveer Ahmad; Muhammad Abubakr Naeem. Extreme tail network analysis of cryptocurrencies and trading strategies. Finance Research Letters 2021, 102106 .
AMA StyleSyed Jawad Hussain Shahzad, Elie Bouri, Tanveer Ahmad, Muhammad Abubakr Naeem. Extreme tail network analysis of cryptocurrencies and trading strategies. Finance Research Letters. 2021; ():102106.
Chicago/Turabian StyleSyed Jawad Hussain Shahzad; Elie Bouri; Tanveer Ahmad; Muhammad Abubakr Naeem. 2021. "Extreme tail network analysis of cryptocurrencies and trading strategies." Finance Research Letters , no. : 102106.
We study the tail dependence between crude oil and BRIC stock markets using a time-varying optimal copula (TVOC) approach. We show evidence of multiple tail dependence regimes, suggesting that simple static or dynamic copula specifications do not fully characterize the extreme dependence between oil and BRIC stock markets. The identified combinations of asymmetric and extreme positive lower tail dependence justify the application of the TVOC. Interestingly, the positive lower tail dependence between oil and stock markets and risk spillover from oil is higher for Brazil and Russia (oil exporters) than India and China (oil importers). Finally, we assess the effectiveness of hedging and measure the conditional diversification benefits of investing in oil for BRIC stock indices. Notably, the Chinese and Indian equity markets offer higher conditional diversification benefits when combined with oil in an equally weighted portfolio.
Syed Jawad Hussain Shahzad; Elie Bouri; Mobeen Ur Rehman; Muhammad Abubakr Naeem; Tareq Saeed. Oil price risk exposure of BRIC stock markets and hedging effectiveness. Annals of Operations Research 2021, 1 -26.
AMA StyleSyed Jawad Hussain Shahzad, Elie Bouri, Mobeen Ur Rehman, Muhammad Abubakr Naeem, Tareq Saeed. Oil price risk exposure of BRIC stock markets and hedging effectiveness. Annals of Operations Research. 2021; ():1-26.
Chicago/Turabian StyleSyed Jawad Hussain Shahzad; Elie Bouri; Mobeen Ur Rehman; Muhammad Abubakr Naeem; Tareq Saeed. 2021. "Oil price risk exposure of BRIC stock markets and hedging effectiveness." Annals of Operations Research , no. : 1-26.
In this study, we present the evidence of dramatic changes in the structure and time-varying patterns of volatility connectedness across equities and major commodities (oil, gold, silver and natural gas) in the US economy before and during the COVID-19 outbreak. We utilize high frequency 5-min trading data of most actively traded US ETFs to construct the volatility connectedness network. We compute the intraday volatility estimates using MCS-GARCH model and then employ Diebold and Yilmaz (2012) spillover index approach to approximate volatility spillovers between the financial markets. Our main findings showcase significant impact of COVID-19 pandemic on the volatility linkages of financial markets as the volatility connectedness among the different assets peaked during the outbreak. Other findings and implications of the study are further discussed.
Saqib Farid; Ghulam Mujtaba Kayani; Muhammad Abubakr Naeem; Syed Jawad Hussain Shahzad. Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic. Resources Policy 2021, 72, 102101 .
AMA StyleSaqib Farid, Ghulam Mujtaba Kayani, Muhammad Abubakr Naeem, Syed Jawad Hussain Shahzad. Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic. Resources Policy. 2021; 72 ():102101.
Chicago/Turabian StyleSaqib Farid; Ghulam Mujtaba Kayani; Muhammad Abubakr Naeem; Syed Jawad Hussain Shahzad. 2021. "Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic." Resources Policy 72, no. : 102101.
This study draws a comparison between the Global Financial Crisis (GFC) and the COVID-19 pandemic crisis to assess the safe-haven potential of Islamic stocks for G7 stock markets. We employ the cross-quantilogram framework of Han et al., which considers the non-linearity in the relationship, and thus captures the correlation between the Islamic and G7 stock markets across various quantiles reflecting different market conditions. The analysis also includes the time-varying cross-quantile correlation to observe the evolution of Islamic stocks' safe-haven potential. Our full sample analysis shows that Islamic stocks do not exhibit safe-haven properties for G7 stock markets. During the GFC period, Islamic stocks show some diversification benefits for the G7 stock markets. Notably, Islamic stocks emerged as a robust safe-haven asset for the G7 stock markets during the pandemic crisis. The study carries essential insights for equity investors and regulators of G7 and other countries to implement diversification/hedging strategies that would involve Islamic stocks to protect equity investments and the overall financial system amid the financial downturns.
