Haitham Al‐Zoubi and Bashir Bashir Kh.Al‐Zu’bi
The purpose of this paper is to empirically examine the market efficiency, asymmetric effect and time varying risk–return relationship for daily stock return of Amman Stock…
Abstract
Purpose
The purpose of this paper is to empirically examine the market efficiency, asymmetric effect and time varying risk–return relationship for daily stock return of Amman Stock Exchange (ASE).
Design/methodology/approach
The Box–Jenkins selection model is used to determine the stochastic process of equity returns; the exponential generalized autogressive conditional heteroscedesticity (EGARCH) and threshhold autoregressive conditional heteroscedasticity in mean are utilized to measure the persistent of volatility, risk–return relationship and volatility magnitude to bad and good news.
Findings
The univariate statistics show negative skewness, excess kurtosis and deviation from normality for the ASE index. The results show that stock return follows an ARMA (1, 1) stochastic process with significant serial correlation, implying stock market inefficiency. The results also show significant positive relationship between equity return and risk in the ASE, which is consistent with the portfolio theory. The EGARCH model suggests the existence of the asymmetric effect.
Originality/value
The paper offers insights into market efficiency, time‐varying volatility and asymmetric effect in the ASE.
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Haitham A. Al‐Zoubi, Aktham Maghyereh, Bashir Al‐Zu'bi and M. Ishaq Bhatti
The purpose of this paper is to theoretically describe the role of Zakah as a vital tool of fiscal policy in achieving Pareto optimality.
Abstract
Purpose
The purpose of this paper is to theoretically describe the role of Zakah as a vital tool of fiscal policy in achieving Pareto optimality.
Design/methodology/approach
The paper sets a general equilibrium model that describes the long‐run convergence to a Pareto optimal allocation in a theoretical Islamic economy. The model is based on Diamond criteria where the social planner maximizes the utility of all generations subject to the output of the economy.
Findings
While the government in the capitalist economy issues debt like T‐bills and government bonds to insure Pareto optimality, the paper shows, theoretically, that constructing a Zakah fund can take the role of issuing debt in financial markets. Furthermore, the paper shows that Islamic economy converges to Pareto optimality by its nature without issuing debt in the financial market.
Research implications
This result is very important in describing the strength of the theoretical Islamic economics in achieving dynamic efficiency with least possible interventions. More importantly, the results would help the government in setting an optimal tax rate that insures Pareto efficiency without issuing debt.
Originality/value
This paper attempts to model the actual effects of Zakah as a fiscal policy tool in wealth redistribution in an Islamic economy. In addition, the paper opens a wide channel for future research in conducting monetary and fiscal policy in a government's debt tools economies.
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Aktham I. Maghyereh and Haitham A. Al‐Zoubi
In this paper, the aim is to investigate the tail behavior of daily stock returns for three emerging stock in the Gulf region (Bahrain, Oman, and Saudi Arabia) over the period…
Abstract
Purpose
In this paper, the aim is to investigate the tail behavior of daily stock returns for three emerging stock in the Gulf region (Bahrain, Oman, and Saudi Arabia) over the period 1998‐2005. In addition, the aim is also to test whether the distributions are similar across these markets.
Design/methodology/approach
Following McNeil and Frey, Wanger and Marsh, and Bystrom, extreme value theory (EVT) methods are utilized to examine the asymptotic distribution of the tail for daily returns in the Gulf region. As a first step and to obtain independent and identically distributed residuals series, the returns are prefiltered with an ordinary time‐series model, taking into account the observed Gulf return dynamics. Then, the “Peaks‐Over‐Threshold” (POT) model is applied to estimate the tails of the innovational distribution.
Findings
Not only is the heavy tail found to be a facial appearance in these markets, but also POT method of modelling extreme tail quantiles is more accurate than conventional methodologies (historical simulation and normal distribution models) in estimating the tail behavior of the Gulf markets returns. Across all return series, it is found that left and right tails behave very different across countries.
Research limitations/implications
The results show that risk models that are able to exploit tail behavior could lead to more accurate risk estimates. Thus, participants in the Gulf equity markets can rely on EVT‐based risk model when assessing their risks.
