Ali Awais

• PhD Management
• Research Scholar at University of Lahore

This study investigates the tail risk connectedness between financial technology (FinTech) and artificial intelligence (AI) stocks using the Time-Varying Parameter Vector Autoregressive (TVP-VAR) model. The asymmetric slope Conditional Autoregressive Value-at-Risk (CAViaR) approach was employed to quantify tail risk. Our study period spans from Jun...

We apply a Time‐Varying Parameter Vector Auto Regressive (TVP‐VAR) connectedness approach on global assets to investigate time‐varying dynamic connectedness, portfolio performance, and hedge effectiveness during COVID‐19 and the Russia–Ukraine war. With increased connectedness and the changing role of energy and soft commodities during these two ev...

This study investigates the co-movement between the Twitter-based economic uncertainty index (TEU) and US energy stocks using the wavelet coherence method. The results reveal a homogenous negative co-movement of the TEU with the energy stocks, implying that a rise in TEU leads to declining energy stock prices. Nevertheless, a heterogeneous co-movem...

Using a panel smooth transition regression framework on a new proxy of the business cycle (BC) index and quarterly data of US bank holding companies from 1993Q1 to 2020Q1, our results provide empirical support for the theory that the BC has a nonlinear effect on liquidity creation. We find a positive and highly significant nonlinear effect of the B...

This article endeavors to reveal the asymmetric effects of the Ukraine-Russia War (URW) on various markets, including energy, metals, and agriculture. To do so, the study deploys the cross-quantilogram technique while utilizing the daily data from February 22, 2022, to October 21, 2022. The results for metal commodities determine that, owing to the...

Purpose The purpose of the paper is to investigate co-movement of major implied volatility indices and economic policy uncertainty (EPU) indices with both the health-based fear index and market-based fear index of COVID-19 for the USA and the UK to help investors and portfolio managers in their informed investment decisions during times of infectio...

The United States is the most significant economic power in the world. Therefore changes in economic indicators or economic policy of the United States will affect the whole world economy like the global financial crisis 2007-08. The first innovative study examines the effect of United States Coronavirus (COVID-19), oil, and gold prices on United S...

Purpose The purpose of this study is to investigate safe-haven properties of environmental, social and governance (ESG) stocks in global and emerging ESG stock markets during the times of COVID-19 so that portfolio managers and equity market investors could decide to use ESG stocks in their portfolio hedging strategies during times of health and ma...

Our study uses a new business cycle (BC) index and a nonlinear panel smooth transition regression model on quarterly data of 1538 bank holding companies of the United States to investigate response of capital adequacy ratios (CARs) to changes in economic activity. Our findings confirm the existence of nonlinear effects of BC on CARs. Although we us...

We use wavelet coherence analysis on global COVID-19 fear index and, soft commodities’ spot and futures prices to investigate safe-haven properties of soft commodities over the period from January 28, 2020 to April 29, 2021. Our findings show that each of the sampled soft commodities shows safe-haven behavior in one of the spot or futures markets a...

Using the daily data covering both the first and second wave of COVID-19 pandemic over the period from March 3, 2020, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMV...

This study adds to the inconclusive debate on safe-haven properties of cryptocurrencies during Covid-19 by analyzing the use of wavelet coherence framework on the global Covid-19 fear index, cryptocurrency implied volatility index (VCRIX), and cryptocurrency returns. Our findings show that a non-financial market-based proxy of market stress that re...

We apply the wavelet coherence approach to measure the comovement between daily global COVID-19 fear index (GFI) with ESG indices' returns from February 5th, 2020 to January 18th, 2021. We find a strong and positive comovement between GFI and ESG indices over the pandemic, which confirms the existence of safe-haven properties of ESG indices during...

Cyclicality of capital adequacy ratios in heterogeneous environment: a non-linear panel smooth transition regression explanation Abstract This study aims to investigate the cyclicality of capital adequacy ratios (CARs) in US bank holding companies using a new business cycle index and a non-linear panel smooth transition regression model. The sugges...

We use wavelet coherence analysis on global Covid-19 fear index and soft commodities spot and futures prices to investigate safe-haven properties of soft commodities during the period of novel Corona virus pandemic. The results show that staple food soft commodities (wheat, corn, and cocoa) and the futures on corn, cotton and cocoa possess strong p...

We use wavelet coherence analysis on global Covid-19 fear index, cryptocurrency market specific implied volatility index (VCRIX) and cryptocurrency returns to investigate safe-haven properties of cryptocurrencies during Covid-19 pandemic. The findings of our paper show that a non-financial market-based proxy of market stress that represents fear of...

This study aims to extend the signaling theory, by offering the buy-side sovereign wealth fund’s (SWF) affiliation as a signal of the acquisition premium. Using the mergers and acquisitions (M&As) deals’ data from Asia-Pacific, over the period from 2000-2017, the results reveal that the effect of buy-side SWF’s affiliation, on the acquisition premi...

The purpose of this study is to investigate the effect of climate changes on agriculture sector and overall economies. Our main focus is on negative effects of climate changes on GDP and agricultural value added share in GDP. For the empirical analysis, we collected data of countries adversely affected by climate changes from World Bank development...

Using annual panel data of 126 developing countries over the period from 1970 to 2016, this study investigates effects of remitted funds’ volatility and consumption on financial development. Our results, after controlling for endogeneity, document a significant adverse impact of remittances’ volatility on banking and stock market development sugges...

objectives – The purpose of this study is to test the impact of founder’s personal characteristics on investment return of entrepreneurial firms operating in Silicon Valley from 2001 to 2015. Moreover, we extended the upper echelon theory by bridging the founder characteristics and investment returns of entrepreneurial firms in Silicon Valley as th...