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This paper investigates the interconnectedness between sovereign credit risk based on the tail event and network dynamics technique. Specifically, we examine the interdependence in upper tails of sovereign credit default swap in the case of fifteen most COVID-19 affected countries. Empirical findings indicate that connectedness among SCDS spreads changed over time and is higher during the COVID19 outbreak. Russia, Brazil, and China are the most credit risk emitter and receiver during the COVID-19 pandemic.
Nader Naifar; Syed Jawad Hussain Shahzad. Tail event-based sovereign credit risk transmission network during COVID-19 pandemic. Finance Research Letters 2021, 102182 .
AMA StyleNader Naifar, Syed Jawad Hussain Shahzad. Tail event-based sovereign credit risk transmission network during COVID-19 pandemic. Finance Research Letters. 2021; ():102182.
Chicago/Turabian StyleNader Naifar; Syed Jawad Hussain Shahzad. 2021. "Tail event-based sovereign credit risk transmission network during COVID-19 pandemic." Finance Research Letters , no. : 102182.
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.
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 StyleSyed 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 StyleSyed 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.
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.
We examine the effect of regulatory capital and ownership structure on banks’ liquidity creation in emerging Asian economies. We find a positive association between regulatory capital and bank liquidity creation, which is consistent with the risk-absorption hypothesis. Bank size has a positive relation with liquidity creation, implying that large banks have more capacity to create liquidity as they enjoy more of the safety net provided by lenders of last resort in the event of crisis, the advantage of reputational benefit, and easier access to external market funding. The negative effect of the bank funding structure is that, as the subordinate debt is typically uninsured, higher funding costs lead banks to reduce liquidity creation. The results imply that an increase in interest rates worsens liquidity creation. For ownership structure, the results show the significance of the impact of ownership concentration on liquidity creation. Banking institutions having higher equity and higher concentration ownership leads to improved liquidity creation.
Ghulam Mujtaba Kayani; Yasmeen Akhtar; Chen Yiguo; Tahir Yousaf; Syed Jawad Hussain Shahzad. The Role of Regulatory Capital and Ownership Structure in Bank Liquidity Creation: Evidence From Emerging Asian Economies. SAGE Open 2021, 11, 1 .
AMA StyleGhulam Mujtaba Kayani, Yasmeen Akhtar, Chen Yiguo, Tahir Yousaf, Syed Jawad Hussain Shahzad. The Role of Regulatory Capital and Ownership Structure in Bank Liquidity Creation: Evidence From Emerging Asian Economies. SAGE Open. 2021; 11 (2):1.
Chicago/Turabian StyleGhulam Mujtaba Kayani; Yasmeen Akhtar; Chen Yiguo; Tahir Yousaf; Syed Jawad Hussain Shahzad. 2021. "The Role of Regulatory Capital and Ownership Structure in Bank Liquidity Creation: Evidence From Emerging Asian Economies." SAGE Open 11, no. 2: 1.
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 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.
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 StyleSyed 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 StyleSyed 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.
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.
Using high‐frequency (daily) data on macroeconomic uncertainties and the partial cross‐quantilogram approach, we examine the directional predictability of disentangled oil‐price‐shocks for the entire conditional distribution of uncertainties of five advanced economies (Canada, Euro Area, Japan, the United Kingdom, and the United States). Our results show that oil‐demand, oil‐supply, and financial‐risk‐related shocks can predict the future path of uncertainty; however, the predictive relationship is contingent on the initial level of macroeconomic uncertainty and the size of the shocks. Our results suggest that macroeconomic uncertainty is indeed predictable at high frequency, and that oil‐price‐shocks capture valuable predictive information regarding the future path of macroeconomic uncertainties.
Syed Jawad Hussain Shahzad; Rangan Gupta; Riza Demirer; Christian Pierdzioch. Oil Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High‐Frequency Data. Scottish Journal of Political Economy 2021, 1 .
AMA StyleSyed Jawad Hussain Shahzad, Rangan Gupta, Riza Demirer, Christian Pierdzioch. Oil Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High‐Frequency Data. Scottish Journal of Political Economy. 2021; ():1.
Chicago/Turabian StyleSyed Jawad Hussain Shahzad; Rangan Gupta; Riza Demirer; Christian Pierdzioch. 2021. "Oil Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High‐Frequency Data." Scottish Journal of Political Economy , no. : 1.
The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance decomposition of a quantile vector autoregressive model specifically for extreme returns. Notably, we control for common movements by using the overall stock market index as a common factor for all sectors and uncover the effect of the COVID-19 outbreak on the dynamics of the network. The results show that the network structure and spillovers differ considerably with respect to the market state. During stable times, the network shows a nice sectoral clustering structure which, however, changes dramatically for both adverse and beneficial market conditions constituting a highly connected network structure. The pandemic period itself shows an interesting restructuring of the network as the dominant clusters become more tightly connected while the rest of the network remains well separated. The sectoral topology thus has not collapsed into a unified market during the pandemic.
