Walid Mensi

Sultan Qaboos University | SQU · Department of Economics & Finance

Purpose This study aims to examine the tail connectedness between the Chinese and Association of Southeast Asian Nations (ASEAN) stock markets. More specifically, the authors measure the return spillovers at three quantile levels: median (t = 0.5), lower extreme (t = 0.05) and upper extreme (t = 0.95). The connectedness at extreme upper and lower q...

Purpose This paper examines the extreme dependence and asymmetric risk spillovers between crude oil futures and ten US stock sector indices (consumer discretionary, consumer staples, energy, financials, health care, industrials, information technology, materials, telecommunication and utilities) before and during COVID-19 outbreak. This study is ba...

This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia. It contributes to the existing literature by (i) revisiting this question for the principal stock markets in the Middle East and North Africa (MENA) region and (ii) using the copula-quantile-on-quantile and conditional value at risk me...

This study estimates the effects of the dual long memory property and structural breaks on the persistence level of six major cryptocurrency markets. We apply the Bai and Perron structural break test, Inclán and Tiao’s iterated cumulative sum of squares (ICSS) algorithm, and the fractionally integrated generalized autoregressive conditional heteros...

This paper examines the frequency dynamic co-movements between crude oil prices and stock market returns of three developed economies (Canada, Japan, and the USA) and the emerging BRICS (Brazil, Russia, India, China, and South Africa) economies by considering four global factors (U.S. treasury bills, S&P volatility index, gold price, and U.S. EPU i...

We examine the time-frequency co-movements and return and volatility spillovers between the rare earths and six major renewable energy stocks. We employ the wavelet analysis and the spillover index methodology from January 1, 2018 to May 15, 2020. We report that the COVID-19-triggered significant increase in co-movements and spillovers in returns a...

This study estimates the effects of double long memory and structural breaks on the persistence level of six major cryptocurrency markets. We apply the Bai and Perron’s structural break test, Inclán and Tiao’s iterated cumulative sum of squares (ICSS) algorithm, and the fractionally integrated generalized autoregressive conditional heteroscedastici...

This study examines the time-varying frequency spillovers and connectedness between U.S. sector stock markets and both crude oil and gold and their implications on portfolio management. Using the methodology of Diebold and Yilmaz (2012) and Baruník and Křehlík (2018), the results show that oil, gold, financials, utilities, communications services,...

This study combines copula functions, wavelet decomposition and conditional VaR methods to examine spillovers and diversification benefits between oil futures and ASEAN stock markets (Indonesia, Philippines, Malaysia, Singapore, Vietnam and Thailand). The results show zero tail dependence between oil and stock returns at the short term. In contrast...

This paper examines quantile return spillovers and the connectedness between crude oil futures and key precious metals (PMs) using the approach developed by Ando et al. (2022). Our findings show that using the cross-quantilogram directional spillover method results in significant spillovers from oil to PMs under an extreme downside oil market scena...

This paper examines frequency dynamic spillovers in return and volatility and the hedging ability of Green Bonds, gold, silver, oil, the US dollar index, and volatility index against downside US stock prices before and during the COVID-19 pandemic outbreak and for the short and long run. To do so, we use the Diebold and Yilmaz (2014), the TVP-VAR m...

This paper investigates the tail behavior patterns of commodity assets, the risk exposure of these assets, and how they rank given their safe haven properties. We use state-of-the-art dynamic generalized autoregressive score models to jointly estimate tail risk measures for ten commodity assets (aluminum, copper, crude oil, gasoline, gold, heating...

This paper investigates the hedge and safe-haven properties of green bonds (GBs) performing as a safeguard against oil price shocks and uncertainty, in comparison to the corresponding roles of gold, the 3-month European government bills and the U.S. 3-Month T. bills. Oil price shocks are disentangled into oil supply, oil demand, and oil risk shocks...

Purpose This study examines the extreme quantile connectedness and spillovers between West Texas Intermediate (WTI) crude oil futures and ten Vietnamese stock market sectors. Knowledge of such links is important to both investors and policymakers in understanding the transmission of shocks across markets. Design/methodology/approach The authors em...

This study examines the multiscale spillovers between five important emerging stock markets namely, Brazil, Russia, India, China, and South Africa (BRICS) and both Dow Jones Islamic stock market index (DJIM) and Dow Jones Sukuk index (DJ Sukuk) using bivariate and multivariate wavelet approaches. The results show evidence of strong time-scale co-mo...

