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Dr. Elie Bouri
Adnan Kassar School of Business, Lebanese American University (LAU), 1102 Beirut, Lebanon

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Journal article
Published: 14 August 2021 in Entropy
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In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis. We construct dynamic total, net total and net pairwise return and volatility connectedness measures to better understand systemic risk and the transmission of shocks across REIT markets. Our findings show that that REIT market interdependence is dynamic and increases significantly during times of heightened uncertainty, including the COVID-19 pandemic. We also find that the US REIT market along with major European REITs are generally sources of shocks to Asian-Pacific REIT markets. Furthermore, US REITs appear to dominate European REITs. These findings highlight that portfolio diversification opportunities decline during times of market uncertainty.

ACS Style

Keagile Lesame; Elie Bouri; David Gabauer; Rangan Gupta. On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures. Entropy 2021, 23, 1048 .

AMA Style

Keagile Lesame, Elie Bouri, David Gabauer, Rangan Gupta. On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures. Entropy. 2021; 23 (8):1048.

Chicago/Turabian Style

Keagile Lesame; Elie Bouri; David Gabauer; Rangan Gupta. 2021. "On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures." Entropy 23, no. 8: 1048.

Journal article
Published: 06 August 2021 in Journal of Environmental Management
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Efficient environmental resource management is a serious concern for sustainable development in developing countries. This study determines the impact of institutional quality on sustainable development, based on total factor productivity improvements through the environmental regulatory process by way of abatement policies using an augmented endogenous sustainable growth model. Based on panel data covering 66 developing countries from 1984 to 2019, the employed methods involve the fixed effects and the system generalized method of moments (GMM). The main results indicate that institutional quality has a positive impact on sustainable development. Institutional quality has a more positive role in sustainable development in lower middle-income countries than low-income countries. The overall results indicate that the disaggregated performance of institutional quality variables is higher in lower middle-income countries than low-income countries. Two main policy implications are implied by our analyses: legislative backing in the form of institutional enforcement is mandatory to design efficient and productive policy relevant to environmental resource management; and various institutional forms should be considered when designing environmental resource protection policy from an environmental governance point of view.

ACS Style

Muhammad Azam; Ahmed Imran Hunjra; Elie Bouri; Yan Tan; Mamdouh Abdulaziz Saleh Al-Faryan. Impact of institutional quality on sustainable development: Evidence from developing countries. Journal of Environmental Management 2021, 298, 113465 .

AMA Style

Muhammad Azam, Ahmed Imran Hunjra, Elie Bouri, Yan Tan, Mamdouh Abdulaziz Saleh Al-Faryan. Impact of institutional quality on sustainable development: Evidence from developing countries. Journal of Environmental Management. 2021; 298 ():113465.

Chicago/Turabian Style

Muhammad Azam; Ahmed Imran Hunjra; Elie Bouri; Yan Tan; Mamdouh Abdulaziz Saleh Al-Faryan. 2021. "Impact of institutional quality on sustainable development: Evidence from developing countries." Journal of Environmental Management 298, no. : 113465.

Journal article
Published: 03 August 2021 in Journal of Cleaner Production
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Green investing has recently received considerable attention in India in light of the local government plans to significantly reduce the level of CO2 emissions through conducting and funding various types of eco-friendly infrastructures and green projects on a national scale. Given that investment in environmentally friendly projects is still relatively new in India, the stock prices of Indian green companies could be highly volatile and very prone to risk transmission from other assets, which requires a precise estimation of the time-varying volatility of these green stocks to understand their underlying risk. In this paper, we examine if the stock volatility of Indian green companies can be predicted based on the information contents of commodity market implied volatility indexes (VIX) by employing a GARCH-based quantile regression model on daily data. The results show that risk significantly transmits from crude oil, gold, and silver markets to various Indian green stock indexes. The impact of the transmission from commodity market VIXs is stronger during the bearish stock market periods compared to bullish stock market periods, suggesting that green stock indexes are more likely to receive volatility from energy and precious metal markets during the periods of high uncertainty. Our findings are useful to socially responsible investors who focus not only on the environmental performance of a firm but also consider its financial performance.

ACS Style

Anupam Dutta; Elie Bouri; Probal Dutta; Tareq Saeed. Commodity market risks and green investments: Evidence from India. Journal of Cleaner Production 2021, 318, 128523 .

