Outputs (25)

Volatility Spillover Across Spot and Futures Markets: Evidence from Dual Financial System (2024)
Journal Article
Elsayed, A. H., Asutay, M., ElAlaoui, A. O., & Bin Jusoh, H. (in press). Volatility Spillover Across Spot and Futures Markets: Evidence from Dual Financial System. Research in International Business and Finance,

This paper investigates dynamic returns and volatility spillovers between spot and futures markets in a dual financial system. It further analyses the shock transmission of both volume trading and open interest in the futures market. Empirical result... Read More about Volatility Spillover Across Spot and Futures Markets: Evidence from Dual Financial System.

The Impact of Geopolitical Risk on Sustainable Markets: A Quantile-Time-Frequency Analysis (2024)
Journal Article
Helmi, M. H., Elsayed, A. H., & Khalfaoui, R. (in press). The Impact of Geopolitical Risk on Sustainable Markets: A Quantile-Time-Frequency Analysis. Finance Research Letters, 64, Article 105380. https://doi.org/10.1016/j.frl.2024.105380

We examine the impact of Geopolitical Risk (GPR) on green, clean, and socially responsible markets by employing the newly proposed Wavelet Quantile Correlation, Cross-quantilogram and Causality-in-quantiles. Unlike earlier studies,... Read More about The Impact of Geopolitical Risk on Sustainable Markets: A Quantile-Time-Frequency Analysis.

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.

Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors (2023)
Journal Article
Billah, M., Elsayed, A. H., & Hadhri, S. (2023). Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors. Journal of International Financial Markets, Institutions and Money, 83, Article 101728. https://doi.org/10.1016/j.intfin.2022.101728

This study investigates the asymmetric connectedness and spillover effects between two ethical fixed-income assets (Sukuk and green bonds) with regard to global risk factors using a sample of 15 Sukuk markets and green bond indices. This complex netw... Read More about Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors.

Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries (2022)
Journal Article
Elsayed, A. H., Downing, G., Lau, C. K. M., & Sheng, X. (2023). Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries. International Journal of Finance and Economics, https://doi.org/10.1002/ijfe.2757

This study explores the relationship and connectedness between oil returns and financial stresses in six Gulf Cooperation Council (GCC) countries using daily data from September 21, 2006 to May 31, 2019. The Bayesian Graph-based Structural Vector Aut... Read More about Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries.

Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis (2022)
Journal Article
Balcilar, M., Elsayed, A. H., & Hammoudeh, S. (2023). Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis. Journal of International Financial Markets, Institutions and Money, 82, https://doi.org/10.1016/j.intfin.2022.101656

This study examines the financial connectedness and risk transmission among MENA economies by accounting for financial connectedness in the short and long run as well dependency under extreme market conditions and network graph analysis. To this end,... Read More about Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis.

Central Bank digital currencies: An Agenda for future research (2022)
Journal Article
Elsayed, A. H., & Ali Nasir, M. (2022). Central Bank digital currencies: An Agenda for future research. Research in International Business and Finance, 62, Article 101736. https://doi.org/10.1016/j.ribaf.2022.101736

Central bank digital currencies are engendering concern. As understanding of CBDCs is very limited, further research is warranted which will focus not only on the economic rationale of CBDCs but also on how they will impact monetary policy transmissi... Read More about Central Bank digital currencies: An Agenda for future research.

Do Geopolitical Events Transmit Opportunity or Threat to Green Markets? Decomposed Measures of Geopolitical Risks (2022)
Journal Article
Sohag, K., Hammoudeh, S., Elsayed, A., Mariev, O., & Safonova, Y. (2022). Do Geopolitical Events Transmit Opportunity or Threat to Green Markets? Decomposed Measures of Geopolitical Risks. Energy Economics, 111, Article 106068. https://doi.org/10.1016/j.eneco.2022.106068

The growth of clean energies and technologies requires a sound financial market, while equity and bond markets are exposed to geopolitical risks. We investigate the response of green equity and green bonds to newly develop decomposed measures of geop... Read More about Do Geopolitical Events Transmit Opportunity or Threat to Green Markets? Decomposed Measures of Geopolitical Risks.

International Monetary Policy and Cryptocurrency Markets: Dynamic and Spillover Effects (2022)
Journal Article
Elsayed, A. H., & Sousa, R. M. (2022). International Monetary Policy and Cryptocurrency Markets: Dynamic and Spillover Effects. European Journal of Finance, https://doi.org/10.1080/1351847x.2022.2068375

Using daily data over the period August 5, 2013 - September 27, 2019, this study investigates the dynamic spillovers between international monetary policies across four major economies (i.e. Eurozone, Japan, UK and US) and three key cryptocurrencies... Read More about International Monetary Policy and Cryptocurrency Markets: Dynamic and Spillover Effects.

Financial Stability and Monetary Policy Reaction: Evidence from the GCC Countries (2022)
Journal Article
Elsayed, A. H., Naifar, N., & Nasreen, S. (2023). Financial Stability and Monetary Policy Reaction: Evidence from the GCC Countries. The Quarterly Review of Economics and Finance, 87, 396-405. https://doi.org/10.1016/j.qref.2022.03.003

This paper investigates the interaction between monetary policy and financial stability in the Gulf Cooperation Council (hereafter GCC) countries by introducing a new composite financial stability index to monitor the financial vulnerabilities and cr... Read More about Financial Stability and Monetary Policy Reaction: Evidence from the GCC Countries.