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Article
Publication date: 31 January 2020

Abdullah Alqahtani, Amine Lahiani and Ali Salem

This paper aims to investigate the transmission of international oil prices to the stock market indices of the Gulf Cooperation Council (GCC) countries over the weekly period from…

322

Abstract

Purpose

This paper aims to investigate the transmission of international oil prices to the stock market indices of the Gulf Cooperation Council (GCC) countries over the weekly period from April 07, 2004, to August 15, 2018.

Design/methodology/approach

The authors use the augmented Dickey–Fuller (ADF) unit root test to check the order of integration of data series. Afterward, the authors use the ordinary least square method to determine the spillover of international oil prices to the stock markets of GCC countries while accounting for the time-varying volatility of oil and stock market returns through the generalized autoregressive conditional heteroskedasticity. Then, the Johansen (1991) cointegration test is used to determine the long-run equilibrium relationship. Finally, the Granger (1969) causality test is used to determine the short-run causal effects between oil and the stock markets returns of GCC countries.

Findings

The findings indicate that the stock markets of GCC countries are efficient and respond significantly to international oil prices and evidence of high volatility associated with oil returns.

Originality/value

Investors and portfolio managers should consider the association between international oil prices and GCC stock returns when allocating their funds for diversification strategy. Moreover, policymakers should better understand the behavior of local stock markets.

Details

International Journal of Energy Sector Management, vol. 14 no. 4
Type: Research Article
ISSN: 1750-6220

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Article
Publication date: 1 April 2019

Amine Lahiani

The purpose of this paper is to explore the effect of oil price shocks on the US Consumer Price Index over the monthly period from 1876:01 to 2014:04.

343

Abstract

Purpose

The purpose of this paper is to explore the effect of oil price shocks on the US Consumer Price Index over the monthly period from 1876:01 to 2014:04.

Design/methodology/approach

The author uses the Bai and Perron (2003) structural break test to split the data sample into sub-periods delimited by the computed break dates. Afterwards, the author uses the quantile treatment effects over the full sample and then, by including sub-periods dummies to accommodate the selected structural breaks that drive the relationship between inflation and oil price growth.

Findings

The findings include a decreased transmission effect of oil price changes on inflation in recent years; a varied elasticity of inflation to the growth rate of oil prices across the distribution; and, finally, evidence of asymmetry in the relationship between the growth rate of oil prices and inflation, with a higher transmission mechanism for decreasing rather than increasing oil prices.

Practical implications

Policymakers should remain alert to monitoring potential inflation increases and should take precautionary measures to anchor inflation expectations, because inflation reacts differently to positive and negative oil price shocks. Moreover, authorities should consider the asymmetric reaction of inflation to oil price shocks to adopt an appropriate monetary policy strategy to achieve the price stability target.

Originality/value

The paper used a quantile regression model with structural breaks, which has not yet been used in the literature.

Details

International Journal of Energy Sector Management, vol. 13 no. 1
Type: Research Article
ISSN: 1750-6220

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Article
Publication date: 19 July 2022

Ameni Mtibaa, Amine Lahiani and Foued badr Gabsi

Departing from the expansionary austerity literature, this study aims at examining how fiscal consolidation affects the economic growth in Tunisia using annual data over the…

325

Abstract

Purpose

Departing from the expansionary austerity literature, this study aims at examining how fiscal consolidation affects the economic growth in Tunisia using annual data over the period 1970–2018.

Design/methodology/approach

To revisit the fiscal consolidation-economic growth nexus, the ambiguous empirical findings in previous literature make useful the adoption of alternative econometric techniques. The authors use an extended nonlinear autoregressive distributed lag (ARDL) cointegration approach developed by Shin et al. (2014) and the Diks and Panchenko's (2006) nonlinear Granger causality test. Furthermore, a traditional approach based on changes in cyclically-adjusted primary balance was applied to define the fiscal consolidation episodes in Tunisia.

Findings

The empirical evidence reveal that fiscal adjustment in Tunisia may hurt the economy, both in the short- and long-run, through its contractionary effect on economic growth. Another important finding concerns the unidirectional nonlinear Granger causality running from fiscal consolidation to economic growth.

Practical implications

Fiscal adjustment in Tunisia is found to play a prominent role in reducing public debt; but at the same time, it may be costly and not beneficial to the economy. This view corroborates with the fact that fiscal consolidation is more likely to end successfully only under specific conditions. This calls for a deeper reflection upon new insights regarding the design of fiscal adjustment in Tunisia. To reach this end, it is suggested to combine the defensive consolidation strategy with offensive components such as investment, infrastructure, education and health.

Originality/value

The existing economic analysis on fiscal policy-growth nexus in Tunisia has often identified fiscal consolidation through the use of the actual fiscal balance. With the goal of more accurate estimation, this study bridges the gap by using the cyclically-adjusted primary balance (CAPB) as a much suitable indicator to investigate the non-Keynesian effect of fiscal consolidation in Tunisia. This indicator eliminates the influence of cyclical fluctuations and many other fixed expenditures such as the interest paid on the public debt.