AMA Style

Anupam Dutta, Elie Bouri, Probal Dutta, Tareq Saeed. Commodity market risks and green investments: Evidence from India. Journal of Cleaner Production. 2021; 318 ():128523.

Chicago/Turabian Style

Anupam Dutta; Elie Bouri; Probal Dutta; Tareq Saeed. 2021. "Commodity market risks and green investments: Evidence from India." Journal of Cleaner Production 318, no. : 128523.

Journal article
Published: 24 July 2021 in Resources Policy
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Adverse ecological effects have recently generated several eco-friendly investment opportunities including green and climate bonds. Although climate bonds have emerged as an appealing investment, little is known about their dynamic correlations and market linkages with US equities, crude oil, and gold markets, especially during stress times such as the COVID-19 outbreak, which are essential for asset allocation and hedging effectiveness. In this paper, we report time-varying correlations between climate bonds and each of the markets considered, which intensify during the COVID-19 pandemic. On average, climate bonds are negatively associated with US equities and have a near zero correlation with crude oil, whereas they are positively associated with gold. There is a bidirectional volatility linkage between climate bonds and the three indexes under study, whereas return linkages are marginal. The hedge ratio is positive for bond-gold, whereas it switches between positive and negative states for bond-stock and bond-oil, especially it switches more extremely during the COVID-19 outbreak. Although climate bonds provide the highest risk reduction in a portfolio containing US equities or gold as a part of a hedging strategy, their hedging effectiveness is considerably reduced during the pandemic. The findings have implications for markets participants aiming to green their portfolios and make them robust during stress times, enabling a smooth and speedy transition to a low-carbon economy.

ACS Style

Anupam Dutta; Elie Bouri; Hasib Noor. Climate bond, stock, gold, and oil markets: Dynamic correlations and hedging analyses during the COVID-19 outbreak. Resources Policy 2021, 74, 102265 .

AMA Style

Anupam Dutta, Elie Bouri, Hasib Noor. Climate bond, stock, gold, and oil markets: Dynamic correlations and hedging analyses during the COVID-19 outbreak. Resources Policy. 2021; 74 ():102265.

Chicago/Turabian Style

Anupam Dutta; Elie Bouri; Hasib Noor. 2021. "Climate bond, stock, gold, and oil markets: Dynamic correlations and hedging analyses during the COVID-19 outbreak." Resources Policy 74, no. : 102265.

Journal article
Published: 16 July 2021 in Sustainability
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We use the heterogenous autoregressive (HAR) model to compute out-of-sample forecasts of the monthly realized variance (RV) of movements of the spot and futures price of heating oil. We extend the HAR–RV model to include the role of El Niño and La Niña episodes, as captured by the Equatorial Southern Oscillation Index (EQSOI). Using data from June 1986 to April 2021, we show evidence for several model configurations that both El Niño and La Niña phases contain information useful for forecasting subsequent to the realized variance of price movements beyond the predictive value already captured by the HAR–RV model. The predictive value of La Niña phases, however, seems to be somewhat stronger than the predictive value of El Niño phases. Our results have important implications for investors, as well as from the perspective of sustainable decisions involving the environment.

ACS Style

Mehmet Balcilar; Elie Bouri; Rangan Gupta; Christian Pierdzioch. El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements. Sustainability 2021, 13, 7987 .

AMA Style

Mehmet Balcilar, Elie Bouri, Rangan Gupta, Christian Pierdzioch. El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements. Sustainability. 2021; 13 (14):7987.

Chicago/Turabian Style

Mehmet Balcilar; Elie Bouri; Rangan Gupta; Christian Pierdzioch. 2021. "El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements." Sustainability 13, no. 14: 7987.

Journal article
Published: 06 July 2021 in SAGE Open
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We provide an empirical analysis of herding behavior in cryptocurrency markets during COVID-19 and periods of cyber-attacks, differentiating between fundamental and nonfundamental herding. The results show that herding behavior is driven by fundamental information during the full sample period and the cyber-attack days. However, herding is not prevalent during the COVID-19 outbreak, either when reacting to fundamental or nonfundamental information. This finding suggests heterogeneity in the behaviors of participants in the cryptocurrency markets during the COVID-19 period.

