Amine Ben Amar, Amir Hasnaoui, Nabil Boubrahimi, Ilham Dkhissi and Makram Bellalah
This study aims to elucidate the volatility spillovers among commodities, equities and socially responsible investments, underpinning their dynamic correlations during the…
Abstract
Purpose
This study aims to elucidate the volatility spillovers among commodities, equities and socially responsible investments, underpinning their dynamic correlations during the economic instability wrought by the COVID-19 pandemic and associated financial crises.
Design/methodology/approach
This research quantitatively analyzes volatility transmission across various financial assets from January 2005 to October 2020 by employing the Diebold and Yilmaz (2012) spillover index. The methodology incorporates a temporal examination to capture the evolution of volatility dependencies pre and post the emergence of COVID-19.
Findings
The findings indicate substantial volatility spillovers among the assets in question, aligning with the current financialisation of commodity markets and a rise in financial market integration. These spillovers also show variation over time. Notably, the interconnectedness among the assets intensifies during periods of stress. For instance, the total spillover index significantly surpassed 80% toward the end of January 2020, following the onset of the COVID-19 crisis. Furthermore, the results imply that financial markets appear to be segmented.
Practical implications
The findings afford investors a more comprehensive insight into both the character and scale of the interdependencies across a broad array of financial markets. Indeed, grasping the extent to which financial markets are segmented or integrated during times of stress and stability is crucial for investors. Such understanding is key to more accurately evaluating risks, diversifying investment portfolios and devising more efficient hedging strategies.
Originality/value
This study contributes to financial literature by offering a comprehensive investigation into the spillover effects across a diverse set of asset classes during an unprecedented global health crisis, filling a gap in existing research on market behavior against the backdrop of a pandemic-induced financial crisis.
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Amine Ben Amar, Stéphane Goutte, Amir Hasnaoui, Amine Marouane and Héla Mzoughi
This study aims to investigate the dependence structure and volatility spillovers among two strategic commodities (crude oil and gold) and a set of Islamic and conventional…
Abstract
Purpose
This study aims to investigate the dependence structure and volatility spillovers among two strategic commodities (crude oil and gold) and a set of Islamic and conventional regional stock market indices, while examining the Ramadan effect
Design/methodology/approach
The empirical strategy consists of two complementary measures of dependence and connectedness. This study first uses copulas to examine the dependency between the markets considered, then spillovers compute the magnitude of the connectedness among them.
Findings
The copulas analysis shows that Frank’s copula appears to better capture the relationship between most asset returns and highlights the almost absence of extreme dependence and, therefore, the existence of diversification opportunities. Moreover, the connectedness analysis suggests that gold is a net volatility receiver and provides, thereby, greater diversification benefits compared to crude oil. In addition, the high levels of time-varying connectedness support strong integration among the financial markets studied, specifically during the COVID-19 crisis period. Furthermore, the connectedness among the markets studied increases during the Ramdan subperiods, supporting shift contagion among financial markets considered during this religious holiday.
Practical implications
The results provide investors with a better understanding of the nature as well as the magnitude of the interdependences between commodity markets and a set of Islamic and conventional regional stock markets. Indeed, it is of paramount importance for investors to clearly understand how Islamic and conventional markets are segmented or integrated during stress and stress-free periods, as well as the effect of the month of Ramadan on the interdependence among markets, to better assess risks, diversify portfolios and implement more effective hedging strategies.
Originality/value
While a considerable body of literature examines financial contagion and volatility transmission between financial markets, there is still much to be said regarding connectedness among commodity and stock markets, particularly when it comes to studying the effects of religious holidays on the interaction between conventional and Islamic assets. This paper fills in this gap by focusing on the dependence structure as well as the connectedness between Islamic stock indices, conventional stock indices, gold and crude oil for six different regions, while examining the Ramadan effect.
