Huthaifa Alqaralleh

Huthaifa Alqaralleh
Mu’tah University · Economics

Ph.D Financial Econometrics

About

35
Publications
16,223
Reads
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118
Citations
Introduction
Huthaifa Alqaralleh is an Assistant Professor in Economics department, Mutah University, Jordan. Prior to joining Mutah, he was an hourly paid lecturer at Brunel University London where he obtained his PhD. His main research interests are diverse, but his main research focuses on empirical macroeconomics and finance, Modelling Economic and Financial Cycle and macro news and asset prices.
Additional affiliations
February 2018 - present
Mu’tah University
Position
  • Professor (Assistant)
February 2018 - present
Mu’tah University
Position
  • Professor (Assistant)
February 2016 - September 2017
Brunel University London
Position
  • Lecturer
Education
October 2015 - February 2018
Brunel University London
Field of study
  • Financial Econometrics
January 2011 - June 2012
Mu’tah University
Field of study
  • Economics
September 2007 - August 2010
Mu’tah University
Field of study
  • Mathematics

Publications

Publications (35)
Article
Full-text available
In this paper, we consider the dynamic features of house price in metropolises that are characterised by a high degree of internationalisation. Using a generalised smooth transition (GSTAR) model we show that the dynamic symmetry in house price cycles is strongly rejected for the housing markets considered in this paper. Further, we conduct an out-...
Article
Full-text available
Understanding the Stock Return-Inflation Nexus is a continuing concern among scholars. The main goal of the current study was to critically examine the view that the relation between stock return and inflation is potentially asymmetric. To capture the possibility of dynamic nonlinearity and, in turn, asymmetry, the nonlinear Autoregressive Distribu...
Article
Full-text available
This study seeks, within the extended framework of the so-called environmental Kuznets curve (EKC), to analyse the nonlinear effect of economic growth and energy consumption on environmental pollution (measured by CO2 emissions) in 30 countries, over the period 2000 – 2018. The panel smooth transition regression (PSTR) model is used to allow such a...
Article
Full-text available
This study is set out to model and forecast the cryptocurrency market by concentrating on several stylized features of cryptocurrencies. The results of this study assert the presence of an inherently nonlinear mean-reverting process, leading to the presence of asymmetry in the considered return series. Consequently, nonlinear GARCH-type models taki...
Article
Full-text available
This study investigates the possible nonlinear relationship between working capital and credit rating. Furthermore, it examines the relationship between the three components of working capital (inventory, accounts receivable, and accounts payable) and a firm’s credit rating. Employing data for U.S listed firms for the period between 1985 and 2017,...
Preprint
Full-text available
In this study the time-frequency uncertainty and connectedness across housing markets, stock market are investigated through wavelet coherence analysis based on a continuous wavelet transform. Moreover, another interesting question about whether the risk in housing market would be spilled-over from one region to another is answered using a novel mo...
Article
Purpose This paper aims to contribute to the clarification of whether the dependence and causality between oil and the macrofundamentals change across different quantiles of the distribution function. Design/methodology/approach Within the context of an asymmetric quantile approach, we drop the assumption that variables operate at the upper tails...
Article
Full-text available
In this paper we investigate the dynamic features of house prices in London. Using a generalized smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the London housing market is strongly rejected. We also show that the GSTAR model is able to replicate the features of the observed cycle in the simulated data. Further, ou...
Article
In this study the relation between stock markets and precious metals during first wave of Covid-19 pandemic are investigated. We use a wavelet-based quantile procedure to investigate correlation between major stock markets of emerging countries (BRIC) and the United States. Our procedure reveals that precious metals offer market diversification opp...
Article
Full-text available
This study contributes to the literature on energy market risk management and portfolio management by examining co-movements between several energy commodities in a portfolio context in light of the impact of several types of uncertainty over time and under high, medium, and low frequencies. Using of wavelet decomposition analysis, we first investi...
Article
Full-text available
In this study, we propose a wavelet-copula-GARCH procedure to investigate the occurrence of cross-market linkages during the COVID-19 pandemic. To explore cross-market linkages, we distinguish between regular interdependence and pure contagion, and associate changes in the correlation between stock market returns at higher frequencies with contagio...
Article
Full-text available
The popularity of Islamic financial instruments among Muslims is not surprising. The Islamic capital market is where sharia-compliant financial assets are transacted. It works parallel to the conventional market and helps investors find sharia-compliant investment opportunities. At a time of collective confusion when the COVID-19 epidemic is contri...
Article
Full-text available
This study empirically considers five emerging markets from January 1995 to July 2019 to see whether nonlinearity helps to investigate responses to macroeconomic shocks in stock prices. With Vector Smooth Transition Regression, it uses real effective exchange rates, interbank interest rates, industrial production indices, and stock market returns....
Article
Full-text available
The study aims to investigate the presence of conditional volatility in the Saudi Arabia stock market returns. The daily closing equity market price indices for Saudi stock exchange (Tadawul) covered the period Sep. 2017 to Sep. 2020. The sample was carefully chosen to present only the significant event affecting the stock market, specifically, the...
Preprint
Full-text available
In this study, we examine the influence of the COVID-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a wavelet-copula GARCH approach to account for both the time and the frequency aspects of stock market correlation. We find strong evidence of contagion in the stock markets under consideration...
Preprint
Full-text available
