Shawkat M. Hammoudeh

Drexel University | DU · Department of Economics and International Business

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This study proposes an integrated framework to model and estimate relatively large dependence matrices using pair vine copulas and minimum risk optimal portfolios with respect to five risk measures within the context of the global financial crisis. We apply this methodology to two 20-asset mining (gold and iron ore-nickel) sector portfolios from th...

This study examines the dynamic impact of institutional quality (control of corruption, government effectiveness, political stability, regulatory quality, rule of law, and voice and accountability) on financial inclusion across seventy-three developing countries. We conduct multiple dynamic-panel-data approaches to address potential heterogeneity,...

Several studies have emphasized the potential role of oil price volatility as a leading macroeconomic indicator, since it provides prominent information to energy traders, market participants and policymakers. In an effort to shed fresh insights on the underlying factors of wide oil price changes, the objective of this paper is twofold: First to ca...

Several economies have rebounded significantly from the COVID-19 crisis but are witnessing higher-than-expected inflation. The Russian military operation in Ukraine, and the resulting higher oil prices and economic disruptions, will likely make inflation worse. In this study, we provide a first assessment of the US stock price responses to the resu...

Is the COVID-19-induced unprecedented plunge in oil demand good news for the nascent circular economy in a material made from oil (i.e., the recycled plastics)? Since the plunge of oil prices, recycled plastics have become more expensive than virgin plastics, potentially encouraging manufacturers to shift away from the former to the latter. Our stu...

The novel quantile connectedness network method is used to investigate the vulnerability of emerging stock markets to global shocks in the normal, bear and bull markets. The size of the system-wide shock for an emerging market is doubled, while its own shock is halved in the bear and bull markets relative to the normal market and vice versa. As the...

The COVID-19 crisis presents unparalleled challenges to the economies of the world. Although addressing the social and economic consequences of this health crisis and providing reliefs to the affected businesses are major priorities, the post pandemic-recovery plan presents a great opportunity to align public policies with climate change objectives...

Due to the outbreak of the COVID-19 pandemic, external debt of developing countries and economies in transition accumulated debt that that is worth US$9.9 trillion. This is the greatest level on record given the time period and is more than twice the level of the US$4.4 trillion debt registered in the aftermath of the 2008-2009 global financial cri...

In this paper, we examine the relevance of investor sentiment to Islamic stock-bond interplay in the time-frequency domain. Using various wavelet methods including multiple and partial wavelet coherence and bivariate and multivariate nonlinear causality tests, our results reveal that the connectedness between Islamic stocks and bonds is affected by...

The excessive volatility generated by the COVID-19 pandemic highlights that environmental and social issues are potential elements that businesses and governments must manage effectively and swiftly. This study seeks to test whether the rising anxiety over this pandemic has affected the attitudes and choices towards environmentally and socially res...

While gaining more popularity both as a financial asset and a commodity, a number of cryptocurrencies are emerging with a loosely regulated market microstructure which is a challenge to their efficiency. We have ranked 6 out of the top 10 cryptocurrencies based on their inefficiency ratios, using a novel time-varying generalised Hurst exponent meth...

The excessive volatility generated by the COVID-19 pandemic highlights that environmental and social issues are potential elements that businesses and governments must manage effectively and swiftly. This study seeks to test whether the rising anxiety over this pandemic has affected the attitudes and choices towards environmentally and socially res...

In the wake of recent political developments worldwide, future oil supply prospects have become doubtful and uncertainty plays a non-negligible role in determining the dynamics of major macroeconomic variables. This study constructs a factor model with time-varying loadings to decompose the variance of important macroeconomic and financial series f...

We investigate the effect of major global factors—crude oil, gold, silver, the S&P 500 Index, the United States (US) Dollar Index and US Treasuries—and a psychological barrier on the Saudi Arabian equity market. We consider various firm sizes to account for different potential sensitivities to the global factors over the sample period Q1:2002–Q3:20...