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Amine Ben Amar and AbdelKader O. El Alaoui
The purpose of this study is to understand the profit-sharing structure at equilibrium of the two-tier mudharaba contract in a pure Islamic banking system and then in a dual…
Abstract
Purpose
The purpose of this study is to understand the profit-sharing structure at equilibrium of the two-tier mudharaba contract in a pure Islamic banking system and then in a dual banking system.
Design/methodology/approach
This paper aims to better understand the profit-sharing structure at the equilibrium of the two-tier mudharaba. It first assumes a purely Islamic banking system and then introduces a risk-free asset to simulate trade-off opportunities in a dual banking system.
Findings
First, by using a model inspired from a neoclassical framework and assuming that the Islamic banks are the only channel for financing the economy, the results suggest that the profit-sharing structure built up by the three parties, the bank, the depositor and the entrepreneur, at the time of signing the Mudharaba contract has to be drawn up in the way that, at the ex post, the remuneration of each necessary production factor, capital and labor, should equal its marginal productivity. Second, the authors relax the hypothesis of a purely Islamic financial system and introduced a risk-free asset in favor of the depositor. Thereby, the authors are able to apprehend the financial balance of the two-tier mudharaba contract by simulating the trade-offs that can occur in a dual banking system. The findings suggest that the profit-sharing structure is not the same whether we are at the level of bank assets (bank–entrepreneur relationship) or liabilities (bank–depositor relationship). For the asset side, an increase (respectively decrease) in the expected profit of the mudharaba implies a decrease (respectively increase) in the share of the bank, whereas an increase (respectively decrease) in the return of the risk-free asset and/or the risk underlying the project implies an increase (respectively decrease) of the bank’s share in the expected profit.
Originality/value
Theoretical work that has studied the determinants of the ratio of profit sharing between capitalists and entrepreneurs in the context of mudharaba has omitted that this contract should be assessed at both asset and liability sides of the bank. To overcome this theoretical gap, this paper aims to better understand the structure of profit sharing at the equilibrium of the two-tier mudharaba, while taking into account the contractual specificities between the different stakeholders.
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Amine Ben Amar, Mondher Bouattour and Jean-Etienne Carlotti
This study aims to investigate the time-frequency comovement between wheat futures traded on three US markets (Chicago Board of Trade (CBOT), Kansas City Board of Trade (KCBOT…
Abstract
Purpose
This study aims to investigate the time-frequency comovement between wheat futures traded on three US markets (Chicago Board of Trade (CBOT), Kansas City Board of Trade (KCBOT) and Minneapolis Grain Exchange (MGE)) at different maturities and a global equity index.
Design/methodology/approach
As they allow to trace transitional shifts over time and across different frequency bands, this paper relies on continuous wavelet tools to investigate the time-frequency comovement among wheat and global stock markets.
Findings
The results show an increase in wheat futures prices at all maturities and a weak integration level within each wheat market during the subprime crisis. Moreover, the wavelet power spectra maps show high wheat and equity price volatility at different time scales and for various subperiods. Furthermore, the continuous wavelet coherence highlights time-frequency-varying comovements between the markets considered, which become particularly high during times of crisis.
Practical implications
The results provide market participants with a better understanding of the nature as well as the magnitude of the relationship between the global financial market and different wheat markets at different maturities and during tranquil and crisis periods. Indeed, from investors' perspective it is important to understand how markets are segmented or integrated during tranquil and crisis periods in order to better assess risks, diversify portfolios and implement more effective hedging strategies. As for regulators, a better understanding of the level of integration of different markets would further help refine macroprudential policies, and thus strengthen financial stability and resilience.
Originality/value
This paper enriches the existing literature by investigating the time-frequency comovement between wheat and a global equity market. Indeed, the dynamics between stock and wheat markets across different nearest to maturities have not been widely explored by previous studies.
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Nejib Hachicha and Amine Ben Amar
– The purpose of this paper is to investigate empirically the impact of the Islamic Bank Financing on Malaysia’s economic growth over the period 2000Q1-2011Q4.
Abstract
Purpose
The purpose of this paper is to investigate empirically the impact of the Islamic Bank Financing on Malaysia’s economic growth over the period 2000Q1-2011Q4.
