Muhammad Abubakr Naeem

Muhammad Abubakr Naeem
United Arab Emirates University | UAEU · Accounting and Finance

BA Economics, MBA Finance, MS Finance, PhD Finance

About

159
Publications
30,604
Reads
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4,213
Citations
Citations since 2017
158 Research Items
4223 Citations
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Introduction
Muhammad Abubakr Naeem currently working as an Assistant Professor of Finance and FinTech at the Department of Accounting and Finance, United Arab Emirates University, United Arab Emirates. Muhammad Abubakr does research in FinTech, Blockchain, Energy and Resource Economics, Financial and Economic Uncertainty, hedging and portfolio diversification.
Additional affiliations
January 2022 - December 2022
South Ural State University
Position
  • Senior Researcher
Education
January 2017 - July 2020
Massey University
Field of study
  • Finance

Publications

Publications (159)
Article
We investigate the impact of energy commodity uncertainties on the systematic risk of twelve industries in the US. The dynamic betas using the dynamic conditional correlation – generalized auto-regressive conditional heterosckedasticity (DCC-GARCH) model indicate that real estate, financials, and basic materials are the high risk industries. Notabl...
Article
The paper examines the inter-relationship between green bonds and other asset markets, including stocks, commodities, clean energy, and conventional bonds over 11 years from 2008 to 2019. The dynamic features of correlation across asset pairs over time and in different frequencies are assessed through the rolling window wavelet correlation approach...
Article
Full-text available
The high power consumption of Bitcoin transactions has raised environmental and sustainable concerns of green investors and regulatory bodies. We utilize the time-varying optimal copula (TVOC) approach to showcase the dependence structure between bitcoin and green financial assets. We find multiple tail-dependence regimes characterize the extreme d...
Article
Green bonds (GB) are gaining a prominent role in sustainable development because of their ability to fund environment-friendly projects. This study aims to investigate if investors can benefit from the risk diversification properties of including GB with other assets, particularly within the context of the ongoing COVID-19 pandemic. To do so, we ut...
Article
This paper studies the tail dependence among carbon prices, green and non-green cryptocurrencies. Using daily closing prices of carbon, green and non-green cryptocurrencies from 2017 to 2021 and a quantile connectedness framework, we find evidence of asymmetric tail dependence among these markets, with stronger dependence during highly volatile per...
Article
Petroleum markets encountered exceptional challenges during the outbreak period. In this backdrop, the price dynamics in petroleum markets were also significantly influenced by fearsome environment and unprecedented risk experienced during the pandemic. In this direction, the study attempts to investigate the efficiency dynamics of the petroleum ma...
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The current study investigates the extreme risk dependence between green bonds and financial markets by employing the dual approaches of time-varying optimal copula and extreme risk spillover analysis of dynamic conditional Value-at-Risk. We report significant symmetric (asymmetric) tail-dependent copulas in the upper (lower) tails characterizing i...
Article
In recent years, financial markets have experienced unprecedented uncertainties resulting from challenges such as the COVID-19 pandemic, energy shocks, and inflation mechanisms. This study investigates the interconnectedness of different financial markets (such as stocks, bonds, forex, oil, gold, and bitcoin) across extreme quantiles of volatility....
Article
This study investigates the connectedness between renewable energy cryptocurrencies and various energy categories, focusing on extreme downside risk or tail risk. The research employs a novel framework that combines the CAViaR model with the TVP-VAR based connectedness approach to analyze the systematic tail risk transmission mechanisms. The study...
Article
This study endeavors to identify the extreme quantile dependence between clean energy stocks and climate-friendly (or green) bonds with GCC stock markets for the period encompassing September 1, 2014 to September 17, 2021. Employing the cross-quantilogram technique, we report higher dependencies between clean energy stocks and the stocks of United...
Article
The price instabilities between oil prices and cryptocurrencies have motivated the current study to examine the nonlinear relationship between oil returns/shocks and cryptocurrencies from March 3, 2018 to October 10, 2021. We employed a novel methodology of cross-quantilogram to unveil the nonlinearity and asymmetry between oil shocks and cryptocur...