This paper examines the quantile relationships between the Saudi Riyal (SAR) exchange rate pressure, CDS spreads, total reserve assets, and oil prices. Using the available monthly data ranging from 2008 to 2018, and employing the error correction model, the results show a negative and significant relationship between the long-run coefficient of the...

This paper examines the asymmetric spillovers and connectedness between the spot prices of West Texas Intermediate crude oil and six popular currencies—the Euro, Japanese Yen, British Pound, Australian Dollar, Swiss Franc, and Canadian Dollar. We analyze the asymmetric realized volatility spillovers spot prices as well as the higher moments such as...

In this study, we examine the frequency volatility spillovers, connectedness, and quantile dependence between precious metals futures (gold, palladium, platinum, and silver) and the main US foreign exchange rates of Australia, Canada, China, Eurozone, Japan, Switzerland, and the UK. We use them as a hedging tool for developed currency markets. We f...

This paper examines the time-frequency spillovers and connectedness between the major precious metals futures markets (gold, palladium, platinum, and silver), the West Texas Intermediate (WTI) oil futures, the US stock market, the US 10-year Treasury Bond (T-Bond) market, and the US dollar index. Applying Barunik and Krehlik’s (2018) novel framewor...

Using the asymmetric Baba-Engle-Kraft-Kroner (BEKK)-GARCH model and the frequency spillover methodology by Baruník and Křehlík (2018), this paper examines spillovers and portfolio management between crude oil and US Islamic sector stocks. The results show significant time-varying spillovers between oil and Islamic sectors. The short-term spillovers...

We examine the impact of COVID-19 pandemic crisis on the pricing efficiency and asymmetric multifractality of major asset classes (S&P500, US Treasury bond, US dollar index, Bitcoin, Brent oil, and gold) within a dynamic framework. Applying permutation entropy on intraday data that covers between April 30, 2019 and May 13, 2020, we show that effici...

This study investigates the multifractality behavior, time-varying efficiency, and long memory in leading precious and industrial metals futures markets. We use Hurst exponent and an asymmetric multifractal detrended fluctuations analysis (A-MF-DFA). We show significant asymmetric multifractality. Moreover, gold has the lowest asymmetric multifract...

We examine the impacts of the COVID-19 pandemic and global risk factors on the upside and downside price spillovers of MSCI global, building, financial, industrial, and utility green bonds (GBs). Using copulas, CoVaR, and quantile regression approaches, we show symmetric tail dependence between MSCI global GB and both building and utility GBs. More...

This study examines the volatility spillovers between the US stock market (S&P500 index) and both oil and gold before and during the global health crisis (GHC). We apply the FIAPARCH-DCC model to the 15-minute intraday data. The results showed negative (positive) conditional correlations between the S&P500 and gold (oil). The time-varying condition...

We examine the quantile return spillovers between oil and international REIT markets (Australia, Belgium, Canada, France, Germany, Hong Kong, Italy, Japan, Netherlands, New Zealand, Singapore, UK, and US). Using a quantile connectedness approach, we show that the extreme oil–REIT nexus is heterogeneous and asymmetric. The return spillover is strong...

Purpose: This paper examines asymmetric multifractality (A-MF) in the leading Middle East and North Africa (MENA) stock markets under different turbulent periods (global financial crisis [GFC] and European sovereign debt crisis [ESDC], oil price crash and COVID-19 pandemic). Design/methodology/approach: This study applies the asymmetric multifract...

This paper examines the time-frequency return and volatility spillovers between major commodity futures (copper, crude oil, gold, and wheat) and currency markets (British pound, Canadian dollar, Euro, Japanese yen, Swedish krona, and Swiss franc) using the methodologies by Diebold and Yılmaz (2012) and Baruník and Křehlík (2018). The results show t...

This study examines the quantile relationships among silver, gold, gold mining, oil and energy sector uncertainty indexes. Using a quantile cross-spectral approach, results show that the uncertainty indexes have a time- and quantile-dependent structure. Moreover, the extent of dependence is higher at the long term than at the short- and medium-term...

This study examines the multiscale spillovers and nonlinear causalities between the crude oil futures market and the stock markets of the United States (US), Canada, China, Russia, and Venezuela before and during the COVID-19 pandemic. Using the wavelet coherency method, we find strong co-movement between the oil futures market and these five stock...

This study examines the dynamic asymmetric return spillovers between gold and oil commodity futures and 22 European equity sectors using the Diebold and Yilmaz (2012) approach. The results show that gold and oil markets are the net recipients of return transmissions from the system, whereas the majority of equity sectors are the net transmitters of...

