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Publication date: 10 October 2024

Hind Alnafisah, Sahar Loukil, Azza Bejaoui and Ahmed Jeribi

This paper aims to analyze the connectedness between the natural gas, wheat, gold, Bitcoin and Gulf Cooperation Council (GCC) stock indices with the advent of exogenous and…

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Abstract

Purpose

This paper aims to analyze the connectedness between the natural gas, wheat, gold, Bitcoin and Gulf Cooperation Council (GCC) stock indices with the advent of exogenous and unexpected shocks related to the health and political crises.

Design/methodology/approach

For this end, a quantile-based connectedness method is applied on returns of different assets during the period 01/01/2016–05/01/2024.

Findings

The empirical findings display that the existence of time-varying connectedness between markets is well-documented and seems to be stronger during the COVID-19 pandemic and the Russia–Ukraine war. The connectedness is fostered with extreme events, showing that shocks propagate increasingly during turbulent periods compared with calm ones. The connectedness is event-dependent.

Practical implications

The empirical results offer insightful information for policymakers and investors about the contagion effect and volatility spillover among GCC stock markets and other asset classes during different crises.

Originality/value

This study examines different asset classes’ dynamism connection with sock prices in the GCC countries to better apprehend the (dis)similarities between different asset classes in terms of information transmission. It also investigates the connectedness structure among different asset classes under extreme market conditions and how spillover effects across GCC markets and other ones can be time- and event-dependent.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 17 no. 6
Type: Research Article
ISSN: 1753-8394

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Article
Publication date: 18 November 2019

Azza Bejaoui, Salim Ben Sassi and Jihed Majdoub

In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities.

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Abstract

Purpose

In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities.

Design/methodology/approach

In this paper, the authors apply the MS-ARMA model on daily returns of Bitcoin (19/04/2013-13/02/2018), Ripple (05/08/2013-14/02/2018), Litcoin (29/04/2013-14/02/2018) and Ethereum (08/02/2015-14/02/2018). This model allows capture of the nonlinear structure in both the conditional mean and the conditional variance of cryptocurrency returns.

Findings

All the cryptocurrency markets show regime switching in the return-generating process. Market dynamics seem to be governed by two different states which differ from one cryptocurrency market to another in terms of mean return, volatility and interstate dynamics. These findings can be explained by investors’ behavior, i.e. speculative trading and herding behavior. By choosing to participate (or imitating some investors) in some cryptocurrency markets (in particular Bitcoin market), they affect the price movements and therefore the market dynamics in the short run.

Practical implications

Identifying the different market states provides information for investors to make more accurate portfolio decisions in the virtual market and follow the market timing strategy.

Originality/value

This paper attempts to analyze potential nonlinear structure in cryptocurrencies returns and analyze if there is a difference between the cryptocurrencies market cycles. So, the search for congruent and adequate specification to reproduce the stock returns dynamics in the virtual market still remains the concern of several empirical studies. This research not only examines the behavior of stock returns in the cryptocurrencies’ market but also highlights the existence of nonlinearity propriety as a stylized fact.

Details

Studies in Economics and Finance, vol. 37 no. 4
Type: Research Article
ISSN: 1086-7376

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