ORCID Profile
0000-0001-6962-3175
Current Organisations
ILMA University
,
United Arab Emirates University
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Publisher: Informa UK Limited
Date: 21-02-2022
Publisher: Elsevier BV
Date: 03-2022
Publisher: MDPI AG
Date: 23-02-2013
DOI: 10.3390/MATH9040441
Abstract: 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 in idual commodity markets indicates that stock market implied volatility, risk spread, and economic policy uncertainty are the influential drivers of connectedness among commodity markets.
Publisher: Elsevier BV
Date: 09-2020
Publisher: MDPI AG
Date: 07-11-2020
DOI: 10.3390/SU12219261
Abstract: A bulk of literature suggests that geopolitical events such as terrorist attacks d en 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 ersify country-specific risks in their portfolios. Implications and directions for future research are discussed.
Publisher: Elsevier BV
Date: 06-2023
Publisher: Elsevier BV
Date: 05-2022
Publisher: Elsevier BV
Date: 11-2021
Publisher: Elsevier BV
Date: 08-2022
Publisher: Elsevier BV
Date: 09-2022
Publisher: Elsevier BV
Date: 2022
Publisher: Elsevier BV
Date: 03-2023
Publisher: Elsevier BV
Date: 10-2023
Publisher: MDPI AG
Date: 31-10-2020
DOI: 10.3390/MATH8111904
Abstract: 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 s le 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.
Publisher: Elsevier BV
Date: 03-2021
Publisher: Elsevier BV
Date: 08-2022
Publisher: Informa UK Limited
Date: 12-06-2021
No related grants have been discovered for Muhammad Abubakr Naeem.