Browsing College of Business and Economics by Author "Kang S.H."
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Risk spillovers and hedging effectiveness between major commodities, and Islamic and conventional GCC banks
Mensi W.; Hammoudeh S.; Al-Jarrah I.M.W.; Al-Yahyaee K.H.; Kang S.H. ( Elsevier Ltd , 2019 , Article)This paper examines the dynamic risk spillovers and hedging effectiveness between two important commodity markets (oil and gold) and both the Islamic and conventional bank stock indices for five GCC countries (Bahrain, ... -
Time frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies: Portfolio risk management implications
Mensi W.; Rehman M.U.; Al-Yahyaee K.H.; Al-Jarrah I.M.W.; Kang S.H. ( Elsevier Inc. , 2019 , Article)This paper uses wavelet coherence and cross wavelet transform approaches to examine co-movement between Bitcoin and five major cryptocurrencies (Dash, Ethereum, Litecoin, Monero and Ripple) and their portfolio risk ...