We study the effect of overall globalisation on economic growth in a neoclassical macroeconomic growth model. We further assess our model by considering the decomposed measures of globalisation including economic, political, and social globalisation components. To this end, we estimate panel data models by applying the cross-sectional dependency-au...

This paper re-investigates the time-varying impacts of economic growth on carbon emissions in the G-7 countries over a long history. In doing so, the historical data spanning the period from the 1800s to 2010 (as constructed) for each country is examined using the time-varying cointegration and bootstrap-rolling window estimation approach. Unlike t...

The global public health crisis caused by the coronavirus pandemic has created an unprecedented demand shock in the oil market, with unparalleled overabundance of supply, sapped demand and storage space (both onshore and offshore) promptly filling up. In short, the global oil market is going through an exceptional period of turbulence. For the firs...

The global oil market is going through an unprecedented period of turbulence. Oil prices dropped to a 17-year low as the doubts hanging over the Saudi-Russia supply deal continue to linger on, and the coronavirus persists to strongly hits aggregate demand because of the stringent containment measures. Being aware that the social networks help to ga...

Annals of Operations Research invites submissions for a special issue on "Financial Modelling and Risk Management of Energy and Environmental Instruments and Derivatives". The deadline for submission is 31 January 2021. This an open call for papers directed to all the researchers and analysts in this area. Submission will begin 31 July 2020 and cl...

This paper investigates the dynamic and nonlinear impact of oil price returns on the sovereign credit default swap (CDS) spreads for the oil-rich countries of the Gulf Cooperation Council (GCC) and other important oil-exporting countries, namely Venezuela, Mexico and Russia. We employ the standard quantile regression analysis, the rolling quantile...

International trade in connection with carbon dioxide (CO2) emissions has been well studied, but export quality in this context has not widely been considered yet. Hence, in this study, we fill this gap by exploring the effects of export quality, economic growth, urbanization, trade openness, and total energy use on CO2 emissions in 63 developed an...

Using a dynamic panel generalized method of moments (GMM), this paper examines the dynamic impact of banking sector performance on economic growth in thirteen Southeast European countries over the period 2000–2015 by taking into account human capital, investment, and trade openness, among other factors. The main empirical finding suggests a positiv...

The objective of this paper is twofold. The first is to capture large changes in oil prices changes caused by the arrival of important and surprising news (i.e., jumps). The second is to distinguish between the short-, medium- and long- term determinants of jumps in oil prices due to changes in the oil supply and demand fundamentals, the factors as...

We examine the stationarity (or lack thereof) of CO 2 emissions per capita for 98 low, middle and high-income countries from 1975 to 2014. We use the new individual nonlinear unit root test method of Kruse (2011) as well as panel unit root tests that allow for both structural breaks and cross-section dependence to capture the true data- generating...

This study characterizes the oil market as a nonlinear-switching phenomenon and examines its dynamics in response to changes in geopolitical risks over low- and high-risk scenarios. We separate the shocks due to geopolitical acts from those due to geopolitical threats to address whether the serious effects of geopolitical risks are mostly due to in...

This study examines portfolio management and risk spillovers between four major precious metals (gold, silver, palladium and platinum) and 20 important U.S. exchange markets. To this end, we employ the multivariate DECO-GARCH model and the spillover index developed by Diebold and Yilmaz (2014, 2016) to examine the spillovers between those metal pri...

This study analyzes the lead-lag relationship between the price indices of energy fuels and each of food, industrial inputs, agriculture raw materials, metals and beverages in the time-frequency domain. To this end, we first use the wavelet coherency and phase-differences. Next, we use the Diebold and Yilmaz (2012) and Barunik and Krehlik (2017) sp...

The aim of this study is to investigate the dynamics of the co-movements of energy and banking sector credit default swaps (CDS) spreads with global financial and economic policy uncertainty and risk factors in the United States and Europe. We first employ the standard quantile regression approach to examine the co-movement dynamics under different...

