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Dr. Mudassar Hasan
Lahore Business School, The University of Lahore

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0 Commodity Markets
0 Cryptocurrency
0 Electricity Markets
0 Financial Markets
0 Geopolitics

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Cryptocurrency
Financial Markets
economic policy uncertainty
small and medium enterprise (SME)

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Journal article
Published: 09 June 2021 in Global Finance Journal
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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.

ACS Style

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 Style

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.

Chicago/Turabian Style

Muhammad 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.

Research article
Published: 15 April 2021 in Economic Research-Ekonomska Istraživanja
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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.

ACS Style

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 Style

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.

Chicago/Turabian Style

Muhammad 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.

Short communication
Published: 02 February 2021 in The Quarterly Review of Economics and Finance
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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.

ACS Style

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 Style

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.

Chicago/Turabian Style

Syed 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.

Journal article
Published: 12 January 2021 in Sustainability
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This study investigates the integration of environmental, social, and governance (ESG) equity indices with conventional indices in Brazil, Russia, India, China, and South Africa (BRICS) individually and across all BRICS countries to better understand regional economic cooperation. Accordingly, we look at daily returns from 13 July 2013 to 28 February 2018 for the Morgan Stanley Capital International (MSCI) ESG indices and MSCI composite indices of the respective countries. To analyze the integration between the ESG equity indices of the sampled countries with their regional and across regional conventional counterparts, the Johansen Co-integration test is employed in this study. Further, the vector error correction model (VECM) is applied to test the causality between the sampled time-series. The impulse response function analysis further explains the impulse responses of each country’s MSCI ESG returns to one standard deviation of innovations to MSCI composite returns of the same country and across countries. Finally, the extent of the MSCI composite returns’ impact on the MSCI ESG returns in the same country indices, and cross-regional indices is examined with variance decomposition analysis. The results suggest that all ESG equity indices are integrated with conventional indices in all BRICS countries. Furthermore, there is a short-or long-run causality between MSCI ESG and MSCI composite equity indices of China and South Africa. Moreover, the study finds only short-run causality between conventional and non-conventional equity indices of Brazil and Russia, whereas we find only long-run causality between India’s non-conventional and conventional equity indices. Finally, the study finds that the all-individual country MSCI ESG equity indices shows a long-run causality with MSCI composite equity indices of all other BRICS countries. The findings also confirm the economic and financial cooperation between the BRICS countries.

ACS Style

Ramiz Rehman; Muhammad Abidin; Rizwan Ali; Safwan Nor; Muhammad Naseem; Mudassar Hasan; Muhammad Ahmad. The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies. Sustainability 2021, 13, 676 .

AMA Style

Ramiz Rehman, Muhammad Abidin, Rizwan Ali, Safwan Nor, Muhammad Naseem, Mudassar Hasan, Muhammad Ahmad. The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies. Sustainability. 2021; 13 (2):676.

Chicago/Turabian Style

Ramiz Rehman; Muhammad Abidin; Rizwan Ali; Safwan Nor; Muhammad Naseem; Mudassar Hasan; Muhammad Ahmad. 2021. "The Integration of Conventional Equity Indices with Environmental, Social, and Governance Indices: Evidence from Emerging Economies." Sustainability 13, no. 2: 676.

Journal article
Published: 10 December 2020 in Resources Policy
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In this study, we examine the asymmetric short- and long-run spillover among commodities using realized variances and realized semivariances calculated through 5-min trading data of commodity futures. In doing so, we apply time and frequency domain generalized error variance decomposition approaches and build a network of commodity connectedness. Our findings indicate low inter-group connectedness, distinct group clustering, and high intragroup network-based connectedness in realized volatilities of sample commodities. We find more pronounced inter- and intra-group volatility connectedness for negative realized volatilities than positive ones. Besides, we show that volatility connectedness is a long-run phenomenon. Additionally, the time-varying net directional spillover connectedness reveals that the bad volatility connectedness dictates the good volatility connectedness for the total sample as well as for various frequency domains, both in terms of magnitude and length of time. The implications for investors and policymakers are discussed.

ACS Style

Massimiliano Caporin; Muhammad Abubakr Naeem; Muhammad Arif; Mudassar Hasan; Xuan Vinh Vo; Syed Jawad Hussain Shahzad. Asymmetric and time-frequency spillovers among commodities using high-frequency data. Resources Policy 2020, 70, 101958 .

AMA Style

Massimiliano Caporin, Muhammad Abubakr Naeem, Muhammad Arif, Mudassar Hasan, Xuan Vinh Vo, Syed Jawad Hussain Shahzad. Asymmetric and time-frequency spillovers among commodities using high-frequency data. Resources Policy. 2020; 70 ():101958.