Muhammad Arif; Muhammad Abubakr Naeem; Mudassar Hasan; Suha M Alawi; Farhad Taghizadeh-Hesary. Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets? Economic Research-Ekonomska Istraživanja 2021, 1 -21.
AMA StyleMuhammad Arif, Muhammad Abubakr Naeem, Mudassar Hasan, Suha M Alawi, Farhad Taghizadeh-Hesary. Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets? Economic Research-Ekonomska Istraživanja. 2021; ():1-21.
Chicago/Turabian StyleMuhammad Arif; Muhammad Abubakr Naeem; Mudassar Hasan; Suha M Alawi; Farhad Taghizadeh-Hesary. 2021. "Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?" Economic Research-Ekonomska Istraživanja , no. : 1-21.
Motivated by the lack of research on price efficiency dynamics of green bonds and the impact of the COVID-19 on the pricing of fixed-income securities, this study investigates the comparative efficiency of green and conventional bond markets pre- and during the COVID-19 pandemic applying asymmetric multifractal analysis. Specifically, the multifractal scaling behaviour is examined separately during upward and downward trends in bond markets using the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach. The empirical findings confirm the presence of asymmetric multifractality in the green and traditional bond markets. Not surprisingly, inefficiency in both bond markets significantly escalated during the COVID-19 outbreak. Furthermore, our results indicate a higher level of efficiency of the conventional bond market over the full sample period. However, the green bond market is more efficient during a black swan event, such as the COVID-19 global pandemic, showing the potential of green bonds to become an effective diversifier for investors in traditional assets in times of extreme market turmoil. The results of the study can have important implications for investors and policymakers.
Muhammad Abubakr Naeem; Saqib Farid; Román Ferrer; Syed Jawad Hussain Shahzad. Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis. Energy Policy 2021, 153, 112285 .
AMA StyleMuhammad Abubakr Naeem, Saqib Farid, Román Ferrer, Syed Jawad Hussain Shahzad. Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis. Energy Policy. 2021; 153 ():112285.
Chicago/Turabian StyleMuhammad Abubakr Naeem; Saqib Farid; Román Ferrer; Syed Jawad Hussain Shahzad. 2021. "Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis." Energy Policy 153, no. : 112285.
Inter-sectoral volatility linkages in the Chinese stock market are understudied, especially asymmetries in realized volatility connectedness, accounting for the catastrophic event associated with the COVID-19 outbreak. In this paper, we examine the asymmetric volatility spillover among Chinese stock market sectors during the COVID-19 pandemic using 1-min data from January 2, 2019 to September 30, 2020. In doing so, we build networks of generalized forecast error variances by decomposition of a vector autoregressive model, controlling for overall market movements. Our results show evidence of the asymmetric impact of good and bad volatilities, which are found to be time-varying and substantially intense during the COVID-19 period. Notably, bad volatility spillover shocks dominate good volatility spillover shocks. The findings are useful for Chinese investors and portfolio managers constructing risk hedging portfolios across sectors and for Chinese policymakers monitoring and crafting stimulating policies for the stock market at the sectoral level.
Syed Jawad Hussain Shahzad; Muhammad Abubakr Naeem; Zhe Peng; Elie Bouri. Asymmetric volatility spillover among Chinese sectors during COVID-19. International Review of Financial Analysis 2021, 75, 101754 .
AMA StyleSyed Jawad Hussain Shahzad, Muhammad Abubakr Naeem, Zhe Peng, Elie Bouri. Asymmetric volatility spillover among Chinese sectors during COVID-19. International Review of Financial Analysis. 2021; 75 ():101754.
Chicago/Turabian StyleSyed Jawad Hussain Shahzad; Muhammad Abubakr Naeem; Zhe Peng; Elie Bouri. 2021. "Asymmetric volatility spillover among Chinese sectors during COVID-19." International Review of Financial Analysis 75, no. : 101754.
