Hela Mzoughi

Faculty of Economics and Management of Tunis-UTM

Given the increasing prominence of digital assets such as Bitcoin and Ethereum, it is crucial to understand their influence on the broader financial system. In this perspective, our investigation focuses on the impact of cryptocurrencies on financial market stability by analyzing the spillover effects using systemic risk measures, specifically Valu...

This paper employs wavelet coherence, Cross-Quantilogram (CQ), and Time-Varying Parameter Vector-Autoregression (TVP-VAR) estimation strategies to investigate the dependence structure and connectedness between investments in artificial intelligence (AI) and eight different energy-focused sectors. We find significant evidence of dependence and conne...

This paper employs wavelet coherence, Cross-Quantilogram (CQ), and Time-VaryingParameter Vector-Autoregression (TVP-VAR) estimation strategies to investigatethe dependence structure and connectedness between investments in artificialintelligence (AI) and eight different energy-focused sectors. We find significant evi-dence of dependence and connect...

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...

In this paper, we employ an event study approach to empirically investigate the reaction of the Bitcoin market to the launch of the Bahamas central bank digital currency (SANDDollar) and the Nigeria central bank digital currency (eNaira). Following event windows, the analysis of abnormal returns and their cumulative abnormal returns showed that the...

Purpose This paper aims to empirically investigate the extent to which interdependence in markets may be driven by COVID-19 effects. Design/methodology/approach The current global COVID-19 pandemic is adversely affecting the oil market (West Texas Intermediate) and crypto-assets markets. Findings The authors find that the dependence structure cha...

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...

The economic impact of the containment measures enacted in most countries as a result of the health crisis caused by the COVID-19 pandemic is unprecedented. Within this context, the main purpose of this analysis is to explore the impact of COVID-19 on the volatility transmission among American, European, and Chinese stock, energy, and commodity mar...

This paper analyzes the dependence among clean energy sectors and oil price uncertainty using the NASDAQ OMX Green Economy Index for the Building, Economy, Edge, Financial, Technology and Transport sectors in the United States. First, we use the wavelet and Cross-Quantilogram (CQ) techniques to examine the directional predictability from oil price...

This paper aims to build an incentive to mobilize the financial resources needed to accelerate the transition to a climate resilient economy. To this end, we examine the dependence structure using copulas theory and then the risk transmissions between green financial products and the energy commodity market index. This methodology provides opportun...

This paper examines the dynamic relationship between green financial market and investor sentiment indices (mainly the Chicago Board Options Exchange's Volatility Index and the Bitcoin Misery Index) using daily spot prices going from October, 13 2014 to September, 11 2020. By implementing the Vector Error Correction Model, our results highlighting...

Cryptocurrencies are witnessing a growing interest from investors and media. They are increasingly perceived as a new class of assets through added benefits, like hedging capabilities and diversification. However, this does not preclude from the fact that cryptocurrencies can be risky assets. Within such a context, diverse studies were carried out...

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 paper examines the interactions among regional green energy equity markets and their dependence and connectedness with both uncertainties and price fluctuations in the global financial and crude oil markets. Using wavelets and spillovers based on a Time-Varying Parameter VAR model with stochastic volatility, we investigate the lead-lag relatio...

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...

This paper examines the impact of COVID-19 pandemic on oil prices, CO2 emissions and stock market volatility over the period January 22, 2020-March 30,2020 using an unrestricted VAR. We demonstrate that although the increasing number of COVID-19 infections caused a decrease in the price of crude oil, the negative response of the oil market is short...

This paper aims to select a performance measure by establishing a succession of substitute performance measures. We attempt to examine diversification effect using two measures of dependence: correlations and copulas in the Sharpe performance context and analyze the diversification effects on various computed Sharpe ratio in the same empirical stud...

The main objective of our study is to examine co-movement and price spillover effects between Bitcoin, fiat currencies, and financial markets. We find that (1) Bitcoin couples with fixed-income and stock markets rather than energy commodity markets. The results confirm that Bitcoin is affected by substantial price spillovers from fixed-income and s...

This paper empirically investigates the extent to which classical Markowitz’s frontier instability may be driven by conditional short and long range dependence in volatility. We resort to the Mean-Variance program in the portfolio management using concordance measures and copula function. Then, we propose a new approach based on CVaR-Copula. The em...

The article investigates the long memory effect on risk measures such as Value at Risk (VaR) and Conditional Value at Risk (CVaR). In addition to a more realistic representation of data, our results affirm that much more reliable conclusions will certainly be drown if a more classes of Copula functions can be used.

This paper focuses on the analysis of long-memory properties of copula-based time series. We empirically investigate the relation between copulas parameter modeling temporal dependence and dependence structure, using simulated and financial series. Our results prove the existence of a positive relation relying two Markov process to their dependence...