تصفح Academic حسب المؤلف "n 81065687"
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Cost-efficiency and financial and geographical characteristics of banking sectors in the MENA countries
Al-Jarrah, Idries M.; Al-Abdulqader, Khalid S.; Hammoudeh, Shawkat ( Routledge , 2017 , Article)We utilize the translog stochastic frontier model to estimate the cost-efficiency levels for conventional and Islamic, Cooperation Council (GCC) and non-GCC banks in the Middle East and North African (MENA) countries. The ... -
Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach
Mensi, Walid; Shahzad, Syed Jawad Hussain; Hammoudeh, Shawkat; Zeitun, Rami; Rehman, Mobeen Ur ( Elsevier B.V. , 2017 , Article)This study examines the portfolio risk and the co-movements between each of the BRIC emerging and South Asian frontier stock markets and each of the major developed stock markets (U.S., UK and Japan), using the wavelet ... -
Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets
Walid, Mensi; Hammoudeh, Shawkat; Rehman, Mobeen Ur; Al-Maadid, Alanoud Ali S.; Hoon Kang, Sang ( Elsevier , 2020 , Article)This study examines portfolio management and risk spillovers between four major precious metals (gold, silver, palladium and platinum) and 20 important U.S. exchange markets. To this end, we employ the multivariate DECO-GARCH ... -
Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications
Mensi, Walid; Hammoudeh, Shawkat; Al-Jarrah, Idries Mohammad Wanas; Sensoy, Ahmet; Kang, Sang Hoon ( Elsevier B.V. , 2017 , Article)This paper investigates the time-varying equicorrelations and risk spillovers between crude oil, gold and the Dow Jones conventional, sustainability and Islamic stock index aggregates and 10 associated disaggregated Islamic ... -
Extreme linkages of carbon futures, energy markets, and economic indicators: A copula approach
Trabelsi, Nader; Tiwari, Aviral Kumar; Hammoudeh, Shawkat; Benlagha, Noureddine ( Taylor & Francis , 2023 , Article)The interdependence of carbon allowances and different energy sources in extreme market behavior is still unsettled in the literature. Using different types of static and time-varying copulas, this piece of research aims ... -
Further evidence on the rationality of interest rate expectations: A comprehensive study of developed and emerging economies
Miah, Fazlul; Khalifa, Ahmed Ali; Hammoudeh, Shawkat ( Elsevier , 2016 , Article)This study performs unbiasedness and efficiency tests of three-month and twelve-month ahead interest rate forecasts of one short-term and one long-term security of 10 developed and 20 emerging economies by exploiting a new ... -
How Do Bank Features and Global Crises Affect Scale Economies? Evidence from the Banking Sectors of Oil-Rich GCC Emerging Markets
Al-Jarrah, Idries Mohammad Wanas; Al-Abdulqader, Khalid; Hammoudeh, Shawkat ( Routledge , 2021 , Article)This study investigates the types of scale economies (SE) for the exchange-listed banks of the Gulf Cooperation Council (GCC) countries over the 2000-2016 period, using the stochastic frontier for modeling banking technology ... -
Systemic risk for financial institutions in the major petroleum-based economies: The role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; Hammoudeh, Shawkat ( International Association for Energy Economics , 2020 , Article)We examine the relationship between oil returns and systemic risk of financial institutions in major petroleum-based economies. By estimating ΔCoVaR, we observe the presence of remarkable increases in risk levels during ... -
Volatility transmission across currencies and commodities with US uncertainty measures
Khalifa, Ahmed A. A.; Otranto, Edoardo; Hammoudeh, Shawkat; Ramchander, Sanjay ( Elsevier Inc. , 2016 , Article)This paper uses the Multi-chain Markov Switching model (MCMS) conditioned on US uncertainty measures (VIX, VIX-oil and FSI) to examine the patterns of volatility transmission across the resource, major and safe haven ...