ACS Style

Imran Yousaf; Shoaib Ali; Elie Bouri; Anupam Dutta. Herding on Fundamental/Nonfundamental Information During the COVID-19 Outbreak and Cyber-Attacks: Evidence From the Cryptocurrency Market. SAGE Open 2021, 11, 1 .

AMA Style

Imran Yousaf, Shoaib Ali, Elie Bouri, Anupam Dutta. Herding on Fundamental/Nonfundamental Information During the COVID-19 Outbreak and Cyber-Attacks: Evidence From the Cryptocurrency Market. SAGE Open. 2021; 11 (3):1.

Chicago/Turabian Style

Imran Yousaf; Shoaib Ali; Elie Bouri; Anupam Dutta. 2021. "Herding on Fundamental/Nonfundamental Information During the COVID-19 Outbreak and Cyber-Attacks: Evidence From the Cryptocurrency Market." SAGE Open 11, no. 3: 1.

Research article
Published: 12 June 2021 in Economic Research-Ekonomska Istraživanja
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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.

ACS Style

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 Style

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.

Chicago/Turabian Style

Elie 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.

Research article
Published: 11 June 2021 in Applied Economics
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This study examines the dynamics of return and volatility connectedness between the rare earth stock index and the indexes of clean energy, consumer electronics, telecommunications, healthcare equipment, and aerospace & defence. Using daily data from 25 March 2010 to 25 August 2020, a quantile-based connectedness approach is applied to uncover both average and tail-based connectedness while considering the full sample period and the COVID-19 pandemic days. The results suggest that the interdependence among these indexes changes dramatically at the lower and upper quantiles, suggesting a strong influence of extreme market scenarios on both returns and volatility connectedness dynamics. Higher integration of sectoral indexes is observed during 2010–2012 and the COVID-19 pandemic period. Health care and telecommunication indexes have been consistent transmitters of return and volatility spillovers to other indexes during the full sample period. Consumer electronics and clean technology indexes switch their roles from a net receiver to a net transmitter during pandemic days. The rare earth remains on the recipient’s side consistently. The findings indicate that the ongoing U.S.–China trade embargo has not impacted the return and volatility dynamics of the five sectoral indexes superseding the demand-driven dynamics for rare earth.

ACS Style

Elie Bouri; Kakali Kanjilal; Sajal Ghosh; David Roubaud; Tareq Saeed. Rare earth and allied sectors in stock markets: extreme dependence of return and volatility. Applied Economics 2021, 1 -21.

AMA Style

Elie Bouri, Kakali Kanjilal, Sajal Ghosh, David Roubaud, Tareq Saeed. Rare earth and allied sectors in stock markets: extreme dependence of return and volatility. Applied Economics. 2021; ():1-21.

Chicago/Turabian Style

Elie Bouri; Kakali Kanjilal; Sajal Ghosh; David Roubaud; Tareq Saeed. 2021. "Rare earth and allied sectors in stock markets: extreme dependence of return and volatility." Applied Economics , no. : 1-21.

Research article
Published: 26 May 2021 in Economic Research-Ekonomska Istraživanja
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This study uses hourly data to analyse the return and volatility transmission of oil-gold and oil-Bitcoin pairs during the pre-COVID-19 and COVID-19 periods. The results show that the return transmissions vary across the two periods for both pairs. There is a unidirectional volatility spill-over from gold to oil in the pre-COVID-19 period, and from oil to gold during the COVID-19 period. There is a significant volatility spill-over from Bitcoin to oil during the pre-COVID-19 period, whereas no evidence of volatility spill-over between oil and Bitcoin is shown during the COVID-19 period. Based on optimal weights, investors should increase their investments in, (a) gold for a portfolio of oil-gold, and (b) Bitcoin for a portfolio of oil-Bitcoin during the COVID-19 period. All hedge ratios are higher during the COVID-19 period, implying a higher hedging cost compared to the pre-COVID-19 period. The results of hedging effectiveness reveal that the risk-adjusted returns can be improved by constructing a portfolio of oil-gold and oil-Bitcoin during both sample periods. Further results reveal that gold is a strong safe haven and a hedge for the oil market, while Bitcoin serves as a diversifier for the oil market during the COVID-19 period.

ACS Style

Imran Yousaf; Shoaib Ali; Elie Bouri; Tareq Saeed. Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak. Economic Research-Ekonomska Istraživanja 2021, 1 -22.

