Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic (2023)
Journal Article
Elsayed, A. H., Ahmed, H., & Husam Helmi, M. (2023). Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic. Journal of International Financial Markets, Institutions and Money, 85, https://doi.org/10.1016/j.intfin.2023.101784

Existing literature on spillovers and connectedness between Islamic and conventional financial markets overlooked the fundamental role played by money markets in volatility spillovers and risk transmission across markets. That being so, this paper ai... Read More about Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic.

Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk (2021)
Journal Article
Elsayed, A., & Helmi, M. (2021). Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk. Annals of Operations Research, 305, 1-22. https://doi.org/10.1007/s10479-021-04081-5

This paper examines the effect of geopolitical risk (GPR) on return and volatility dynamics in Middle East and North African (MENA) countries by using an ADCC-GARCH model and a spillover approach. Unlike previous studies, we include the GPR index to... Read More about Volatility transmission and spillover dynamics across financial markets: The role of geopolitical risk.