Article
This study investigates the dynamic mechanism across equity, cryptocurrency, and commodity markets before and during health and geopolitical crisis (Covid-19 and the Ukrainian war). We apply the (TVP-VAR) based extended joint connectedness methodology, to understand return and volatility connectedness of financial markets for 2010–2023 period. The...
Article
The soaring popularity of blockchain investing and cryptocurrencies has captured the attention of policymakers and investors alike. However, as cryptocurrencies remain the most volatile and high-risk investment options, they have displayed extreme asymmetric patterns over time. Considering these concerns, we conducted a comprehensive analysis of th...
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Surmounted environmental concerns and energy challenges have created an augmented awareness among the public and policymakers about alternate energy resources. Using a network approach, this paper aims to investigate the dependence between cryptocurrencies and the alternative energy market using data from January 1, 2018, to December 23, 2021. For...
Article
This study explores the interdependence between timber, water, and energy markets and investigates the potential domino effect of extreme risk across these markets. Specifically, using CAViaR-TVP-VAR, we examine the role of water and timber investments as safe-havens and hedges for traditional energy markets, before and after the COVID-19 pandemic....
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The sustainability issues have been surmounted in the last decades. The digital disruption caused by blockchains and other digitally backed currencies has raised several serious concerns for policymakers, governmental agencies, environmentalists, and supply chain managers. Alternatively, sustainable resources are environmentally sustainable and nat...
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We examine whether US mutual funds managed by females have a higher portfolio liquidity than those of their male counterparts. Single female managers’ holdings are 8–25% more liquid than those of single-male-managed funds. When there is a transition from a male to a female manager, fund holdings liquidity increases compared with a male to male tran...
Article
Did Covid19 indiced market turmoil impact the intraday volatility spillovers between energy and other ETFs?. To examine this, we first estimate the realized volatility of ETFs using the 5-min high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR). Finally, we utilize the wavelet coherence measure to test the ti...
Article
In this paper, we examine the presence of spillover among the regional energy markets in Asia, Europe, North America, Pacific region, and South America from January 2, 1995 to May 27, 2021. We report heterogeneous results for spillover between the regional energy markets. Our work separately highlights the presence of negative and positive returns...
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Financial markets are exposed to extreme uncertain circumstances escalating their tail risk. Sustainable, religious, and conventional markets represent three different markets with various characteristics. Motivated with this, the current study measures the tail connectedness between sustainable, religious, and conventional investments by employing...
Article
This study examines the effectiveness of environmental policy in reducing ecological footprint while considering the roles of renewable energy and innovation. We employ a cross-sectional autoregressive distributed lags to analyze panel data of 29 OECD countries from 1990 to 2020. Our results indicate that environmental policy significantly reduces...
Article
In view of increasing importance of emerging market currencies in the global foreign exchange markets and the growing concerns regarding the vulnerability of these currencies to global crises, we assess the connectedness of 16 emerging currencies by employing asymmetric domains of time and frequency spanning March 2011 to January 2022. We first not...
Preprint
Full-text available
The study investigates the commonality across thirty-four cryptocurrencies during a stressed environment. Though pegged with assets, the study found a higher systemic risk for gold-backed cryptocurrencies. We examined a common trend in systemic risk across cryptocurrency groups and found substantial commonality between the group comprising of NFTs...
Article
Climate policy uncertainty is a widely used measure of climate risk based on policy fronts. On the other hand, energy metals offer avenues for the use of clean, green, and sustainable energy to combat the environmental hazards and reduce carbon footprint. Following this, the current study aims to investigate the relationship between climate policy...
Article
In the backdrop of the recent covid-19 pandemic there is a renewed interest to understand the interlinkages between dirty and clean energies. In this regard, the study examines the co-movement structure between clean energy stocks and dirty energies before and during the covid-19 outbreak. The study analyses the interlinkages between the underlying...
Preprint
Full-text available
This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R-square (R2) connectedness framework which combines the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The employed daily dataset covers G20 stock market retu...