We investigate the interdependence between the returns of gold and Dow Jones world Islamic index along with ten Islamic sectoral indices using quantile based methodologies that ascertain the interdependence under various market conditions. Our quantile-on-quantile (QQR) regression results confirm the asymmetric relationship between gold and Islamic indices returns. Additionally, we find gold to be a diversifier for the overall Islamic equity index and most of the Islamic stock sectors during normal market conditions. Moreover, using a cross-quantilogram (CQ) approach, we ascertain the lead-lag relationship between gold and Islamic indices, finding gold to offer limited safe-haven potential only for non-cyclical industries. Notably, using Islamic sectoral indices, our study contributes to the extant literature by reconciling the contradicting evidence on gold's ability to provide safe-haven avenues for Islamic equity investors as we identify the sectors where gold possesses the notable safe-haven potential and otherwise.
Muhammad Abubakr Naeem; Fiza Qureshi; Muhammad Arif; Faruk Balli. Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions. Resources Policy 2021, 72, 102067 .
AMA StyleMuhammad Abubakr Naeem, Fiza Qureshi, Muhammad Arif, Faruk Balli. Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions. Resources Policy. 2021; 72 ():102067.
Chicago/Turabian StyleMuhammad Abubakr Naeem; Fiza Qureshi; Muhammad Arif; Faruk Balli. 2021. "Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions." Resources Policy 72, no. : 102067.
The paper aims to examine the spillover of uncertainty among commodity markets using Diebold–Yilmaz approach based on forecast error variance decomposition. Next, causal impact of global factors as drivers of uncertainty transmission between oil and other commodity markets is analyzed. Our analysis suggests that oil is a net transmitter to other commodity uncertainties, and this transmission significantly increased during the global financial crisis of 2008–2009. The use of linear and nonlinear causality tests indicates that the global factors have a causal effect on the overall connectedness, and especially on the spillovers from oil to other commodity uncertainties. Further segregation of transmissions between oil to individual commodity markets indicates that stock market implied volatility, risk spread, and economic policy uncertainty are the influential drivers of connectedness among commodity markets.
Muhammad Naeem; Saqib Farid; Safwan Nor; Syed Shahzad. Spillover and Drivers of Uncertainty among Oil and Commodity Markets. Mathematics 2021, 9, 441 .
AMA StyleMuhammad Naeem, Saqib Farid, Safwan Nor, Syed Shahzad. Spillover and Drivers of Uncertainty among Oil and Commodity Markets. Mathematics. 2021; 9 (4):441.
Chicago/Turabian StyleMuhammad Naeem; Saqib Farid; Safwan Nor; Syed Shahzad. 2021. "Spillover and Drivers of Uncertainty among Oil and Commodity Markets." Mathematics 9, no. 4: 441.
Purpose This study aims to estimate the time–frequency connectedness among global financial markets. It draws a comparison between the full sample and the sample during the COVID-19 pandemic. Design/methodology/approach The study uses the connectedness framework of Diebold and Yilmaz (2012) and Barunik and Krehlik (2018), both of which consider time and frequency connectedness and show that spillover is specific to not only the time domain but also the frequency (short- and long-run) domain. The analysis also includes pairwise connectedness by making use of network analysis. Daily data on the MSCI World Index, Barclays Bloomberg Global Treasury Index, Oil future, Gold future, Dow Jones World Islamic Index and Bitcoin have been used over the period from May 01, 2013 to July 31, 2020. Findings This study finds that cryptocurrency, bond and gold are hedges against both conventional stocks and Islamic stocks on average; however, these are not “safe havens” during an economic crisis, i.e. COVID-19. External shocks, such as COVID-19, strengthen the return connectedness among all six financial markets. Research limitations/implications For investors, the study provides important insights that during external shocks such as COVID-19, there is a spillover effect, and investors are unable to hedge risk between conventional stocks and Islamic stocks. These so-called safe haven investment alternatives suffer from the similar negative impact of systemic financial risk. However, during an external shock such as COVID-19, cryptocurrencies, bonds and gold can be used to hedge risk against conventional stocks, Islamic stocks and oil. Moreover, the findings imply that by engaging in momentum trading, active investors can gain short-run benefits before the market processes any new information. Originality/value The study contributes to the emergent literature investigating the connectedness among financial markets during the COVID-19 pandemic. It provides evidence that the return connectedness among six global financial markets, namely, conventional stocks, Islamic stocks, bond, oil, gold and cryptocurrency, is extremely strong. From a methodological standpoint, this study finds that COVID-19 pandemic shock has a significant short-run impact on the connectedness among financial markets.
Muhammad Abubakr Naeem; Saba Sehrish; Mabel D. Costa. COVID-19 pandemic and connectedness across financial markets. Pacific Accounting Review 2021, ahead-of-p, 1 .