Originality/value
The paper extends previous studies in two aspects. First, it extends the classical unconditional extreme value approach by first filtering the data by using AR‐FIAPARCH model to capture some of the dependencies in the stock returns, and thereafter applying ordinary extreme value techniques. Second, it provides a broad analysis of return dynamics of the Gulf markets.
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Aktham I. Maghyereh and Haitham A. Al‐Zoubi
The paper aims to investigate the relative performance of the most popular value‐at‐risk (VaR) estimates with an emphasis on the extreme value theory (EVT) methodology for seven…
Abstract
Purpose
The paper aims to investigate the relative performance of the most popular value‐at‐risk (VaR) estimates with an emphasis on the extreme value theory (EVT) methodology for seven Middle East and North Africa (MENA) countries.
Design/methodology/approach
The paper calculates tails distributions of return series by EVT. This allows computing VaR and comparing the results with Variance‐Covariance method, Historical simulation, and ARCH‐type process with normal distribution, Student‐t distribution and skewed Student‐t distribution. The paper assesses the performance of the models, which are used in VaR estimations, based on their empirical failure rates.
Findings
The empirical results demonstrate that the return distributions of the MENA markets are characterized by fat tails which implies that VaR measures relies on the normal distribution will underestimate VaR. The results suggest that the extreme value approach, by modeling the tails of the return distributions, are more relevant to measure VaR in most of the MENA.
Research limitations/implications
The results show that the use of conventional methodologies such as the normal distribution model to estimate the financial market risk in MENA countries may lead to faulty estimation of risk in the world of volatile markets.
Originality/value
The paper tried to fill the gap in the literature and perform an evaluation of the relative performance of the most popular VaR estimates with an emphasis on the EVT methodology in seven MENA emerging stock markets. A comparison of the performance between EVT and other VaR techniques should support the decision whether more or less sophisticated methods are appropriate in order to assess stock market risks in the MENA countries.
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Jameela Al-Salman, Sarah Alghareeb, Eman Alarab, Haitham Jahrami and William B. Grant
This study aims to investigate the association between vitamin D measured in serum 25 hydroxyvitamin D [25(OH)D] and outcomes of COVID-19 patients in Bahrain. This paper…
Abstract
Purpose
This study aims to investigate the association between vitamin D measured in serum 25 hydroxyvitamin D [25(OH)D] and outcomes of COVID-19 patients in Bahrain. This paper hypothesized that lower serum 25(OH)D concentration in COVID 19 patients is associated with longer viral clearance time (VCT) and higher risk of admission to the intensive care unit (ICU).
Design/methodology/approach
This study used a retrospective cohort design of patients admitted to Salmaniya Medical Complex, Manama, Kingdom of Bahrain, from February to June 2020. This study included patients with positive, confirmed COVID-19 diagnosis made using reverse transcription-polymerase chain reaction (RT-PCR), World Health Organization diagnosis manual and local diagnostic guidelines. Primary outcome measures were: VCT measured as the time in days between the first positive RT-PCR test result and the first of two consecutive negative RT-PCR results on recovery and admission need to ICU.
Findings
A total of 450 patients were analyzed; mean age was 46.4 ± 12.4 years and 349 (78%) were men. Mean 25(OH)D concentration was 41.7 ± 23.7 nmol/L for the entire sample. Severe vitamin D deficiency (<25 nmol/L) was present in 20%, mild-to-moderate deficiency (25–50 nmol/L) in 55%, insufficiency (50 to <75 nmol/L) in 18% and sufficiency (=75 nmol/L) in 7%. The mean VCT was 12.9 ± 8.2 days. Multivariate linear regression analysis showed that severe vitamin D deficiency was associated with longer VCT, with an average of three extra days after correction for age and sex (β = 3.1; p = 0.001). Multinomial regression analysis showed that vitamin D deficiency was associated with an 83% increased risk of admission to ICU after correction for age and sex (odds ratio = 1.8; p = 0.03).
Originality/value
The results showed that severe vitamin D deficiency was associated with longer recovery time from COVID-19. Low serum 25(OH)D is associated with increased need for critical care in an ICU. Large-scale randomized controlled trials are necessary to further investigate the complex association between vitamin D and COVID-19 infection.