Chicago/Turabian Style

Massimiliano Caporin; Muhammad Abubakr Naeem; Muhammad Arif; Mudassar Hasan; Xuan Vinh Vo; Syed Jawad Hussain Shahzad. 2020. "Asymmetric and time-frequency spillovers among commodities using high-frequency data." Resources Policy 70, no. : 101958.

Journal article
Published: 09 December 2020 in Economic Analysis and Policy
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This study examines the connectedness of the electricity sector in Asia by employing the connectedness models of Diebold and Yilmaz (2012) and Barunik and Krehlik (2018). Our sample includes the following Asian countries: China, Hong Kong, India, Japan, Malaysia, Pakistan, Philippines, South Korea, Thailand, and Vietnam. Our full sample analysis reveals a strongly connected electricity sector in the sample Asian countries, signifying a substantial influence of Asia’s electric utilities on each other. Moreover, our frequency-based analysis exhibits that the connectedness between electricity sectors in Asia is more pronounced in the short-run compared to the long-run horizon. Further, we explore the time-varying connectedness by employing a rolling window analysis that shows the dynamic nature of connectedness and reveals the significant effect of important events like the Chinese financial crisis and the ongoing pandemic crisis. We also explore the connectedness between Asian electricity utility sectors during turbulent times by employing subsample analyses covering the Chinese financial crisis and Pandemic crisis periods. The subsample analyses show that market-wide uncertainty drives up the connectedness, and it is relatively more pronounced for short-run frequencies and during the pandemic crisis period. The network connectedness analysis suggests that regulators could identify countries that most threaten system stability in the Asian electricity sector.

ACS Style

Mudassar Hasan; Muhammad Arif; Muhammad Abubakr Naeem; Quang-Thanh Ngo; Farhad Taghizadeh–Hesary. Time-frequency connectedness between Asian electricity sectors. Economic Analysis and Policy 2020, 69, 208 -224.

AMA Style

Mudassar Hasan, Muhammad Arif, Muhammad Abubakr Naeem, Quang-Thanh Ngo, Farhad Taghizadeh–Hesary. Time-frequency connectedness between Asian electricity sectors. Economic Analysis and Policy. 2020; 69 ():208-224.

Chicago/Turabian Style

Mudassar Hasan; Muhammad Arif; Muhammad Abubakr Naeem; Quang-Thanh Ngo; Farhad Taghizadeh–Hesary. 2020. "Time-frequency connectedness between Asian electricity sectors." Economic Analysis and Policy 69, no. : 208-224.

Journal article
Published: 07 November 2020 in Sustainability
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A bulk of literature suggests that geopolitical events such as terrorist attacks dampen tourism demand. However, there is little research on whether this effect helps predict the return of the tourism equity sector. We provide country-level evidence on whether local and global geopolitical risk (GPR) predicts the first and second moments of tourism stocks in emerging economies. This objective was achieved by employing the non-parametric causality-in-quantiles (CiQ) model and a cross-quantilogram (CQ) test, which allowed us to uncover the predictive potential of GPR for the tourism sector equities. Our findings, obtained through the CiQ model, suggest that while both local and global GPRs carry significant potential for predicting the returns and volatility of tourism stocks of most emerging economies under normal market conditions, they seem to play no such role in certain countries. These countries include South Korea, for which only a limited number of tourism stocks trade on the domestic stock market compared to other sectors, and Colombia, for which both the domestic stock market and tourism sectors are at an emerging stage. Further, it turns out that, compared to its local counterpart, global GPR has a more pronounced predictive power for the tourism stocks of emerging economies. Finally, with some exceptions, the results are qualitatively similar, and hence reasonably robust, to those when a directional predictability model is applied. Given that geopolitical shocks are largely unanticipated, our findings underscore the importance of a robust tourism sector that can help the market recover to stability as well as an open economy that allows local investors to diversify country-specific risks in their portfolios. Implications and directions for future research are discussed.

ACS Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. Geopolitical Risk and Tourism Stocks of Emerging Economies. Sustainability 2020, 12, 9261 .

AMA Style

Mudassar Hasan, Muhammad Naeem, Muhammad Arif, Syed Shahzad, Safwan Nor. Geopolitical Risk and Tourism Stocks of Emerging Economies. Sustainability. 2020; 12 (21):9261.

Chicago/Turabian Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. 2020. "Geopolitical Risk and Tourism Stocks of Emerging Economies." Sustainability 12, no. 21: 9261.