This paper examines the dependence structure and the systemic risk between the return series of oil prices and the BRICS equity market indices, using the newly developed methods of the quantile coherency of Baruník and Kley (2015) and the non-parametric conditional value-at-risk causality (NCoVaR) and the NCoVaR Granger causality tests (NCoVaR-Gc)...

We apply the wavelet coherency and phase difference methodology to explore the nature of the relationship and the direction of causality between foreign institutional investment (FII) flows and stock market returns across time and frequency domain for the fast‐growing Indian economy. Since both variables are affected by economic uncertainty, we hav...

This paper decomposes the environmental Kuznets curve into the scale, technique and composition effects while incorporating the roles of energy consumption, trade openness and foreign direct investments (FDI) effects in a carbon emissions function for the United States (U.S.). We have incorporated information about unknown structural breaks into th...

This paper undertakes a rolling window comparative analysis of risks for portfolios consisting of GCC Islamic and conventional bank indices. We draw our empirical results by employing canonical, drawable and regular vine copula models, as well as by implementing a portfolio optimization method with a conditional Value-at-Risk constraint. We find ev...

This study examines the nonlinear relationship between Islamic banking development, major macroeconomic variables and economic growth in Islamic countries. Using the panel smooth transition model, the results show a positive nonlinear relationship between Islamic banking development and economic growth. Moreover, the relationship between the macroe...

This study is an endeavour to analyse the influence of oil price shocks on the macroeconomy of the Gulf Cooperation Council(GCC) member countries (Bahrain, Kuwait, KSA, Oman, Qatar and UAE). By employing a structural Vector auto-regression(SVAR) model for period 1980–2016, our key findings suggest that there are significant positive effects of oil...

This paper examines the quantile-dependent short- and long-run impact of the FFR, VIX index and crude oil prices on the credit risk of the U.S. banking, financial services and insurance sectors. Using the quantile autoregressive distributed lag model, we find that the federal funds rate and the equity volatility mainly increase the credit risk of t...

We empirically investigate the dynamic relationship between globalization and CO2 emissions for 87 (high, middle and low-income) countries. We utilize the cross-correlation approach to examine the well-known EKC hypothesis between globalization and environmental degradation. The results validate the inverted U-shaped EKC hypothesis for 16 (approxim...

This paper examines the dynamic risk spillovers and hedging effectiveness between two important commodity markets (oil and gold) and both the Islamic and conventional bank stock indices for five GCC countries (Bahrain, Kuwait, Qatar, Saudi Arabia and UAE), using the DECO-FIGARCH model and the spillover index of Diebold and Yilmaz (2012, 2014). The...

This paper examines the relationship between hydroelectricity consumption and economic growth in China, while controlling for fossil fuel consumption, financial development, capital, institutional quality and globalization and its components for the period, 1970-2014. We have employed the Bayer and Hanck, (2013) combined cointegration test to exami...

This paper re-examines the gold-inflation dependence, with emphasis on the empirical validity of the inflation-hedging property of gold for six major countries (China, India, Japan, France, United Kingdom, and the United States) with large gold markets, using the relatively novel techniques the Quantile-on-Quantile (QQ) and the causality-in- quanti...

We analyze the informational efficiency of Litecoin using computationally efficient and robust estimators of long-range dependence for a sample period spanning over April 28, 2013 to November 27, 2017. We show evidence of market inefficiency. However, some short periods with negligible inefficiency are also observed. We also find evidence of multif...

Unbiasedness and informational efficiency of futures markets under different market conditions is a claim that still remains unsettled in the theory of non-arbitrage and asset pricing and in empirics as well. This study investigates this claim using a novel causality-in-quantile model of Balcilar et al. (2016) for two energy commodities, crude oil...

This paper investigates how education and export diversification contribute to energy demand by also incorporating the role of natural resource, oil prices and income in driving energy demand function for the United States (U.S.) economy. In doing so, we apply the unit root test of Kim and Perron (2009) and the bootstrapping autoregressive-distribu...

We explore the nexus between globalization and energy demand for 86 high‐, middle‐, and low‐income countries over the period 1970–2015. We use a simple approach based on the cross‐correlation to understand how globalization and energy consumption are related in terms of time lags and leads. Our findings show that for 64 out of the 86 countries (app...