AMA StyleMuhammad Abubakr Naeem, Saba Sehrish, Mabel D. Costa. COVID-19 pandemic and connectedness across financial markets. Pacific Accounting Review. 2021; ahead-of-p (ahead-of-p):1.
Chicago/Turabian StyleMuhammad Abubakr Naeem; Saba Sehrish; Mabel D. Costa. 2021. "COVID-19 pandemic and connectedness across financial markets." Pacific Accounting Review ahead-of-p, no. ahead-of-p: 1.
The paper documents the asymmetric relationship between green bonds and commodities via the cross-quantilogram approach. Given the heterogeneity nature of individual commodities, we employ three commodity key groups, including energy, metals, and agriculture. As expected, the empirical evidence highlights the asymmetric behaviors of green bonds in response to diverse groups of commodities. Further, the hedging and diversification benefit of including green bonds to commodity portfolio is revealed. Defined by the uncorrelation or negative correlation with commodities in the periods of high volatility, we found the strongest hedging benefit of green bonds against the fluctuation of natural gas, some industrial metals, and agricultural commodities. While these underlying features are persistent in the long run, it is recommended to utilize the use of green bonds in the longer term (22 days) for higher portfolio performance rather than the short term (1 to 5 days).
Muhammad Abubakr Naeem; Thi Thu Ha Nguyen; Rabindra Nepal; Quang-Thanh Ngo; Farhad Taghizadeh–Hesary. Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach. Finance Research Letters 2021, 101983 .
AMA StyleMuhammad Abubakr Naeem, Thi Thu Ha Nguyen, Rabindra Nepal, Quang-Thanh Ngo, Farhad Taghizadeh–Hesary. Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach. Finance Research Letters. 2021; ():101983.
Chicago/Turabian StyleMuhammad Abubakr Naeem; Thi Thu Ha Nguyen; Rabindra Nepal; Quang-Thanh Ngo; Farhad Taghizadeh–Hesary. 2021. "Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach." Finance Research Letters , no. : 101983.
We examine linkages between the time‐frequency dynamics of fear (VIX) connectedness across global stock markets and alternative asset markets. To this end, we utilize Diebold and Yilmaz, International Journal of Forecasting, 2012, 28, 57–66; Diebold and Yilmaz, Journal of Econometrics, 2014, 182, 119–134; and Baruník and Křehlík, Journal of Financial Econometrics, 2018, 16, 271–296 connectedness methods to measure the total, short‐, medium‐ and long‐term connectedness. We subsequently use the rolling‐window wavelet correlation framework of Polanco‐Martínez et al. Physica A: Statistical Mechanics and Its Applications, 2018, 490, 1211–1227 to investigate the dynamic relationship structure among global equity market fear and fear in alternative asset markets, namely oil (OVX), gold (GVZ), currency (EVZ), and bond (TYNVI). We find that OVX drives the underlying VIX connectedness of the global equity markets during stress periods. The results also suggest the prospects of a reverse hedge that is driven by GVZ when the demand for gold intensifies. Furthermore, there are structural shifts in EVZ following Brexit, highlighting a negative relationship with the VIX connectedness. Finally, we find that the VIX connectedness typically moves in the opposite direction to the TYNVI. These results are insightful in realizing vulnerable stock markets' behaviour and explaining investors' sentiments and their shifts over time in asset allocations.
Muhammad Abubakr Naeem; Mudassar Hasan; Abraham Agyemang; Iftekhar Hasan Chowdhury; Faruk Balli. Time‐frequency dynamics between fear connectedness of stocks and alternative assets. International Journal of Finance & Economics 2021, 1 .
AMA StyleMuhammad Abubakr Naeem, Mudassar Hasan, Abraham Agyemang, Iftekhar Hasan Chowdhury, Faruk Balli. Time‐frequency dynamics between fear connectedness of stocks and alternative assets. International Journal of Finance & Economics. 2021; ():1.
Chicago/Turabian StyleMuhammad Abubakr Naeem; Mudassar Hasan; Abraham Agyemang; Iftekhar Hasan Chowdhury; Faruk Balli. 2021. "Time‐frequency dynamics between fear connectedness of stocks and alternative assets." International Journal of Finance & Economics , no. : 1.