Journal article
Published: 31 October 2020 in Mathematics
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The implied volatility index is a forward-looking indicator of fear among stock market participants. We examine the extent to which the connectedness of fear among global stock markets is driven by the cross-country connectedness of economic policy uncertainty (EPU). We use data on stock market fear and EPU indices for 13 countries, which spans from January 2011 to December 2018. To measure the connectedness among stock market fear and EPU of our sample countries, we employ two connectedness models. A cross-sectional regression model is further employed to ascertain the extent to which EPU connectedness between two countries explains the connectedness of fear between their stock markets, while controlling for bilateral linkage and country-specific factors. We find that EPU connectedness between any two partner countries significantly drives the connectedness of fear between their stock markets. The driving potential not only holds for short- and long-term connectedness, but also after controlling for bilateral linkages (bilateral trade, geographical distance, common language) and country-specific (trade and financial openness of the transmitter country) factors indicating robustness in our results.

ACS Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities. Mathematics 2020, 8, 1904 .

AMA Style

Mudassar Hasan, Muhammad Naeem, Muhammad Arif, Syed Shahzad, Safwan Nor. Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities. Mathematics. 2020; 8 (11):1904.

Chicago/Turabian Style

Mudassar Hasan; Muhammad Naeem; Muhammad Arif; Syed Shahzad; Safwan Nor. 2020. "Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities." Mathematics 8, no. 11: 1904.

Journal article
Published: 23 September 2020 in Journal of Risk and Financial Management
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This paper provides evidence on the likelihood of formal finance usage among innovative small and medium enterprises (SMEs) operating in ASEAN countries. To this end, the SMEs are classified into four categories, namely non-innovators and product, process, and product-and-process innovator SMEs. Subsequently, a propensity score weighting (PSW) analysis is performed to adjust for diversity existing across innovative SMEs. The resulting propensity scores are further used to perform the causal effect analysis based on the average treatment effect (ATE) approach, which measures the likelihood of formal finance usage among different types of innovative SMEs. Our ATE results reveal that SMEs simultaneously engaged in product and process innovation show a higher likelihood of using formal finance than non-innovators. However, formal finance usage of SMEs perusing only product/service or process innovation is not any different from non-innovators. Furthermore, our pairwise analysis shows that product and process innovators also exhibit a higher likelihood of formal finance usage than product/service or process innovators. Besides, younger and medium-size product and process innovating SMEs are more likely to use formal finance. These results are robust for different subsamples and firm- and country-level controls.

ACS Style

Muhammad Arif; Mudassar Hasan; Ahmed Shafique Joyo; Christopher Gan; Sazali Abidin. Formal Finance Usage and Innovative SMEs: Evidence from ASEAN Countries. Journal of Risk and Financial Management 2020, 13, 222 .

AMA Style

Muhammad Arif, Mudassar Hasan, Ahmed Shafique Joyo, Christopher Gan, Sazali Abidin. Formal Finance Usage and Innovative SMEs: Evidence from ASEAN Countries. Journal of Risk and Financial Management. 2020; 13 (10):222.

Chicago/Turabian Style

Muhammad Arif; Mudassar Hasan; Ahmed Shafique Joyo; Christopher Gan; Sazali Abidin. 2020. "Formal Finance Usage and Innovative SMEs: Evidence from ASEAN Countries." Journal of Risk and Financial Management 13, no. 10: 222.

Journal article
Published: 21 January 2020 in Physica A: Statistical Mechanics and its Applications
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We investigate whether the global financial crisis (GFC) changed the tail and frequency interdependence between BRICS stock markets and two strategic commodities (oil and gold). To that end, we employ two novel approaches namely the quantile on quantile (QQR) regression and the quantile coherency (QC). The QQR approach reveals that while the positive lower tail interdependence between gold and BRICS equity markets strengthens after GFC, the lower tail interdependence of oil and BRICS equity returns shifts from neutral to positive with the incidence of the GFC. The QC approach also shows no interdependence between oil (gold) and most of the BRICS equity markets over the short-term horizon in the pre-GFC era. However, with the occurrence of the GFC, the interdependence shifts to moderately positive across all the return quantiles with some exceptions of negative interdependence in extremely divergent return quantiles. Similarly, in the long-term, already positive interdependence of the pre-GFC period in parallel return quantiles of oil (gold) further strengthens with the incidence of the GFC. Our findings provide useful insights to the investors who operate at different time horizons amid various market conditions.

ACS Style

Muhammad Abubakr Naeem; Mudassar Hasan; Muhammad Arif; Faruk Balli; Syed Jawad Hussain Shahzad. Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices. Physica A: Statistical Mechanics and its Applications 2020, 553, 124235 .

AMA Style

Muhammad Abubakr Naeem, Mudassar Hasan, Muhammad Arif, Faruk Balli, Syed Jawad Hussain Shahzad. Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices. Physica A: Statistical Mechanics and its Applications. 2020; 553 ():124235.

Chicago/Turabian Style

Muhammad Abubakr Naeem; Mudassar Hasan; Muhammad Arif; Faruk Balli; Syed Jawad Hussain Shahzad. 2020. "Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices." Physica A: Statistical Mechanics and its Applications 553, no. : 124235.