Design/methodology/approach
A neoclassical production function augmented by some indicators of Islamic bank finance has been the theoretical framework for this paper’s empirical investigation. The unit root tests show that all the variables are integrated of order 1. The test of Johansen and Juselius (1990) has shown the existence of a single cointegrating relationship between the gross domestic product (GDP), the investment, the labor force and the indicator of Islamic bank finance. Hence, an error correction model has been constructed to estimate the economic growth elasticity with respect to the different Islamic bank finance indicators.
Findings
The estimated elasticities show that, in the long run, the GDP in Malaysia is not sensitive to the Islamic financing. The estimation of an error correction model shows that the elasticity of the Malaysian output with respect to the different Islamic financing indicators in the short run turn around 0.35. Thus, the effect of the different Islamic finance indicators on the economic growth in the long run is less important than their effect in the short run. This economic result can be explained by the structure of the Islamic bank financing that marginalizes the profit-and-loss sharing (PLS)-based instruments. This turns out to be consistent with the economic reality in Malaysia, as the Islamic banks engage much more in non-participatory activities whose impact is, generally, of short term.
Social implications
To improve the efficiency of the Malaysian Islamic banks as financial inter-mediaries that facilitate the capital accumulation and the economic growth, the paper suggests to strengthen the weight of the PLS-based instruments in the loan portfolios of the Malaysian Islamic banks. This may reduce inequalities and improve economic opportunities for people who have a high potential to contribute to the capital accumulation and the creation of the value-added.
Originality/value
The contribution of this paper is two-fold. On the one hand, it provides a further contribution to the rare empirical literature relative to the impact of the Islamic finance on growth by determining the elasticity of economic growth with respect to Islamic bank financing in Malaysia. On the other hand, and to the best of the authors’ knowledge, this paper remains the first to correctly resort to the error correction model in determining this elasticity.
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Vishal Ashok Wankhede, S. Vinodh and Jiju Antony
To achieve changing customer demands, organizations are striving hard to embrace cutting-edge technologies facilitating a high level of customization. Industry 4.0 (I4.0…
Abstract
Purpose
To achieve changing customer demands, organizations are striving hard to embrace cutting-edge technologies facilitating a high level of customization. Industry 4.0 (I4.0) implementation aids in handling big data that could help generate customized products. Lean six sigma (LSS) depends on data analysis to execute complex problems. Hence, the present study aims to empirically examine the key operational characteristics of LSS and I4.0 integration such as principles, workforce skills, critical success factors, challenges, LSS tools, I4.0 technologies and performance measures.
Design/methodology/approach
To stay competitive in the market and quickly respond to market demands, industries need to go ahead with digital transformation. I4.0 enables building intelligent factories by creating smart manufacturing systems comprising machines, operators and information and communication technologies through the complete value chain. This study utilizes an online survey on Operational Excellence professionals (Lean/Six Sigma), Managers/Consultants, Managing Directors/Executive Directors, Specialists/Analysts/Engineers, CEO/COO/CIO, SVP/VP/AVP, Industry 4.0 professionals and others working in the field of I4.0 and LSS. In total, 83 respondents participated in the study.
Findings
Based on the responses received, reliability, exploratory factor analysis and non-response bias analysis were carried out to understand the biasness of the responses. Further, the top five operational characteristics were reported for LSS and I4.0 integration.
Research limitations/implications
One of the limitations of the study is the sample size. Since I4.0 is a new concept and its integration with LSS is not yet explored; it was difficult to achieve a large sample size.
Practical implications
Organizations can utilize the study findings to realize the top principles, workforce skills, critical success factors, challenges, LSS tools, I4.0 tools and performance measures with respect to LSS and I4.0 integration. Moreover, these operational characteristics will help to assess the organization's readiness before and after the implementation of this integration.
Originality/value
The authors' original contribution is the empirical investigation of operational characteristics responsible for I4.0 and LSS integration.