Article
The adverse effects of the high-power energy consumption by cryptocurrencies on the environment and sustainability have raised the interest of a large body of policymakers and market participants. We apply a network approach to investigate the dependency across clean energy, green markets, and cryptocurrencies from 1 January 2018 to 30 November 202...
Article
The considerable deployment of central bank digital currencies (CBDCs) is imminent, as its interest has attracted the whole world. However, CBDCs face several political, technological, and legal challenges. We add a few more challenges that have not received much attention and summarize them in the extant literature. We then emphasize a broad versi...
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We examine the presence of dependence across 51 energy markets classified into different regions from Jan 2007 to June 2021. In order to examine the presence of dependence across different energy markets, we apply standard and threshold dependence measures proposed by Diebold and Yilmaz, Int J Forecast 28:57-66, (2012) and Baruník and Křehlík, J Fi...
Article
Purpose While there is an increased demand from various corporate stakeholders on the need for public companies to have risk management frameworks as well as a stand-alone risk management committee to mitigate risks and simultaneously improve performance, this study investigates the effects of the risk management committee attributes on firm perfor...
Article
Using 5-minute high-frequency data, we study realized volatility spillovers in major cryptocurrencies, employing generalized forecast error variance decomposition. We also include COVID19 period observations and report time-varying and asymmetric connectedness across various cryptocurrencies using realized volatilities and semi-variances. Our study...
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The study investigates the impact of infrastructure, industrialization, and innovation in improving environmental efficiency in Africa toward addressing the pressing needs for environmental sustainability in the region. The study employed both Data Envelopment Analysis (DEA) and Driscoll & Kraay methods to data collected for 19 African countries fr...
Article
The current study examines the impact of Turkish Lira (TRY) crisis on various Turkish sectors following the downfall of Lira in 2018. The study employs two unique methodologies namely, wavelet coherence analysis and quantile-on-quantile regression for the period encapsulating April 2012 to December 2021. We documented significant anti phase movemen...
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This paper employs the Tail Event NETwork (TENET) to identify financial markets with greater potential risk, and simultaneously investigate the interdependence between them. We find strong time-varying connectedness across 23 emerging markets during the main crisis episodes, including the most recent COVID-19 pandemic, using data from January 1995...
Article
The rising concerns about climate change and environmental degradation have urged various stakeholder to focus on sustainable investments that are facing a drag from the Covid-19 pandemic. Since environmental and Covid-19 challenges are global, it is critical to assess the interlinkages of sustainable investments. In this research, we employ the de...
Article
The ever-emerging environmental, social, and governance (ESG) concerns have received significant attention of policymakers, governments, regulation bodies, and investors. Considering the markets volatilities due to economic and financial uncertainties that can drive the informational price inefficiencies across the markets, this study compares the...
Article
Previous studies have neither examined the volatility co-movements across stock and commodity markets in terms of both time and frequency nor differentiated between bad and good volatility and the potential asymmetric effect. To address this gap, we computed 5-min price data, the positive and negative semivariances on five leading Exchange Traded F...
Article
The surmounted environmental and energy challenges have motivated this study to explore the connectedness nexus between oil/renewable energy and stock markets for oil-exporting (importing) countries. We utilize the dynamic conditional correlation (DCC-GARCH) connectedness framework to compare the connectedness of oil/renewable energy with stock mar...
Article
This study provides a comprehensive sentiment connectedness analysis in Asia-Pacific. We implement a time-frequency framework and a quantile connectedness approach while analyzing the impact of three crises: the global financial crisis, the Chinese Stock market turbulence (2015-2016), and the COVID-19 pandemic. We find a significant sentiment spill...
Article
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Hot money is generally associated with economic and financial turmoil in emerging economies. In this backdrop, a number of studies document the causal links between hot money and financial markets. Accordingly, the study examines the causal relationship among hot money, equities, and real estate assets in the small-scale economy of Pakistan. For th...