Details

The Journal of Risk Finance, vol. 23 no. 5
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 7 February 2022

Ahmed Ghorbel, Mohamed Fakhfekh, Ahmed Jeribi and Amine Lahiani

The paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

374

Abstract

Purpose

The paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

Design/methodology/approach

By using VAR-ADCC models and conditional value at risk (CoVaR) techniques, downside and upside risk spillovers between stock markets of G7 countries and China are analyzed before and during the COVID-19 pandemic.

Findings

The results suggested existence of a significant and asymmetrical two-way risk transmission between majority of pair markets, but the degree of asymmetry differs according to the use of the entire cumulative distributions or distribution tails. Downside and upside risk spillovers are significantly larger before the COVID-19 pandemic in all cases except between CAC 40/DAX and S&P/SSE pairs.

Originality/value

The paper used CoVaR and delta-CoVaR to investigate the downside and upside spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

Details

The Journal of Risk Finance, vol. 23 no. 2
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 9 March 2015

Mohamed El Hédi Arouri, Amine Lahiani and Duc Khuong Nguyen

This paper aims to investigate the return links and volatility transmission between five major equity markets of the Latin American region and the USA over the period 1993-2012…

502

Abstract

Purpose

This paper aims to investigate the return links and volatility transmission between five major equity markets of the Latin American region and the USA over the period 1993-2012.

Design/methodology/approach

The authors employ a multivariate vector autoregressive moving average – generalized autoregressive conditional heteroskedasticity (VAR-GARCH) methodology which allows for cross-market transmissions in both return and volatility. Moreover, we show how the obtained results can be used to design internationally diversified portfolios involving the Latin American assets and to analyze the effectiveness of hedging strategies.

Findings

The results point to the existence of substantial cross-market return and volatility spillovers and are thus crucial for international portfolio management in the Latin American region. However, the intensity of shock and volatility cross effects varies across the studied markets.

Research limitations/implications

The optimal weights and hedging ratios that we compute from the observed return and volatility spillovers, suggest that adding the Latin American assets helps improve the risk-adjusted return of the internationally diversified portfolios as well as reduce their risk exposure. For policymakers and market authorities, an increase in the level of shock interactions and volatility transmission between the US and Latin American equity markets as well as among these Latin American markets implies that the stability of the financial system in one country can be deeply affected by the disturbances in another country.

Originality/value

The authors extend the previous works on Latin American emerging markets by examining the extent of shock and volatility transmission as well as portfolio design and management from the point of view of both the US (global) and Latin American investors.

Details

European Business Review, vol. 27 no. 2
Type: Research Article
ISSN: 0955-534X

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Article
Publication date: 29 May 2024

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…

75

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.

Details

The Journal of Risk Finance, vol. 25 no. 4
Type: Research Article
ISSN: 1526-5943

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Article
Publication date: 3 March 2022

Haining Guan, Chunmei Feng, Xiaojun Xu, Weiting Sun, Jianchun Han, Dengyong Liu and Xiaoqin Diao

This study aims to investigate the influence of soy protein isolate hydrolysates (SPIH) obtained using 4 h hydrolysis under 200 MPa on proximate composition, cooking loss…

229

Abstract

Purpose

This study aims to investigate the influence of soy protein isolate hydrolysates (SPIH) obtained using 4 h hydrolysis under 200 MPa on proximate composition, cooking loss, textural properties, color, water distribution, microstructure, thiobarbituric acid reactive substance (TBARS) value and carbonyl and sulfhydryl contents of emulsion sausages.

Design/methodology/approach

Sausages with SPIHs at four concentrations (0, 1.0, 2.0 and 3.0%) were prepared, and the sausage with 0.01% butylated hydroxyanisole (BHA) was used as a positive control. Some sausages were selected for the analyses of quality characteristics and microcosmic properties. Other sausages were stored under 4 °C for 0, 7, 14, 21 and 28 days to investigate the oxidative stability.

Findings

The addition of SPIHs at various levels (0–3.0%) or 0.01% BHA did not affect the proximate composition (protein, fat and ash) of emulsion sausages. The addition of 2.0% SPIH decreased cooking loss and increased moisture content, hardness, springiness, chewiness, resilience and L* value, compared to the sausages without SPIH and with 0.01% BHA (p < 0.05). Furthermore, low-field nuclear magnetic resonance results suggested that sausages with 2.0% SPIH had the shortest T2 relaxation time. In addition, 2.0% SPIH and 0.01% BHA could inhibit the oxidation of emulsion sausages when compared with the sample without SPIH (p < 0.05). Moreover, there were no differences between sausages with 2.0% SPIH and 0.01% BHA (p > 0.05).

Originality/value

These findings confirmed that the 2.0% SPIH obtained under 200 MPa can be used as a natural additive to improve quality properties and antioxidant potential of emulsion sausages during storage.

Details

British Food Journal, vol. 124 no. 12
Type: Research Article
ISSN: 0007-070X

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