We examine the relationship between return and volatility of the stock markets and macroeconomic fundamentals for the G-7 countries by using monthly data ranging from July 1985 to June 2015. To meet this end, we apply the spillover index approach based on the generalized VAR framework developed by Diebold and Yilmaz (2012, 2014). The empirical anal...

Compared to Credit Default Swap (CDS) literature, this study focuses on the magnitude of volatility transmission and the risk spillover mechanism across the oil market, financial market risks, and the oil-related CDS sectors. Our dataset includes futures prices of West Texas Intermediate (WTI) and seven different measures of markets and credit risk...

This paper examines the relationship between US credit default swaps (CDS) and stock returns on an industry-wide basis across a number of investment horizons, with particular focus on the major determinants of such a relationship. Wavelet analysis is first applied to extract the CDS–stock wavelet correlation for each US industry. Then, Bayesian Mod...

We examine the dependency between the European government bond markets around the recent sovereign debt crisis. A dynamic copula approach is used to model the time-varying dependence structure of those government bond markets, evaluate the nature and strength of their dependencies over time, and gauge the transmission of the crisis shocks. Our resu...

We examine the causal relationship between globalisation and CO2 emissions for 25 developed economies in Asia, North America, Western Europe and Oceania using both time series and panel data techniques, spanning the annual data period of 1970–2014. Because of the presence of cross-sectional dependence in the panel, we employ Pesaran’s Journal of Ap...

Using a large sample of 25 Organization for Economic Co-operation and Development (OECD) countries, we provide evidence that the growth of equity and credit markets promotes cleaner energy (biomass renewable energy, non-biomass renewable energy, and total bio and non-bio renewable energy) production in those countries. We also find that the 2008 gl...

We examine the connectedness of the sector CDS spreads for U.S. banks, financial services firms and insurers with major global factors including the US stock market volatility, Libor, Treasury bill rates and oil prices to gauge credit risk exposure. Our main objective is to gain insight into the co-movement between those CDSs and WTI and the other...

This paper investigates the possibility of a long-run relationship between the Economic Freedom Index (EFI), Foreign Direct Investment (FDI) and value added components of GDP in thirty Eastern, Central and Western European countries. The study further examines whether the FDI and sector-specific components of GDP have any significant impact on econ...

This paper examines the quantile behavior of the relationship between the nuances of globalization and energy consumption while incorporating capital and economic growth in case of top-two most globalized countries – Netherlands and Ireland - by employing the recently developed quantile autoregressive distributed lag (QARDL) model of Cho et al. (20...

This paper contributes to the existing empirical literature on savings and Islamic banking systems by comprehensively examining the determinants of Islamic banking deposits in Malaysia. Initially, we examine the factors affecting the deposits in Islamic banking by types, which include investment deposits, demand deposits, savings deposits, ringgit...

This paper provides a fresh insight into the dynamic nexus between oil prices, the Saudi/US dollar exchange rate, inflation and output growth rate in Saudi Arabia’ economy, using novel Morlet’ wavelet methods. Specifically, it implements various tools of methodology: the continuous wavelet power spectrum, the cross-wavelet power spectrum, the wavel...

This paper examines the downside and upside risk spillovers and dependence structure between five Islamic stock markets (the Islamic Market World index, Islamic indices of USA, UK, Japan and the Islamic Financials sector index) which are of paramount importance for faith-oriented investors, and particpants in the oil market. The results underscore...

Given the recent collapse of oil prices, this study investigates the directional predictability from the oil market uncertainty to the sovereign credit default swap (CDS) spreads of four GCC countries (Bahrain, Qatar, Saudi Arabia and United Arab Emirates) and five other oil-exporting countries (Brazil, Mexico, Norway, Russia and Venezuela). Using...