This paper examines the dynamic and frequency spillovers between global Green Bonds (GBs), WTI oil and G7 stock markets using the time-frequency spillover index by Baruník and Křehlík (2018) and wavelet coherency approach. The results show that the spilllovers is dynamic and crisis-sensitive. Furthermore, adding GBs and oil futures to stock portfol...

This paper examines the return and volatility transmission between the fossil oil market and two mostly traded seafood commodity markets of salmon and shrimp. A unique feature of these markets is that biofuel feedstocks are used as essential feed ingredients in seafood production. The empirical analysis relies on a relatively new econometric method...

This paper investigates the co-movements among precious metals (gold, silver, platinum, and palladium) across time-frequency domains and investment horizons and its implications for dynamic hedging, asset allocation, and utility gains. Based on a multiple wavelet coherence analysis, combined with Dynamic Conditional Correlation Generalized Autoregr...

This study examines the connectedness among 28 commodity futures markets comprising precious metals, industrial metals, energy, agriculture, and livestock. We use the frequency-domain spillover method of Baruník and Křehlík (2018) and wavelet approach to account for investment horizons. The results show evidence of time-varying spillovers, which is...

Purpose This paper aims to examine the frequency of co-movements and asymmetric dependencies between bitcoin (BTC), gold, Brent crude oil and the US economic policy uncertainty (EPU) index. Design/methodology/approach The authors use a wavelet approach and a quantile-on-quantile regression (QQR) method. Findings The results show a positive interd...

This paper examines the dynamic frequency co-movements and volatility spillovers between crude oil, gas oil, gasoline, heating oil, and natural gas futures markets during the global financial crisis and European crisis (GFC & ESDC), recent oil price crash, and COVID-19 pandemic crisis. We apply the spillover index by Diebold and Yilmaz (2012) and w...

This paper examines price-switching spillovers between the US and Chinese stock, crude oil, and gold futures markets before and during the COVID-19 pandemic. Using a Markov-switching vector autoregressive model, we show that stock markets were mainly influenced by their own shocks, with effects that were sensitive to regime shifts. Connectedness ne...

This paper examines the dependence structure between precious metals (gold, silver, platinum, and palladium) and industrial metals (aluminum, copper, zinc, tin, lead, and nickel) futures under different market statuses and time investment horizons. Using the quantile cross-spectral approach, we show evidence of a significant symmetric positive depe...

This paper examines the volatility spillover effects between precious metals futures (gold, palladium, platinum, and silver), Brent oil futures, and ASEAN stock markets (Indonesia, Malaysia, Philippines, Singapore, Thailand, and Vietnam) at multiple time horizons and during bear and bull market periods. The results show that precious metals, crude...

This paper examines the frequency dynamics of volatility spillovers between Brent crude oil and stock markets in the US (S&P500 index), Europe (STOXX600 index), Asia (Dow Jones Asia index) and five vulnerable European Union (EU) countries known as the GIPSI (Greece, Ireland, Portugal, Spain, and Italy). We use the methodologies developed by Diebold...

Purpose This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between positive and negative returns. Design/methodology/approach This paper employs the spillover index of Diebold and Yilmaz (2012) to measure the volatility spillover i...

This paper examines whether tracking the infectious diseases affects the oil, gold and dollar returns and their dynamic interlinkages. Using a quantile regression approach, we find that tracking the infectious diseases reduces (maximizes) the oil and gold returns at low (high) quantiles. In contrast, the relationship between tracking the diseases a...

This paper examines the time–frequency connectedness between major precious metals markets (gold, palladium, platinum and silver) and their importer and exporter countries’ stock indices (China, Germany, Japan, Korea, UK, Australia, Bulgaria, Mexico, and Russia). We use the time-frequency domain spillover index methodology of Baruník and Křehlík (2...

This paper examines the dependence structure, risk spillovers and conditional diversification benefits (CDBs) between oil and six non-ferrous metals futures markets (aluminum, copper, lead, nickel, tin, and zinc), using a variety of copula functions and Conditional Value at Risk (CoVaR) measure. The results show significant lower tail dependence an...

This paper examines the frequency of spillovers between crude oil futures and the Middle East and North Africa (MENA) stock markets. We use the methodologies proposed by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) and the wavelet coherency approach. The results show time-varying volatility spillovers in the considered markets. The shor...

This paper examines the dependence structure and systemic risk between WTI crude oil futures, New York Harbor gasoline futures, Henry Hub natural gas futures, and important stock markets in the MENA region, paying attention to the periods before and after the mid-2014 oil price crash. Various copula functions along with the Variational Mode Decompo...