AMA Style

Imran Yousaf, Shoaib Ali, Elie Bouri, Tareq Saeed. Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak. Economic Research-Ekonomska Istraživanja. 2021; ():1-22.

Chicago/Turabian Style

Imran Yousaf; Shoaib Ali; Elie Bouri; Tareq Saeed. 2021. "Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak." Economic Research-Ekonomska Istraživanja , no. : 1-22.

Journal article
Published: 12 May 2021 in Finance Research Letters
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We consider whether a newspaper article count index related to the Organization of the Petroleum Exporting Countries (OPEC), which rises in response to important OPEC meetings and events connected with OPEC production levels, contains predictive power for the foreign exchange rates of G10 countries. The applied Bayesian inference methodology synthesizes a wide array of established approaches to modelling exchange rate dynamics, whereby various vector-autoregressive models are considered. Monthly data from 1996:01 to 2020:08 (given an in-sample of 1986:02 to 1995:12), shows that incorporating the OPEC news-related index into the proposed methodology leads to statistical gains in out-of-sample forecasts.

ACS Style

Xin Sheng; Rangan Gupta; Afees A. Salisu; Elie Bouri. OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning. Finance Research Letters 2021, 102125 .

AMA Style

Xin Sheng, Rangan Gupta, Afees A. Salisu, Elie Bouri. OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning. Finance Research Letters. 2021; ():102125.

Chicago/Turabian Style

Xin Sheng; Rangan Gupta; Afees A. Salisu; Elie Bouri. 2021. "OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning." Finance Research Letters , no. : 102125.

Original article
Published: 12 May 2021 in The World Economy
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We compare the weak/strong hedging abilities of three alternative assets, namely Bitcoin, gold, and US VIX futures, against the downside movements in BRICS stock market indices. Results from the cross‐quantilogram approach indicate that Bitcoin and gold are weak hedges. Analysis from the recursive sampling shows that each of Bitcoin, gold, and VIX futures has a time‐varying hedging role in some BRICS countries, which has been shaped by the COVID‐19 outbreak. Results from the conditional diversification benefits show appealing roles for the three alternative assets for investors in BRICS stock markets. However, gold appears to have higher and more stable diversification benefits in China, especially during the COVID‐19 outbreak. Conversely, VIX futures offer higher diversification benefits in Brazil, Russia, India, and South Africa during the abrupt of the COVID‐19 outbreak.

ACS Style

Syed Jawad Hussain Shahzad; Elie Bouri; Mobeen Ur Rehman; David Roubaud. The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. The World Economy 2021, 1 .

AMA Style

Syed Jawad Hussain Shahzad, Elie Bouri, Mobeen Ur Rehman, David Roubaud. The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. The World Economy. 2021; ():1.

Chicago/Turabian Style

Syed Jawad Hussain Shahzad; Elie Bouri; Mobeen Ur Rehman; David Roubaud. 2021. "The hedge asset for BRICS stock markets: Bitcoin, gold or VIX." The World Economy , no. : 1.

Research article
Published: 05 May 2021 in Journal of Behavioral Finance
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This paper establishes a direct link between (anti) herding behavior in currency markets and investor sentiment, proxied by a social media based investor happiness index built on Twitter feed data. Our analysis of daily data for nine developed market currencies suggests that the foreign exchange market is generally characterized by strong anti-herding behavior. Utilizing the quantile-on-quantile (QQ) approach, developed by Sim and Zhou (2015 Sim, N., and H. Zhou. 2015. “Oil Prices, US Stock Return, and the Dependence between Their Quantiles.” Journal of Banking & Finance 55:1–8. doi:10.1016/j.jbankfin.2015.01.013[Crossref], [Web of Science ®] , [Google Scholar]), we show that the relationship between investor sentiment and anti-herding is in fact regime specific, with anti-herding behavior particularly prominent during states of extreme investor sentiment. The effect of sentiment on anti-herding is generally stronger in extreme bullish sentiment states, while average sentiment is associated with less severe anti-herding. The findings lend support to the behavioral factors for asset pricing models and suggest that real time investor sentiment signals can be utilized to monitor potential speculative activities in the currency market.

ACS Style

Xolani Sibande; Rangan Gupta; Riza Demirer; Elie Bouri. Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data. Journal of Behavioral Finance 2021, 1 -17.

AMA Style

Xolani Sibande, Rangan Gupta, Riza Demirer, Elie Bouri. Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data. Journal of Behavioral Finance. 2021; ():1-17.