This paper re-examines the specification of the environmental Kuznets curve (EKC) for the US economy by accounting for the presence of a major renewable energy source and trade openness over the period 1960–2016. Biomass energy consumption and trade openness as well as oil prices are considered as additional determinants of economic growth, and con...

This paper investigates the impact of four major macroeconomic variables (private investment, public investment, oil production and inflation) on non-oil GDP in the oil-based Saudi Arabia. To this end, we use the nonlinear autoregressive distributed lag (NARDL) and the causality-in-quantiles methods to measure the impact of these variables on non-o...

This paper examines the dependence and causal nexuses between ten U.S. credit default swaps and their corresponding stock sectoral markets, using the Quantile-on-Quantile (QQ) approach and the nonparametric causality-in-quantiles tests. The results, using the QQ approach, show asymmetric negative association between credit and markets for all indus...

This paper examines the short- and medium run dependence structures between oil and currency markets for MENA, other developing and developed countries, using a novel multiresolution decomposition method, namely the variational mode decomposition (VMD), along with a battery of time-invariant and time-varying symmetric and asymmetric copula function...

This paper investigates spillover effects and portfolio diversification between the four major developed stock markets (USA, Europe, Japan and Asia) and five of the most important emerging stock markets known as the BRICS (Brazil, Russia, India, China and South Africa). To this end, we apply the multivariate DECO-FIEGARCH model to daily spot indice...

This study attempts to explore the relationship between globalization and financial development by endogenizing economic growth, population density, inflation and institutional quality for India during the period from 1971–2013. Using the more conclusivecombined cointegration method, the study provides evidence of cointegration among these variable...

This study examines the portfolio risk and the co-movements between each of the BRIC emerging and South Asian frontier stock markets and each of the major developed stock markets (U.S., UK and Japan), using the wavelet squared coherence approach as well as the wavelet-based Value at Risk (VaR) method. The results show that the co-movements and dive...

Using a long dataset and some recently popularized nonparametric econometric techniques, this study revisits the nexus between economic growth and carbon dioxide (CO2) emissions for the G7 countries over nearly two centuries. The use of nonparametric modelling is warranted by the fact that long historical time series are often subject to structural...

We use regular vine (r-vine), canonical vine (c-vine) and drawable vine (d-vine) copulas to examine the dependence risk characteristics of three 20-stock portfolios from the retail, manufacturing and gold-mining equity sectors of the Australian market in periods before, during and after the 2008–2009 global financial crisis (GFC). Our results indic...

We examine the decoupling and contagion hypotheses by testing them on the safe haven status of Islamic indexes through investigating the total, directional and net volatility spillovers across nine regional Islamic stock indexes and their conventional counterparts, using the generalized vector autoregressive framework. We use daily data covering th...

The aim of this paper is to investigate the impact of oil price volatility and major financial and uncertainty factors on credit default swap (CDS) spreads in the case of the oil-rich Gulf Cooperation Council (GCC) countries, other oil-exporting countries and regional markets namely the G7, BRICS, Council of Europe (CE), Asia, North America (NA) an...

This study combines the variational mode decomposition (VMD) method and static and time-varying symmetric and asymmetric copula functions to examine the dependence structure between crude oil prices and major regional developed stock markets (S&P500, stoxx600, DJPI and TSX indexes) during bear, normal and bull markets under different investment hor...

The paper empirically analyzes the effect of positive oil price shocks on China's economy, having special interest in the response of the Chinese interest rate to those shocks. Using different econometric models, i) a time-varying parameter structural vector autoregression (TVP SVAR) model with short-run identifying restrictions, ii) a structural V...

We examine the causal links between U.S. industry-wise credits and stock markets. The full sample bootstrap Granger causality results show that all stock markets Granger cause their CDS counterparts and there is also bidirectional causality for the banking, healthcare and material industries. The short-run parametric stability tests highlight that...

This paper examines the relationship between oil movements and systemic risk of financial institution in major petroleum-based economies. We estimate ΔCoVaR for those institutions and observe the presence of elevated increases in its levels corresponding to the subprime and global financial crises. The results provide evidence in favor of risk meas...