Syed Jawad Hussain Shahzad; Elie Bouri; Ladislav Kristoufek; Tareq Saeed. Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers. Financial Innovation 2021, 7, 1 -23.
AMA StyleSyed Jawad Hussain Shahzad, Elie Bouri, Ladislav Kristoufek, Tareq Saeed. Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers. Financial Innovation. 2021; 7 (1):1-23.
Chicago/Turabian StyleSyed Jawad Hussain Shahzad; Elie Bouri; Ladislav Kristoufek; Tareq Saeed. 2021. "Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers." Financial Innovation 7, no. 1: 1-23.
This paper examines the sensitivity of major US sectoral returns to economic policy uncertainty and investor sentiments. Our analysis is based on weekly frequency and ranges from January 1995 to December 2015 covering a span of 20 years. Considering existing, however limited evidence of non-linear structure exhibited by investor sentiments and economic policy uncertainty and on the basis of our non-linear diagnostics, we use novel technique of non-parametric causality in quantiles approach proposed by Balcilar, Gupta, and Pierdzioch (2016). Our results highlight that economic policy uncertainty and investor sentiments act as driving factors for US sectoral returns. The nature of relationship is reported as asymmetrical for stock returns and symmetrical for variance of returns with an exception of Healthcare sector for economic policy uncertainty and bullish market sentiments. Our study carries implications for portfolio diversification and policy makers for forecasting market efficiency and economic trends.
Mobeen Ur Rehman; Ahmet Sensoy; Veysel Eraslan; Syed Jawad Hussain Shahzad; Xuan Vinh Vo. Sensitivity of US equity returns to economic policy uncertainty and investor sentiments. The North American Journal of Economics and Finance 2021, 57, 101392 .
AMA StyleMobeen Ur Rehman, Ahmet Sensoy, Veysel Eraslan, Syed Jawad Hussain Shahzad, Xuan Vinh Vo. Sensitivity of US equity returns to economic policy uncertainty and investor sentiments. The North American Journal of Economics and Finance. 2021; 57 ():101392.
Chicago/Turabian StyleMobeen Ur Rehman; Ahmet Sensoy; Veysel Eraslan; Syed Jawad Hussain Shahzad; Xuan Vinh Vo. 2021. "Sensitivity of US equity returns to economic policy uncertainty and investor sentiments." The North American Journal of Economics and Finance 57, no. : 101392.
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.
We examine the nonlinear dependence dynamics and downside and upside risk spillovers between oil prices and world food prices captured by a world food price index and its subcategories of dairy, cereals, vegetable oil, and sugar. We draw our empirical results using static and dynamic bivariate copulas, Value-at-Risk (VaR) and conditional VaR (CoVaR) methods. Our empirical findings reveal that oil prices and aggregate food prices, as measured by the world food price index, independently move during market upturns and downturns. However, lower and upper tail dependence is observed between oil prices and cereals, vegetable oil, and sugar prices. We also identify upside and downside asymmetric risk spillovers from individual food commodities to oil and from oil to food commodities. Oil prices most strongly affect sugar and vegetable oil prices (downside and upside) whereas oil prices are most strongly impacted in the downside and upside by vegetable oil and sugar prices, respectively. The implications of the results are discussed.
Waqas Hanif; Jose Areola Hernandez; Syed Jawad Hussain Shahzad; Seong-Min Yoon. Tail dependence risk and spillovers between oil and food prices. The Quarterly Review of Economics and Finance 2021, 80, 195 -209.
AMA StyleWaqas Hanif, Jose Areola Hernandez, Syed Jawad Hussain Shahzad, Seong-Min Yoon. Tail dependence risk and spillovers between oil and food prices. The Quarterly Review of Economics and Finance. 2021; 80 ():195-209.
Chicago/Turabian StyleWaqas Hanif; Jose Areola Hernandez; Syed Jawad Hussain Shahzad; Seong-Min Yoon. 2021. "Tail dependence risk and spillovers between oil and food prices." The Quarterly Review of Economics and Finance 80, no. : 195-209.
This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions are considered. We perform a sequence of power comparisons among alternative unit root tests that accommodate smooth or sharp structural breaks. The power experiments demonstrate that the unit root tests utilizing the Fourier function lead to unexpected results. Furthermore, through simulation studies, we investigate the source of such unexpected outcomes. Moreover, we provide the asymptotic distribution of two recently proposed unit root tests, namely Fourier-Augmented Dickey–Fuller (FADF) and Fourier-Kapetanios, Shin and Shell (FKSS), which are not given in the original studies. Lastly, we find that the selection of de-trending function is pivotal for unit root testing with structural breaks.