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The prime purpose of this study is to investigate the impact of Islamic fintech in the Islamic banking sector through a stakeholder approach in the wake of the COVID-19 pandemic. Through self-administered questionnaires, the study collected the data of 1000 respondents for seven categories of stakeholders directly or indirectly associated with Isla...
Article
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COVID-19 led restrictions make it imperative to study how pandemic affects the systemic risk profile of global commodities network. Therefore, we investigate the systemic risk profile of global commodities network as represented by energy and nonenergy commodity markets (precious metals, industrial metals, and agriculture) in pre- and post-crisis p...
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The increasing concerns of investors toward green bonds and their appealing nature of diversification has motivated the current research to study the risk connectedness between green and conventional assets spanning from August 2014 to December 2020. We first estimate the dynamic equi-correlations through DECO-GARCH. Next, we assess the dynamic and...
Article
The motivation of this study stems from the United Nations Sustainable Development Goals on clean and responsible energy consumption, climate change mitigation and sustainable economic growth (UN-SDGs-7, 11, 12 and 13). The present study examines the impact of institutional quality on CO2 emissions in the presence of the Environmental Kuznets Curve...
Article
Cryptocurrencies are renowned for their extreme volatilities, while financial volatilities exhibit inherent uncertainty in stock, oil, gold, and currency markets. Given these concerns, the current study endeavors to answer the question of whether financial volatilities can mitigate the risk of cryptocurrency indexes. We employ the time-varying para...
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Full-text available
In the wake of ongoing challenges faced by the disruption of COVID-19, the current study attempts to investigate fintech growth during COVID-19 in the Middle East and North African (MENA) region. The study applies descriptive analysis, content analysis, and keyword selection criteria to segregate current challenges and future prospects of fintech g...
Preprint
Did Covid19 indiced market turmoil impact the intraday volatility spillovers between energy and other ETFs?. To examine this , we first estimate the realized volatility of ETFs using the 5-minute high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR). Finally, we utilize the wavelet coherence measure to test th...
Article
Due to special historical factors and government preferences, many zombie enterprises with subsidies and credit as the main source of income can be maintained in China. Zombie enterprises damage the fair position of market players and cause irreparable damage to the market mechanism, with efficiency as the core. This study chooses factor productivi...
Article
We adopted a network approach to examine the dependence between green bonds and financial markets. We first created a static dependency network for a given set of variables using partial correlations. Secondly, to evaluate the centrality of the variables, we illustrated with-in system connections in a minimum spanning tree (MST). Afterward, rolling...
Article
We analyze the return and volatility connectedness of the rising green asset and the well-established US industry stock and commodity markets from September 2010 to July 2021. We find that the time-varying return and volatility connectedness have exhibited serious crisis jumps. Some individual assets of both the green and commodity markets are in c...
Article
In the backdrop of the recent COVID-19 pandemic, the study examines the comparative asymmetric efficiency of dirty and clean energy markets pre and during the COVID-19 pandemic. For this purpose, we utilize an asymmetric multifractality detrended fluctuation analysis (A-MF-DFA). The study's findings uncover the presence of asymmetric multifractalit...
Article
Against the backdrop of the COVID-19 pandemic, the study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We employ the cross-quantilogram approach to understand better the dynamic relationship between two assets under different market conditions. Our full sample r...
Article
This study investigates the diversification properties of precious metals for African stock markets. We report that gold offers the strongest safe haven and hedging potential for African equity markets. Our quantile-coherency analysis indicates a low safe haven ability of precious metals in the long-run. Palladium provides both safe haven and hedge...
Article
With the continuous boom of FinTech, the similar features of different platforms provide effective solutions for small and medium enterprises. This study examines whether FinTech offers useful business mechanisms for SMEs in selected ASEAN countries. The ASEAN countries included in the study are Indonesia, Malaysia, Philippine, Singapore, and Thail...
Article
Because of the increasing importance of and demand for ethical investment, this paper investigates the dynamics of connectedness between sustainable and Islamic investment in nineteen countries that represent developed and emerging financial markets worldwide. To this end, we apply models proposed by Diebold and Yilmaz and Barunik and Krehlik to ex...