Chicago/Turabian Style

Xolani Sibande; Rangan Gupta; Riza Demirer; Elie Bouri. 2021. "Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data." Journal of Behavioral Finance , no. : 1-17.

Journal article
Published: 05 May 2021 in Finance Research Letters
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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.

ACS Style

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 Style

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.

Chicago/Turabian Style

Syed 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.

Journal article
Published: 29 April 2021 in Economic Analysis and Policy
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Uncovering the tail risk spillover among global financial markets helps provide a more comprehensive understanding of the information transmission in extreme market conditions such as the COVID-19 outbreak. In this paper, we examine systemic distress risk spillover between the global stock market and individual stock markets in the countries most affected by the COVID-19 pandemic. Using two important measures of tail dependence risk: conditional value at risk (CoVaR) and delta conditional VaR (ΔCoVaR), we apply the bivariate dynamic conditional correlation (DCC) conditional autoregressive heteroscedastic (GARCH) model. The empirical results reveal that bivariate systemic risk contagion between the global stock market and each individual stock market evolved during the sample period and intensified as COVID-19 spread worldwide. During the COVID-19 period, the developed markets in Europe and North America transmitted and received more marginal extreme risk to and from the entire global market than Asian stock markets. Further analysis involving the connectedness among the value at risk (VaR) series of the sampled stock market indices and the global stock index, shows a high degree of integration in the extreme downside risk of the stock market system, especially during the COVID-19 period. These findings offer practical implications for regulators, policymakers, and portfolio risk managers during the unprecedented uncertainty period provoked by the COVID-19 pandemic.

ACS Style

Bana Abuzayed; Elie Bouri; Nedal Al-Fayoumi; Naji Jalkh. Systemic risk spillover across global and country stock markets during the COVID-19 pandemic. Economic Analysis and Policy 2021, 71, 180 -197.

AMA Style

Bana Abuzayed, Elie Bouri, Nedal Al-Fayoumi, Naji Jalkh. Systemic risk spillover across global and country stock markets during the COVID-19 pandemic. Economic Analysis and Policy. 2021; 71 ():180-197.

Chicago/Turabian Style

Bana Abuzayed; Elie Bouri; Nedal Al-Fayoumi; Naji Jalkh. 2021. "Systemic risk spillover across global and country stock markets during the COVID-19 pandemic." Economic Analysis and Policy 71, no. : 180-197.

Journal article
Published: 27 April 2021 in International Review of Financial Analysis
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Motivated by the potential inferences from intraday price data in the controversial Bitcoin market, we apply functional data analysis techniques to study cumulative intraday return (CIDR) curves. First, we indicate that Bitcoin CIDR curves are stationary, non-normal, uncorrelated, but exhibit conditional heteroscedastic, although we find that the projection scores of CIDR curves could be serially correlated during some certain periods. Second, we show the possibility of predicting the CIDR curves of Bitcoins based on the projection scores and then assess the forecasting performance. Finally, we utilize the functional forecasting methods to explore the intraday trading opportunities of Bitcoins and the results provide evidence of profitable trading opportunities based on intraday trading strategies, which confronts the efficient market hypothesis.

ACS Style

Elie Bouri; Chi Keung Marco Lau; Tareq Saeed; Shixuan Wang; Yuqian Zhao. On the intraday return curves of Bitcoin: Predictability and trading opportunities. International Review of Financial Analysis 2021, 76, 101784 .

AMA Style

Elie Bouri, Chi Keung Marco Lau, Tareq Saeed, Shixuan Wang, Yuqian Zhao. On the intraday return curves of Bitcoin: Predictability and trading opportunities. International Review of Financial Analysis. 2021; 76 ():101784.

Chicago/Turabian Style

Elie Bouri; Chi Keung Marco Lau; Tareq Saeed; Shixuan Wang; Yuqian Zhao. 2021. "On the intraday return curves of Bitcoin: Predictability and trading opportunities." International Review of Financial Analysis 76, no. : 101784.

Original research
Published: 21 April 2021 in Annals of Operations Research
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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.

ACS Style

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 Style

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.

Chicago/Turabian Style

Syed 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.

