Huthaifa Alqaralleh

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Verified

Huthaifa verified their affiliation via an institutional email.

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• Ph.D Financial Econometrics
• Professor (Associate) at Mutah University

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...

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...

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...

This paper investigates the asymmetric, time, and frequency-based volatility spillovers in global IT industries. To this end, we introduce a new Wavelet-Time Varying Parameter-VAR (W-TVPVAR) approach to compute connectedness combined with the asymmetrical connectedness of (Barndorff-Nielsen et al., 2010) and (Baruník et al., 2016, 2017) at differen...

Purpose In the new global economy, environmental degradation is still among the crucial struggles braving policymakers. The intention of the current analysis, therefore, is to investigate the asymmetric impact of energy use, trade openness, population changes and urbanization, on the ecological footprint (EF) in four ASEAN countries by using time s...

This study analyses the intricate connection between tourism and economic growth, emphasising significant gaps in existing literature. The study utilises a comprehensive framework encompassing tourism-led economic growth (TLEG) and economy-driven tourism growth (EDTG), highlighting the bidirectional dynamics at play. This study utilises a panel qua...

In this chapter, we investigate the relationship between energy prices, economic uncertainty, and inflation in Eurozone countries. To account for cyclicality in the business cycle, the level of industrial production is also considered. We propose a wavelet time-varying vector autoregression model (VAR) model to assess the transmission of shocks acr...

This research explores the interdependence within the international logistics sector among 17 nations, utilizing a quantile-based technique to assess the transmission of returns. By analyzing daily data from DataStream spanning from 1 June 2016, to 12 August 2024, we apply the Quantile Vector Autoregression framework to examine the synchronous beha...

Purpose This paper aims to assess the interaction between environmental challenges and policy interventions in shaping housing prices. It emphasises the need to understand how policy interventions and environmental conditions can disproportionately affect housing affordability, population growth and building density, especially for vulnerable commu...

Fluctuations in oil prices substantially impact both the real economy and international financial markets. Despite extensive studies on oil market dynamics and overnight momentum, a comprehensive understanding of the link between oil price changes and energy market momentum, as well as their broader influence on global financial markets, remains el...

In this article, we investigate the dynamics the intricacies of fluctuations during periods of economic expansion and contraction, and examining the connections between the length of energy cycles and the influential factors could affect them. Utilizing the extended BBQ algorithm, we firstly identify turning points and, then apply the Cox hazard Mo...

This paper contributes to the understanding of sovereign credit default swap (CDS) markets by examining the response of CDS spreads to macroeconomic factors and exploring extreme value dependence and its relation to economic cycles. The study focuses on four emerging countries in the Asia–Pacific sovereign CDS markets from 2009 to 2023 and utilises...

Purpose This study explores the interconnectedness and complexity of risk-varied climate initiatives such as green bonds (GBs), emissions trading systems (ETS) and socially responsible investments (SRI). The analysis covers the period from September 2011 to August 2022, using six indices: three representing climate initiatives and three indicating...

This study established the direction, magnitude, and duration of the causality between CDS and selected Chinese stock sector at industry level. A nonparametric causality-in-quantile test and a CQ correlation test were applied to the data sampling over the daily period January 2, 2019, to January 6, 2023 covering a period marked by global shocks, in...

This study investigates the extreme return connectedness between five major Chinese stock prices and climate uncertainty between March 2010 and June 2022. A novel wavelet time-varying parameter quantile vector Autoregression is employed. The results show that climate uncertainty depresses investment predominantly in normal periods while altering th...

Objectives: This study aims to demonstrate the asymmetric impact of energy consumption on Jordan's economic growth, addressing a range of explanatory variables of economic growth, mainly total energy consumption, total fixed capital formation, and total labor force from 1990 to 2019. Methods: The study used the autoregressive lagging time lag model...

This paper considers the dynamic features of housing prices in metropolises that are characterised by a high degree of internationalisation. Using the wavelet coherency procedure, the degree of co-movement and causality between housing, stock markets, and macroeconomic uncertainty are investigated. In addition, the existence of volatility spillover...

Indoor Environmental Quality (IEQ) is an immense concern for people’s wellness. The central argument in this research is that the IEQ in a university research room impacts users and their health, well-being and productivity. In addition, the present study relies on the Flourish Wheel to enhance the environment using the Biophilic Design approach, w...

Purpose This study aims to investigate the dynamic relationship between renewable and non-renewable energy sources on the economic growth of eight countries, the capital stock and labour force being used as control variables in each case. Questions that need to be asked include the following: Is there is an asymmetric and, hence, a non-linear relat...

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,...

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...

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...

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...

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...

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...

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...

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....

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...

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-...

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...

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...

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...

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...

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...

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...

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...

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...

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.

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...

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...

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...

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...

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...

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...

ملخص هدفت هذه الدراسة إلى بيان أثر الدين العام على الميزان التجاري الأردني خلال الفترة لتقدير العلاقة ما (VAR) 2011 - 1980 ). وتم استخدام نموذج الانحدار الذاتي غير المقيد ) بين الدين العام والناتج المحلي والميزان التجاري حيث تم استخدام اختبار ديكي فولر المعزز لاختبار استقرارية السلاسل الزمنية، وتبين أن جميع المتغيرات غير مستقرة عند (ADF) مستواها ف...

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...

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...