In this paper we investigate the dynamic features of house prices in London. Using a generalized smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the London housing market is strongly rejected. We also show that the GSTAR model is able to replicate the features of the observed cycle in the simulated data. Further, ou...
Article
Purpose This study seeks to determine in some detail whether the state of the economic cycle matters in considering the effects of fiscal policy shocks on output. Design/methodology/approach This issue leads us to two primary objectives: to define the economic cycle measuring the gap with the unobserved component model with a smoother trend, which...
Article
Purpose This paper aims to investigate the nonlinear dynamics in the effects of oil price shocks on the exchange rate for a sample from the Group of Twenty (G20) over the period 1994:1-2019:1. Design/methodology/approach Using monthly time series data covering the period1994:1-2019:1, the author first use the non-parametric triples test of Randles...
Article
Full-text available
We study the volatility connectedness of stock market prices over various time horizons. We adopt a novel combination of copula and the asymmetric GARCH function (EGARCH) to fit this type of joint distribution consisting of the marginal distribution and the varying rendered time. The most obvious finding to emerge from this study is that the dynami...
Article
Full-text available
We adopt an unobserved components time series model to track the business cycles in the G7 countries using the Industrial production index over the period from 1:1961 to 8:2017. The advantage of adopting the industrial production series frequency is that the business cycle can be investigated in terms of a higher frequency than once per quarter. Th...
Article
Full-text available
In this article, we investigate the effectiveness of the credit facilities and foreign trade to combat the cycle duration in the industrial production index. The turning point methodology of Harding and Pagan was adapted to formulate the economic cycle. Using the industrial production index of the Jordanian economy over the months from January 2000...
Preprint
Full-text available
In this paper we consider the dynamic features of house prices in metropolises that are characterized by high degree of internationalization. Using a generalized smooth transition model we show that the dynamic symmetry in house price cycles is strongly rejected for the housing markets taken into consideration.
Article
Full-text available
This paper examines the asymmetric behaviour of house prices in large metropolitan areas. Using a sample of large cities, in several countries, it is shown that real estate prices cycles are largely nonlinear. It is found that dynamic asymmetries in the housing market cycle can well be modelled using a logistic smooth transition model (LSTAR). Furt...
Article
Full-text available
In this investigation, the aim is to model and forecast stock market volatility while controlling for endogenously determined structural breaks. These issues are studied by examining the empirical relevance of structural breaks for asymmetric volatility in a GARCH-type model of the stock market. We conclude that accounting for the breaks in the var...
Article
Full-text available
The present research aimed to examine the interaction between fiscal policy tools and economic fluctuations in Jordan. This investigation is done by assessing both Government Expense and Tax Revenue over a quarterly sample period from 1980 till Q1 2017. The Band-Pass filter is adapted to define the fluctuation variables and hence to distinguish bet...
Article
Abstract Purpose – This paper aims to examine asymmetries in the house price cycle and to understand the dynamic of housing prices, incorporating macroeconomic variables at regional and country level, namely, housing affordability, the unemployment rate, mortgage rate and inflation rate. Design/methodology/approach – To highlight significant differ...
Article
The aim of the current study is to examine the role of net export and productivity on the expansion and contraction period in the Chemical Fertilizer sector in Jordan over the period 2000-2017. Using the turning point analysis, the results show that there are asymmetric in the length of the cycle, in which, the contraction is greater than expansion...
Thesis
Full-text available
The volatility of house prices can raise systemic risks in the housing market due to the vulnerability of the banking and mortgage sectors to such fluctuations. Moreover, the extreme increases in housing markets have been considered a key feature of the last economic crisis and the run-up to it. Such increases, however, came to a sudden halt immedi...
Article
Full-text available
The aim of this study was to investigate the structure of public debt in Jordan and its impact on economic growth, over the period 1980-2012. The statistical techniques which were employed in this study include Johanson co-integration test, Vector Error Correction Model (VECM) to explore the association between domestic debt and the external debt r...
Article
Full-text available
The intention of this study was to investigate the structure of public debt in Jordan and its impact on economic growth, over the period 1980-2012. The statistical techniques which were employed in this study include Johanson co-integration test, Vector Error Correction Model (VECM) to explore the association between domestic debt and external debt...

Questions

Questions (4)
Question
What is the appropriate test for the long memory in the time series ? can we test that using Eviews ?
Question
In modelling smooth transition regression, the transition variable is supposed to be deterministic trend, lagged variable, or sometimes exogenous variable.
My question is what is the theory behind using such exogenous? what is the criterion behind using it?
Question
I have daily data for six stock market indexes over the period 2009-2018. However and due to holiday impact the No of observation are different. Is it possible to measure the spillover effect in this case ?

Network

Cited By

Projects

Projects (2)
Project
In this article, we investigate the effectiveness of the credit facilities and net export to combat ‎the cycle duration in the industrial production index. The turning point methodology of Harding ‎and Pagan was adapted to formulate the economic cycle. Using the industrial production index ‎of the Jordanian economy over the months from January 2000 to December 2017, the Logit ‎model was used to test for duration dependence, with the credit facilities and net export ‎included as controls.‎
Project
This Project tend to answer the following (1) Are the recession phase in house prices cycle different from expansion ? (2) How significant are the housing market spillovers in the metropolitan area over time? (3) Considering the magnitude of the location parameter, is the shocks to the house prices are rather persistent over time?