Search results
1 – 4 of 4Amir Saadaoui, Kais Saidi and Mohamed Kriaa
This paper aims at looking into the transmission of shocks between bond and oil markets using a bivariate GARCH (BEKK and DCC) model. As lots of financial assets have been…
Abstract
Purpose
This paper aims at looking into the transmission of shocks between bond and oil markets using a bivariate GARCH (BEKK and DCC) model. As lots of financial assets have been exchanged due to these index returns, it is essential for financial market participants to figure out the mechanism of volatility transmission through time and via these series for the purpose of taking optimal decisions of portfolio allocation. The outcomes drawn reveal an important volatility transmission between sovereign bond and oil indices, with great sensitivity during and after the subprime crisis period.
Design/methodology/approach
In this context, we propose our hypotheses. Indeed, our study aims to see whether the financial crisis has been responsible for the sharp drop in oil prices since October 2008. To this end, we suggest, in this paper, the empirical study of the shock transmission between the bond and oil markets, using BEK-GARCH and DCC models. To our knowledge, this is the first document using the BEKK-GARCH and the DCC models in studying the shock transmission between a sovereign bond and oil indices.
Findings
We have noticed that in the event of a disruption in the bond market, oil prices respond to these shocks in the short term. It has also been emphasized, however, that this relationship has exacerbated if the period has extended. This makes us conclude that the financial market situation affects the oil price only throughout the crisis period; and that this situation is causally significant only in the event of a severe crisis, such as those of subprime and sovereign debt.
Originality/value
The global financial system has been going through an acute crisis since mid-2007. This crisis, initially occurred only in the US real estate market, progressively affects the global financial system, and is now becoming a general economic crisis. The objective of this work is to analyze the effects of the current financial market disturbance on oil prices based on econometric models in order to promote the proper functioning of this study.
Details
Keywords
Amir Saadaoui, Anis Elammari and Mohamed Kriaa
This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. This study analyses…
Abstract
Purpose
This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. This study analyses the liquidity of bonds in various emerging bond markets using a sample of nine countries: Argentina, Mexico, Peru, Hungary, Poland, Spain, Turkey, Hong Kong and Greece. The sample includes daily data on sovereign bonds that go from July 2009 to July 2017. The main focus is on the period before and after the sovereign debt crisis. This study notes that the bond liquidity is affected due to the sign of the rating granted by the rating agencies for each country.
Design/methodology/approach
This study aims to question the sources of liquidity problem of sovereign bonds issued by the emerging countries. The study’s database consists of daily data of all nine emerging countries for the period from July 2009 to July 2017. Panel data were collected from the Datastream database.
Findings
This study first directly tests the information content of bond ratings announcements and their effect on bond market liquidity. Next, the impact of rating changes on sovereign bond liquidity around the rating announcements is studied. Rating changes can affect sovereign bond's price, trading and liquidity around the announcement date. In particular the rating changes that move the bonds out of the investment grade category can elicit selling pressure or even fire sale of the fallen angels.
Originality/value
This research aims to present data on the prices of sovereign bonds that react to changes in credit rating by studying the price movements around the announcement of changes in credit rating. The literature is very rich in studies on credit rating changes on stocks and corporate bonds, but this study is perhaps the first attempt on sovereign bonds.
Details
Keywords
Elham Ali Shammar and Ammar Thabit Zahary
Internet has changed radically in the way people interact in the virtual world, in their careers or social relationships. IoT technology has added a new vision to this process by…
Abstract
Purpose
Internet has changed radically in the way people interact in the virtual world, in their careers or social relationships. IoT technology has added a new vision to this process by enabling connections between smart objects and humans, and also between smart objects themselves, which leads to anything, anytime, anywhere, and any media communications. IoT allows objects to physically see, hear, think, and perform tasks by making them talk to each other, share information and coordinate decisions. To enable the vision of IoT, it utilizes technologies such as ubiquitous computing, context awareness, RFID, WSN, embedded devices, CPS, communication technologies, and internet protocols. IoT is considered to be the future internet, which is significantly different from the Internet we use today. The purpose of this paper is to provide up-to-date literature on trends of IoT research which is driven by the need for convergence of several interdisciplinary technologies and new applications.
Design/methodology/approach
A comprehensive IoT literature review has been performed in this paper as a survey. The survey starts by providing an overview of IoT concepts, visions and evolutions. IoT architectures are also explored. Then, the most important components of IoT are discussed including a thorough discussion of IoT operating systems such as Tiny OS, Contiki OS, FreeRTOS, and RIOT. A review of IoT applications is also presented in this paper and finally, IoT challenges that can be recently encountered by researchers are introduced.
Findings
Studies of IoT literature and projects show the disproportionate importance of technology in IoT projects, which are often driven by technological interventions rather than innovation in the business model. There are a number of serious concerns about the dangers of IoT growth, particularly in the areas of privacy and security; hence, industry and government began addressing these concerns. At the end, what makes IoT exciting is that we do not yet know the exact use cases which would have the ability to significantly influence our lives.
Originality/value
This survey provides a comprehensive literature review on IoT techniques, operating systems and trends.
Details
Keywords
Bassam Abdallah, Mahmoud Kakhia and Walaa Zetoune
This study aims to carry out the deposition of zinc sulfide (ZnS) thick films on glass and silicon (100) substrates using radio frequency (RF) magnetron sputtering method at…
Abstract
Purpose
This study aims to carry out the deposition of zinc sulfide (ZnS) thick films on glass and silicon (100) substrates using radio frequency (RF) magnetron sputtering method at different powers. Film structure has been analyzed by X-ray diffraction (XRD); the patterns showed that the films possesses a cubic structure with (111) preferred orientation. Photoluminance (PL) intensity of the films has been related to the crystallinity, which is varied with the power.
Design/methodology/approach
Scanning electron microscope (SEM) images have been used to discover the films’ morphology. The stoichiometry has been confirmed by energy dispersive X-ray spectroscopy (EDX) analysis. MicroRaman spectroscopy has been used to validate the film structure. Gas-sensing studies were carried out by means of a static gas chamber to sense acetone, ethanol, methanol, H2O and NH3 vapor in air ambient.
Findings
ZnS has a stoichiometric and cubic structure. The band gaps and photoluminance intensity of the films are correlated with the crystallinity, which is varied with the power. The EDX analysis approved the stoichiometry of the prepared films. Acetone, ethanol, humidity (H2O), methanol and NH3 vapor gases were used to justify the sensing properties at 25°C of the thickest ZnS film.
Originality/value
High-quality ZnS films have been obtained at different powers without annealing. Gases sensing properties at 25°C are justified for deposited ZnS films using acetone, ethanol, humidity (H2O), methanol and NH3 vapor gases. It reveals good response for NH3 and humidity vapors at room temperature; the sensing functioning at this temperature was attractive in recent research.
Details