We examine the hedge and safe-haven properties of conventional currencies for four cryptocurrencies — Bitcoin, Ethereum, Ripple, and Litecoin. We extend the Baur and McDermott (2010) framework, where the safe-haven role is examined against reverse explosiveness in cryptocurrency prices. Our results suggest that the Japanese yen is the most consistent hedger for cryptocurrencies, followed by the British pound, Chinese yuan, and the Euro. All currencies, except the Euro, perform a safe-haven role for Bitcoin and its fork, Litecoin. The safe-haven potential of the Euro, Japanese Yen, and Chinese Yuan is also confirmed during the negative explosiveness periods of the cryptocurrency market.
Syed Jawad Hussain Shahzad; Faruk Balli; Muhammad Abubakr Naeem; Mudassar Hasan; Muhammad Arif. Do conventional currencies hedge cryptocurrencies? The Quarterly Review of Economics and Finance 2021, 1 .
AMA StyleSyed Jawad Hussain Shahzad, Faruk Balli, Muhammad Abubakr Naeem, Mudassar Hasan, Muhammad Arif. Do conventional currencies hedge cryptocurrencies? The Quarterly Review of Economics and Finance. 2021; ():1.
Chicago/Turabian StyleSyed Jawad Hussain Shahzad; Faruk Balli; Muhammad Abubakr Naeem; Mudassar Hasan; Muhammad Arif. 2021. "Do conventional currencies hedge cryptocurrencies?" The Quarterly Review of Economics and Finance , no. : 1.
We examine the predictive ability of online investor sentiment for six major cryptocurrency returns. For this, we use two proxies, the FEARS index of Da et al. (2015) and Twitter Happiness sentiment, applying the bivariate cross-quantilogram of Han et al. (2016). Happiness sentiment index significantly predicts Bitcoin return as well as other major cryptocurrencies at the two extreme states of the market and for extreme levels of sentiment. Hence, investors should readjust their portfolios according to the market sentiment and limit their decision on the safe-haven property of Bitcoin. As to FEARS, predictability also exists but is rather pronounced for a low level of sentiment. Overall, Happiness sentiment reveals to be a persistent and robust predictor for most cryptocurrency returns. FEARS index also shows significant predictability of returns, but the predictability is weaker and mainly in the short-term. In summary, our findings provide evidence that online investor sentiment is a significant nonlinear predictor for most major cryptocurrencies returns, suggesting though the superiority of Twitter to Google-based online investor sentiment proxy. Moreover, cryptocurrency returns seem to be driven more by sentiment transmitted through social media than with macroeconomic news, which is in line with the nature of cryptocurrency participants, mainly young individuals computer enthusiasts.
Muhammad Abubakr Naeem; Imen Mbarki; Syed Jawad Hussain Shahzad. Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears. International Review of Economics & Finance 2021, 73, 496 -514.
AMA StyleMuhammad Abubakr Naeem, Imen Mbarki, Syed Jawad Hussain Shahzad. Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears. International Review of Economics & Finance. 2021; 73 ():496-514.
Chicago/Turabian StyleMuhammad Abubakr Naeem; Imen Mbarki; Syed Jawad Hussain Shahzad. 2021. "Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears." International Review of Economics & Finance 73, no. : 496-514.
This paper investigates the equicorrelation and connectedness between oil and housing markets using the DECO-GARCH methodology and the connectedness index. We find a high degree of connectedness between these two markets. We also find that the magnitude of correlation and connectedness between these markets is more pronounced during extreme events, which is in line with the literature investigating connectedness in various other markets. Then, when we consider the net connectedness and pairwise connectedness, we find that the US housing market is the dominant net transmitter to the other housing markets. Furthermore, looking at the GFC period of 2007–2009, our paper sheds light on the role of the oil market as a mediator of information transmission arising from its ability to convey shocks from the US to the other OECD housing markets, especially with regard to oil-dependent OECD countries. The paper discusses important policy implications of the findings.
Thi Thu Ha Nguyen; Muhammad Abubakr Naeem; Faruk Balli; Hatice Ozer Balli; Iqbal Syed. Information transmission between oil and housing markets. Energy Economics 2021, 95, 105100 .
AMA StyleThi Thu Ha Nguyen, Muhammad Abubakr Naeem, Faruk Balli, Hatice Ozer Balli, Iqbal Syed. Information transmission between oil and housing markets. Energy Economics. 2021; 95 ():105100.
Chicago/Turabian StyleThi Thu Ha Nguyen; Muhammad Abubakr Naeem; Faruk Balli; Hatice Ozer Balli; Iqbal Syed. 2021. "Information transmission between oil and housing markets." Energy Economics 95, no. : 105100.