Furkan Emirmahmutoglu; Tolga Omay; Syed Jawad Hussain Shahzad; Safwan Mohd Nor. Smooth Break Detection and De-Trending in Unit Root Testing. Mathematics 2021, 9, 371 .
AMA StyleFurkan Emirmahmutoglu, Tolga Omay, Syed Jawad Hussain Shahzad, Safwan Mohd Nor. Smooth Break Detection and De-Trending in Unit Root Testing. Mathematics. 2021; 9 (4):371.
Chicago/Turabian StyleFurkan Emirmahmutoglu; Tolga Omay; Syed Jawad Hussain Shahzad; Safwan Mohd Nor. 2021. "Smooth Break Detection and De-Trending in Unit Root Testing." Mathematics 9, no. 4: 371.
This paper investigates the interconnectedness among 95 tourism firms in the U.S. over the 2018–2020 period with a focus on the impact of the Covid-19 pandemic. The results using tail risk spillover analysis show that the level of risk contagion significantly increased during the Covid-19 pandemic. Small tourism firms become more systemically important during the Covid-19 pandemic while the level of bad risk contagion has a negative impact on the stock performance of US tourism firms.
Syed Jawad Hussain Shahzad; Thi Hong Van Hoang; Elie Bouri. From pandemic to systemic risk: contagion in the U.S. tourism sector. Current Issues in Tourism 2021, 1 -7.
AMA StyleSyed Jawad Hussain Shahzad, Thi Hong Van Hoang, Elie Bouri. From pandemic to systemic risk: contagion in the U.S. tourism sector. Current Issues in Tourism. 2021; ():1-7.
Chicago/Turabian StyleSyed Jawad Hussain Shahzad; Thi Hong Van Hoang; Elie Bouri. 2021. "From pandemic to systemic risk: contagion in the U.S. tourism sector." Current Issues in Tourism , no. : 1-7.
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 time-frequency connectedness across the global green bond market and several mainstream financial and energy markets in an attempt to figure out whether green bonds represent a different asset class. The connectedness methodology proposed by Baruník and Křehlík (2018) is employed for that purpose. This approach enables quantifying the dynamics of connectedness in terms of return and volatility over time and across time scales simultaneously. The empirical results indicate that connectedness between the global green bond market and the conventional financial and energy markets mainly occurs at shorter time horizons, suggesting that shocks are rapidly transmitted across markets with an effect lasting less than a week. A strong connectedness in return and volatility is found between green bonds and Treasury and investment-grade corporate bonds, principally because of the numerous characteristics they share. This finding implies that green fixed-income securities are not a different asset class, but they closely mirror the performance of government and high-quality corporate bonds. In contrast, there is a quite limited connectedness between the green bond market and the general stock market, the renewable energy equity sector and the crude oil market regardless of the time horizon considered. This evidence shows that green bonds appear as a valuable tool to fight against climate change without having to sacrifice part of the return generated by traditional assets, particularly ordinary bonds. Furthermore, it can have useful implications for investors and policy makers.
Román Ferrer; Syed Jawad Hussain Shahzad; Pilar Soriano. Are green bonds a different asset class? Evidence from time-frequency connectedness analysis. Journal of Cleaner Production 2021, 292, 125988 .
AMA StyleRomán Ferrer, Syed Jawad Hussain Shahzad, Pilar Soriano. Are green bonds a different asset class? Evidence from time-frequency connectedness analysis. Journal of Cleaner Production. 2021; 292 ():125988.
Chicago/Turabian StyleRomán Ferrer; Syed Jawad Hussain Shahzad; Pilar Soriano. 2021. "Are green bonds a different asset class? Evidence from time-frequency connectedness analysis." Journal of Cleaner Production 292, no. : 125988.
The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous variables (VARX) model to a daily dataset from 25-July-2016 to 1-April-2020. The results indicate various patterns of spillover in high and low volatility regimes, especially during the COVID-19 outbreak. The total spillover index varies with time and abruptly intensifies following the outbreak of COVID-19, especially in the high volatility regime. Notably, the network analysis reveals further evidence of much higher spillovers in the high volatility regime during the COVID-19 outbreak, which is consistent with the notion of contagion during stress periods.
Syed Jawad Hussain Shahzad; Elie Bouri; Sang Hoon Kang; Tareq Saeed. Regime specific spillover across cryptocurrencies and the role of COVID-19. Financial Innovation 2021, 7, 1 -24.
AMA StyleSyed Jawad Hussain Shahzad, Elie Bouri, Sang Hoon Kang, Tareq Saeed. Regime specific spillover across cryptocurrencies and the role of COVID-19. Financial Innovation. 2021; 7 (1):1-24.
Chicago/Turabian StyleSyed Jawad Hussain Shahzad; Elie Bouri; Sang Hoon Kang; Tareq Saeed. 2021. "Regime specific spillover across cryptocurrencies and the role of COVID-19." Financial Innovation 7, no. 1: 1-24.