Journal article
Published: 20 April 2021 in Journal of Risk and Financial Management
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This study examines the safe-haven and hedging roles of gold against thirteen Asian stock markets during the COVID-19 outbreak. During the COVID-19 sub-period, gold is shown to be a strong hedge (diversifier) for the majority (minority) of Asian stock markets; it exhibits the property of a strong safe-haven in China, Indonesia, Singapore, and Vietnam, and a weak safe-haven in Pakistan and Thailand. The optimal weights of all stock-gold portfolios are lower during the COVID-19 sub-period than the pre COVID-19 sub-period, suggesting that portfolio investors should increase their investment in gold during the COVID-19 sub-period. The hedging effectiveness for most Asian stock markets is higher during the COVID-19 sub-period. Further analyses show that the hedge portfolio returns in many cases are mostly driven by gold implied volatility and inflation expectations in both sub-periods. Our findings have useful implications for market participants holding investments in Asian stocks during stressful periods.

ACS Style

Imran Yousaf; Elie Bouri; Shoaib Ali; Nehme Azoury. Gold against Asian Stock Markets during the COVID-19 Outbreak. Journal of Risk and Financial Management 2021, 14, 186 .

AMA Style

Imran Yousaf, Elie Bouri, Shoaib Ali, Nehme Azoury. Gold against Asian Stock Markets during the COVID-19 Outbreak. Journal of Risk and Financial Management. 2021; 14 (4):186.

Chicago/Turabian Style

Imran Yousaf; Elie Bouri; Shoaib Ali; Nehme Azoury. 2021. "Gold against Asian Stock Markets during the COVID-19 Outbreak." Journal of Risk and Financial Management 14, no. 4: 186.

Journal article
Published: 18 April 2021 in The Quarterly Review of Economics and Finance
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This study examines the Granger causal flow from implied oil volatility to US high-yield and investment-grade corporate bonds. The results show that the Granger causality differs over investment time horizons, with evidence of a more lasting effect for high-yield bonds. The oil price crash of mid-2014 intensifies the causal effect from oil price volatility to the high-yield bond market and its energy segment. Further analyses show that the US default risk and credit spread heterogeneously drive causalities from oil to high-yield and investment-grade bonds. These findings are useful to credit market participants for risk management and the design of appropriate asset allocation strategy. They are also important for policymakers regarding policy and regulatory formulations to manage the effects of volatility transmission.

ACS Style

Syed Jawad Hussain Shahzad; Elie Bouri; Jose Areola Hernandez; David Roubaud. Causal nexus between crude oil and US corporate bonds. The Quarterly Review of Economics and Finance 2021, 80, 577 -589.

AMA Style

Syed Jawad Hussain Shahzad, Elie Bouri, Jose Areola Hernandez, David Roubaud. Causal nexus between crude oil and US corporate bonds. The Quarterly Review of Economics and Finance. 2021; 80 ():577-589.

Chicago/Turabian Style

Syed Jawad Hussain Shahzad; Elie Bouri; Jose Areola Hernandez; David Roubaud. 2021. "Causal nexus between crude oil and US corporate bonds." The Quarterly Review of Economics and Finance 80, no. : 577-589.

Journal article
Published: 16 April 2021 in Finance Research Letters
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We examine the relationship between investor sentiment and connectedness patterns across global stock markets within a quantile-on-quantile framework. Our findings show that investor happiness has a significant effect on both the return and volatility spillovers across global stock markets. While the sentiment effect is found to be relatively strong on volatility spillovers, we observe that the relationship between sentiment and connectedness is asymmetric for return and volatility connectedness. The findings suggest that both investors and policy makers should be particularly vigilant against sentiment shocks, in either direction, as these shocks can have significant risk effects, contributing to volatility spillovers globally.

ACS Style

Elie Bouri; Riza Demirer; David Gabauer; Rangan Gupta. Financial market connectedness: The role of investors’ happiness. Finance Research Letters 2021, 102075 .

AMA Style

Elie Bouri, Riza Demirer, David Gabauer, Rangan Gupta. Financial market connectedness: The role of investors’ happiness. Finance Research Letters. 2021; ():102075.

Chicago/Turabian Style

Elie Bouri; Riza Demirer; David Gabauer; Rangan Gupta. 2021. "Financial market connectedness: The role of investors’ happiness." Finance Research Letters , no. : 102075.

Journal article
Published: 02 April 2021 in International Review of Financial Analysis
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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.

ACS Style

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 Style

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.

Chicago/Turabian Style

Syed 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.