Amine Ben Amar

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Verified

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• Ph.D.
• Associate Professor in Financial Economics at Mohammed VI Polytechnic University

This paper investigates the connectedness as well as the cross-herding behavior among the U.S. and European natural gas futures markets. Daily data of U.S. and European natural gas futures prices for maturities ranging from 1 to 60 months were used. The connectedness analysis emphasizes a weak level of integration between these two geographically d...

We conduct a portfolio analysis using three strategies: (i) minimum-variance, (ii) minimum-connectedness, and (iii) minimum-frequency-connectedness, aiming to offer practical diversification recommendations for investors in Gulf Cooperation Council (GCC) countries. Utilizing daily data spanning from 2006 to 2022, we present several stylized facts r...

The objective of this paper is to examine the structure as well as the performance of different investment strategies using two asset classes (stocks and commodities) and different portfolio methods. More specifically, we construct different portfolios using three diversification strategies—the traditional minimum-variance portfolio strategy, the m...

This paper provides a closed-form market equilibrium formula consolidating informational imperfections and investors' beliefs about assets. Based on Merton's incomplete information model, we characterize the equilibrium expected excess returns vector with asymmetric information. We then derive the corresponding market portfolio as the solution to a...

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 trans...

Most of the literature on herding behavior focuses on purely financial markets. However, there remains a gap in our understanding of herding behavior in commodity futures markets across various maturities, as this strand of the literature is still limited and inconclusive. This paper extends the academic literature by focusing on the herding behavi...

The outbreak of the war in Ukraine has had a profound and far-reaching impact on the global economy, with notable repercussions observed in stock markets, and particularly pronounced effects evident in commodities markets. This paper examines the connectedness network among 27 NATO stock markets, Russian stock market and a set of three commodity in...

Purpose This study aims to investigate the dependence structure and volatility spillovers among two strategic commodities (crude oil and gold) and a set of Islamic and conventional regional stock market indices, while examining the Ramadan effect Design/methodology/approach The empirical strategy consists of two complementary measures of dependenc...

Using the TYDL causality test, this paper attempts (i) to investigate the existence of shift contagion among a large spectrum of financial markets during recent stress and stress-free periods and (ii) to propose a new approach of portfolio management based on the minimization of the causal intensity. During the COVID-19 crisis period, the shift con...

Quality air to breathe is the basic necessity for an individual and in recent times, emission from various sources caused by human activities has resulted in substantial degradation in the air quality. This work focuses to study the inadvertent effect of COVID-19 lockdown on air pollution. Pollutants' concentration before-and during-COVID-19 lockdo...

This study looks at the best portfolio strategy for mitigating the risk associated with the MSCI ACWI & Frontier Markets Index, as well as the volatility spillovers between commodity markets and certain financial markets. Therefore, we empirically explore the connectedness among three financial indicators and five product groups using the framework...

Purpose The purpose of this study is to understand the profit-sharing structure at equilibrium of the two-tier mudharaba contract in a pure Islamic banking system and then in a dual banking system. Design/methodology/approach This paper aims to better understand the profit-sharing structure at the equilibrium of the two-tier mudharaba. It first as...

In this article, we introduce a new approach to investigate the asymmetric connectedness between different commodity markets. Indeed, we build on Barunik et al. (2016) and extend the connectedness framework of Diebold and Yilmaz (2012) by incorporating the cyclical components of the underlying variables. This new approach allows us to capture possi...

Purpose This study aims to investigate the time-frequency comovement between wheat futures traded on three US markets (Chicago Board of Trade (CBOT), Kansas City Board of Trade (KCBOT) and Minneapolis Grain Exchange (MGE)) at different maturities and a global equity index. Design/methodology/approach As they allow to trace transitional shifts over...

Using the Toda-Yamamoto-Dolado-Lütkepohl measure of causality, namely the TYDL procedure, which is reliable whatever the variables' integration of order, we attempt to study the existence of contagion effect between oil and stock prices of a panel of banks belonging to four OPEC countries (Kuwait, Saudi Arabia, U.A.E and Venezuala). The empirical f...

The current global COVID-19 pandemic is adversely affecting financial markets, including commodities, conventional stocks, and Islamic stocks. This paper empirically investigates the extent to which COVID-19 effects may drive interdependence in markets. We fit copulas to pairs of returns before and during the ongoing epidemic shock, analyze the obs...

In this paper we investigate cross-commodity futures markets connectedness over different nearest-to-maturities. We thus implement time and time-frequency estimations for two constructed baskets of commodities, classified based on common delivery months. Using daily data spanning the period 1995–2020, we provide a set of stylized facts on the exten...

