Outputs (24)

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.

Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices (2022)
Journal Article
Elsayed, A. H., Gozgor, G., & Yarovaya, L. (2022). Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices. Finance Research Letters, 47(Part B), Article 102732. https://doi.org/10.1016/j.frl.2022.102732

This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, we also consider two novel uncertainty measures: Crypto... Read More about Volatility and Return Connectedness of Cryptocurrency, Gold, and Uncertainty: Evidence from the Cryptocurrency Uncertainty Indices.

Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties   (2022)
Journal Article
Elsayed, A., Gozgor, G., & Lau, C. (2022). Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties  . International Review of Financial Analysis, 81, Article 102069. https://doi.org/10.1016/j.irfa.2022.102069

This paper examines return and volatility connectedness between Bitcoin, traditional financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and major global uncertainty measures (the Economic Policy Uncertainty-EPU, the... Read More about Risk Transmissions between Bitcoin and Traditional Financial Assets during the COVID-19 Era: The Role of Global Uncertainties  .

Dependence structure and dynamic connectedness between green bonds and financial markets: fresh insights from time-frequency analysis before and during COVID-19 pandemic (2022)
Journal Article
Elsayed, A., Naifar, N., Saudi Arabia, R., & Tiwari, A. (2022). Dependence structure and dynamic connectedness between green bonds and financial markets: fresh insights from time-frequency analysis before and during COVID-19 pandemic. Energy Economics, 107, Article 105842. https://doi.org/10.1016/j.eneco.2022.105842

This paper examines the interdependence between green bonds and financial markets in the timefrequency domain by utilizing the multivariate wavelet approach and dynamic connectedness through combining Ensemble Empirical Mode Decomposition (EEMD) with... Read More about Dependence structure and dynamic connectedness between green bonds and financial markets: fresh insights from time-frequency analysis before and during COVID-19 pandemic.

Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation? (2021)
Journal Article
Chowdhury, M., Damianov, D., & Elsayed, A. (2022). Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?. Finance Research Letters, 46(Part B), Article 102494. https://doi.org/10.1016/j.frl.2021.102494

Using a quantile vector autoregressive model to capture return dynamics in extreme market conditions, we find that the cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts... Read More about Bubbles and Crashes in Cryptocurrencies: Interdependence, Contagion, or Asset Rotation?.

Inflation synchronization among the G7 and China: The important role of oil inflation (2021)
Journal Article
Elsayed, A., Hammoudeh, S., & Sousa, R. (2021). Inflation synchronization among the G7 and China: The important role of oil inflation. Energy Economics, 100, Article 105332. https://doi.org/10.1016/j.eneco.2021.105332

We investigate the interconnectedness and spillovers between oil price inflation and CPI inflation in the G7 countries and China over the available period 1987M6-2020M6. To this end, we employ the multivariate DECO-GARCH model and both time-domain an... Read More about Inflation synchronization among the G7 and China: The important role of oil inflation.

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.

Key drivers of renewable energy deployment in the MENA Region: Empirical evidence using panel quantile regression (2021)
Journal Article
Belaid, F., Elsayed, A., & Omri, A. (2021). Key drivers of renewable energy deployment in the MENA Region: Empirical evidence using panel quantile regression. Structural Change and Economic Dynamics, 57, 225-238. https://doi.org/10.1016/j.strueco.2021.03.011

With the growing pressure from the adverse impact of environmental pollution and climate change, the deployment of renewable sources is becoming one of the economic priorities for governments worldwide. Despite potential gains of renewable sources, l... Read More about Key drivers of renewable energy deployment in the MENA Region: Empirical evidence using panel quantile regression.

Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic (2021)
Journal Article
Yarovaya, L., Elsayed, A. H., & Hammoudeh, S. (2021). Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic. Finance Research Letters, 43, Article 101979. https://doi.org/10.1016/j.frl.2021.101979

We analyse the impact of the COVID-19 pandemic on the spillovers between conventional and Islamic stock and bond markets. We further analyse comparatively whether gold, oil, Bitcoin prices, and VIX and EPU indexes affect the relationships between the... Read More about Determinants of Spillovers between Islamic and Conventional Financial Markets: Exploring the Safe Haven Assets during the COVID-19 Pandemic.