Article
Oil shocks demonstrate an effective economic event in the face of several unprecedented financial challenges. The current study endeavors to investigate the nexus between oil shocks and agriculture commodities with portfolio implications. Building on the novel techniques of time- and frequency spillovers and portfolio analysis, we unlocked the pote...
Article
Australian National Electricity Market (NEM) provides efficient and smooth electricity transmission via a unique integration mechanism of different Australian regional electricity markets. We, therefore, examined the asymmetric time-frequency connectedness across five physically interconnected Australian regional electricity markets in the NEM usin...
Article
The interrelationships among environmental strategy, environmental performance and financial performance have become a subject of ongoing debate. This study investigates the association between environmental strategies and environmental performance by utilizing the generalized method of moments technique to analyze a dataset of listed firms from 20...
Article
Using the quantile connectedness approach for the median, lower, and upper quantiles, we examine the return and volatility connectedness between energy and BRIC markets from January 1, 2000, to July 9, 2021. We find that uncertain economic activity and intense periods characterize energy and BRIC market returns and volatility connectedness. A paral...
Article
This study investigated the connectedness of top ten hospitality stocks in the world and the impact of the COVID-19 pandemic on this connectedness. For this purpose, we employ the time-varying parameter vector autoregressions (TVP-VAR) to examine the return connectedness among the world’s top ten hospitality stocks. We further utilize the wavelet c...
Preprint
Full-text available
Amidst heightened global uncertainties, increased financial contagions and fading diversification benefits, we examined and compared the hedge and safe-haven features of US Dollar and Bitcoin against the downside risk of regional stock indices of Asia, Pacific, Europe, and America. For the analysis purposes, we applied multifarious techniques, for...
Article
The fundamental precept of alcohol and gambling stocks relates to higher return premiums, whereas ethical investments are pitched towards meeting environmental, social, and moral concerns of investors. Fostering this argument, the current study examines quantile coherencies among sin stocks, ethical investments and conventional markets. We report n...
Article
Purpose Motivated by lack of empirical research on sukuk (Islamic bonds) defaults and factors influencing the credit risk in sukuk industry, the study investigates the impact of corporate governance (CG) practices and corporate social sustainability (CS) disclosures on default risk of Islamic bonds in an emerging market. Design/methodology/approac...
Article
Continuous financing of illicit activities (drug and human trafficking, child abuse, cybercrimes) through Bitcoin nurtures the ethical risk of investors. Building on this argument, the current study investigates the extreme tail dependence between Bitcoin and Emerging Asian Islamic (EAI) markets. We report multiple tail-dependent copulas differing...
Article
The prime objective of the study is to examine the institutional affiliation in assessing the nexus between renewable energy and growth by employing a multi-quantitative approach. The dataset includes the Sub-Saharan African countries encapsulating 1990–2020. At first, the cross-sectional dependence (CSD) and slope's homogeneity (SH) tests were emp...
Article
The study quantified the systemic risk spillovers between top 10 US industries using conditional value-at-risk in a network context by calibrating the marginal effects of a quantile regression process and coving period from January 3, 2007 to May 28, 2021 and found significant variations in the risk measured using a nonlinear process. Neural networ...
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Purpose This study serves two objectives; first, it examined the impact of ownership structure and board characteristics on firm value; second, the moderating effects of board gender diversity (women appearance on board) and board ethnic diversity (Chinese, Indian, and Foreign ethnicities) have been examined on the relationship between ownership st...
Article
Full-text available
Since markets are undergoing severe turbulent economic periods, this study investigates the information transmission of energy stock markets of five regions including North America, South America, Europe, Asia, and Pacific where we differentiated the regional energy markets based on their developing and developed state of economy. We employed time-...
Article
In this study, we examine the influence of global factors in driving connectedness among United States and emerging stock markets. For this purpose, we employ widely recognized approaches of and Barunik and Krehlik to estimate connectedness among the underlying markets in time-frequency domains. Also, we use the tests proposed by Péguin-Feissolle a...