Even though a significant strand of the literature has examined the transmission mechanisms of monetary policy in a conventional framework, very little research has directly addressed the role of Islamic banks in this transmission. Using a TVP-VAR model with stochastic volatilities, this paper attempts to fill this gap in the literature by examinin...

This study investigates volatility spillover effects among oil prices and a set of major and minor U.S. electricity corporations’ stock prices from 1st January 2019 to 31 August 2020. Based on the Diebold and Yilmaz’s (2012) spillover measure, our results show that, whether before or during COVID-19 pandemic, volatility spillovers of the U.S. elect...

This article examines the consequences of the COVID‐19 crisis on the interdependencies between emerging and advanced economies. Using daily market index data from 22 developed and emerging markets, we develop a combination of statistical methods based on Diebold and Yilmaz spillover index and Toda–Yamamoto and Dolado and Lütkepohl causality approac...

Using a long span of data (from 1751 to 2016), this paper empirically investigates the relationship between carbon dioxide (CO 2) emissions and economic growth (real GDP per capita) in the United Kingdom. The empirical results provide strong support for the existence of an Environmental Kuznets Curve (EKC) in the UK, i.e., an inverted U-shaped rela...

This paper proposes a new measure of epidemic uncertainty combining three dimensions related to the SARS-CoV-2 disease ‒ (i) the total COVID-19 confirmed cases, (ii) the total COVID-19 confirmed deaths and (iii) the total COVID-19 recovered cases ‒ to show how financial and macroeconomic variables respond to epidemic risk. Using the cross-wavelet c...

# Call for chapters # Dear Authors, We welcome theoretical and empirical contributions that enhance the understanding of the relationship between oil and other commodity markets.

In this paper, a spillover index measure is used to explore the extent of the connectedness among a set of six regional stock markets over nearly 8 years from 25 June 2012, to 11 May 2020. Results show that financial markets reacted in largely the same way to the significant economic uncertainty caused by COVID-19, and provide striking evidence of...

Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts an empirical investigation of the spillovers and co-movements among commodity and stock prices in the major oil-producing and consuming countries. While our results point to the existence of a s...

Using the Toda-Yamamoto-Dolado-Lütkepohl causality test, namely the TYDL procedure, which is reliable whatever the variables’ integration order, this study attempts to investigate the existence of shift contagion effect between a set of global, regional, country and U.S. sectoral indices during the COVID-19 crisis. The empirical findings not only r...

Using multivariate continuous wavelet tools this paper empirically investigates the strength and the magnitude of the relation between two measures of uncertainty, namely economic policy uncertainty index and implied volatility index, and stock market returns in Europe and United States. The multiple wavelet coherency not only highlights a signific...

Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time- frequency tool (Torrence and Webster, 1999), this paper attempts to empirically investigate the spillovers and co-movements among commodity and stock prices of major oil-producing and consuming countries. While our results point to the existence of a signifi...

Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous timefrequency tool (Torrence and Webster, 1999), this paper attempts an empirical investigation of the spillovers and co-movements among commodity and stock prices in the major oil-producing and consuming countries. While our results point to the existence of a si...

Using a time-varying VAR model with drifting parameters and stochastic volatilities, this paper attempts to empirically investigate the monetary policy transmission in Saudi Arabia, as well as the role of Islamic banks in this transmission and the interactions between Islamic and conventional banks over a period of approximately 25 years. The findi...

La thésaurisation est explicitement interdite en Islam. Toutefois, le Coran, principale source de régulation de l'activité économique dans la société musulmane, a paru à une époque caractérisée par une contrainte monétaire rigide. Cette recherche montre que l'évolution de l'environnement technico-institutionnel, notamment l'apparition des banques,...

Understanding the interrelationships between Islamic and conventional banks in dual financial systems is crucial for monetary policy decision makers. Using the wavelet coherence approach, this paper empirically investigates the dependency between the LIBOR and an Islamic benchmark rate, namely the IIBR (Islamic Interbank Benchmark Rate). This appro...

Using a structural vector autoregressive models, this paper empirically investigates the effectiveness of monetary policy transmission in Saudi Arabia in the presence of Islamic banks over the period 1990 Q4 – 2013 Q3. The results indicate that bank lending channel is relatively effective in influencing non-oil private output, but less effective in...

Purpose – The purpose of this paper is to investigate empirically the impact of the Islamic Bank Financing on Malaysia’s economic growth over the period 2000Q1-2011Q4. Design/methodology/approach – A neoclassical production function augmented by some indicators of Islamic bank finance has been the theoretical framework for this paper’s empirical i...