Causality and Dynamic Spillovers among Cryptocurrencies and Currency Markets (2020)
Journal Article
Elsayed, A., Gozgor, G., & Marco Lau, C. (2022). Causality and Dynamic Spillovers among Cryptocurrencies and Currency Markets. International Journal of Finance and Economics, 27(2), 2026-2040. https://doi.org/10.1002/ijfe.2257

This paper utilizes two methods to uncover the causality dynamic between the three leading cryptocurrencies: Bitcoin, Litecoin, Ripple, and nine major foreign currency markets. Firstly, we implement the technique of Diebold–Yilmaz to compute the spil... Read More about Causality and Dynamic Spillovers among Cryptocurrencies and Currency Markets.

Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies (2020)
Journal Article
Elsayed, A., Nasreen, S., & Tiwari, A. (2020). Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies. Energy Economics, 90, Article 104847. https://doi.org/10.1016/j.eneco.2020.104847

This study explores the time patterns of volatility spillovers between energy market and stock prices of seven major global financial markets including clean energy, energy, information technology corporations, equity markets and United States econom... Read More about Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies.

Does Bitcoin add value to global industry portfolios? (2020)
Journal Article
Damianov, D. S., & Elsayed, A. H. (2020). Does Bitcoin add value to global industry portfolios?. Economics Letters, 191, Article 108935. https://doi.org/10.1016/j.econlet.2019.108935

Bitcoin has been increasingly viewed as a new form of investment, yet its role as an asset in a diversified industry portfolio is not well understood. In this paper, we explore the dynamic interdependence between Bitcoin and the ten global industry s... Read More about Does Bitcoin add value to global industry portfolios?.

Financial Stress Dynamics in the MENA Region: Evidence from the Arab Spring (2019)
Journal Article
Elsayed, A. H., & Yarovaya, L. (2019). Financial Stress Dynamics in the MENA Region: Evidence from the Arab Spring. Journal of International Financial Markets, Institutions and Money, 62, 20-34. https://doi.org/10.1016/j.intfin.2019.05.004

In this paper we analyse the impact of instability caused by the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we conclude... Read More about Financial Stress Dynamics in the MENA Region: Evidence from the Arab Spring.

Are Islamic and Conventional Capital Markets Decoupled? Evidence from Stock and Bonds/Sukuk Markets in Malaysia (2018)
Journal Article
Ahmed, H., & Elsayed, A. (2019). Are Islamic and Conventional Capital Markets Decoupled? Evidence from Stock and Bonds/Sukuk Markets in Malaysia. The Quarterly Review of Economics and Finance, 74, 56-66. https://doi.org/10.1016/j.qref.2018.04.005

This study examines the decoupling hypothesis between Islamic and conventional capital markets by analysing the dynamic interdependencies among conventional stock, Islamic stock, bonds and sukuk markets in Malaysia over the period January 3, 2007 to... Read More about Are Islamic and Conventional Capital Markets Decoupled? Evidence from Stock and Bonds/Sukuk Markets in Malaysia.

On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity REITs markets, and the Stock Market (2018)
Journal Article
Damianov, D., & Elsayed, A. (2018). On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity REITs markets, and the Stock Market. Finance Research Letters, 27, 193-200. https://doi.org/10.1016/j.frl.2018.03.001

Using monthly returns for the January 1975–December 2016 time period in U.S. markets, we report large variations in total, net and pairwise return spillovers across the housing market, the mortgage and equity real estate investment trusts (REITs) mar... Read More about On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity REITs markets, and the Stock Market.

Effective and Successful Small Group Teaching (2016)
Other
Elsayed, A. (2016). Effective and Successful Small Group Teaching