This study examines the short-, intermediate-, and long-term volatility spillovers between developed (Australia, Canada, France, Germany, Japan, UK, and US) and emerging BRICS (Brazil, Russia, China, India, and South Africa) stock markets and strategic commodity futures markets (oil and gold). Using Baruník and Křehlík's (2018) methodology, we find...

This study investigates dynamic frequency connectedness for volatility differences among eight popular cryptocurrencies (Bitcoin, Ethereum, Litecoin, Dash, Monero, Ripple, Nem and Stellar). It employs the methodologies of Diebold and Yilmaz (2014; 2016) and Baruník and Křehlík (2018). Furthermore, an analysis of diversification benefits and downsid...

This paper examines the frequency of spillovers between crude oil futures and the Middle East and North Africa (MENA) stock markets. We use the methodologies proposed by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) and the wavelet coherency approach. The results show time-varying volatility spillovers in the considered markets. The shor...

This study examines frequency volatility spillovers, connectedness and the nonlinear dependence between the European emission allowance (EUA) prices and renewable energy indices. For this purpose, we use a time-scale spillover index and different copula functions. The results show a dominance of short-term volatility spillovers between carbon price...

This paper uses the wavelet method to investigate co-movements between the five emerging stock markets of Brazil, Russia, India, China, and South Africa (BRICS), and the oil and natural gas markets. The results show co-movements between oil price and stock market returns at the lower scale or in the long-term. Coherence between oil and stock market...

This paper examines the asymmetric return spillovers between crude oil futures, gold futures and ten sector stock markets of China. The results show using the spillover index of Diebold and Yilmaz (2012, 2014) time-varying asymmetry spillovers among commodity and the ten sectors. Industrials and consumer discretionary sectors are the largest contri...

This paper examines the volatility transmission between crude oil and four precious metals (i.e., gold, silver, platinum, and palladium) and investigates whether oil can be considered as a hedge or safe-haven asset against four precious metals. Our empirical analysis reveals several important findings. First, we determine that the volatility transm...

This study examines the asymmetric multifractality and the market efficiency of the stock markets in the countries that are the top crude oil producers (USA, KSA, Canada and Russia) and consumers (Brazil, China, India, and Japan) using an asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method. The results show evidence of an asymm...

This paper investigates the upward and downward multifractality and time-varying efficiency of green bonds (GBs) using the asymmetric MF-DFA method and Hurst exponents. The results reveal significant asymmetrical multifractality for all GB markets, which increased as the scale increased. Moreover, GB markets are inefficient and vary across market t...

We examine the volatility spillovers and hedging characteristics between four major precious metals futures (gold, palladium, platinum, and silver) and seven major currencies (Australian dollar, British pound, Canadian dollar, Chinese yuan, Euro, Japanese yen, and Swiss franc) at three time horizons (short term, intermediate term, and long term). W...

This paper examines the spillovers and connectedness between crude oil futures and European bonds markets (EBMs) having different maturities. We also analyze the hedging effectiveness of crude oil futures-bond portfolios in tranquil and turbulent periods. Using the spillovers index of Diebold and Yilmaz (2012, 2014), we show evidence of time-varyin...

This paper examines the dynamic asymmetric volatility connectedness among ten U.S. stock sectors (Consumer Goods, Consumer Services, Financials, Health Care, Materials, Oil and Gas, Technology, Telecom, Real Estate Investment Trust (REIT), and Utilities). We use the methodology of Diebold and Yilmaz (2012, 2014, 2016) and the realized semivariances...

This paper examines co-movements, risk spillovers, and portfolio implications between precious metals (gold, platinum, and silver) and main energy (crude oil, natural gas, gasoline, and gas oil) futures price returns. We use the spillover index, different wavelet approaches, and different diversification tools. The results show dynamic volatility a...

This study investigates the tail dependence switching and systemic risk between crude oil and both U.S. Islamic (Dow Jones Islamic World Index) and conventional (Dow Jones Market Index) stock markets. We apply dependence-switching copula approach, which allows for a state-varying dependence among markets under different market regimes (bear-bear, b...

This study used hourly data to examine the dynamic conditional correlations and hedging strategies in the main cryptocurrency markets: Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), and Ripple (XRP). Multivariate generalized autoregressive conditional heteroskedasticity family models provided evidence of significant positive dynamic conditional cor...

This study examines the dependence structure and systemic risk concerning Sukuk, Sharia, and the Gulf Cooperation Council (GCC) stock markets. We first use copula functions to investigate the dependence structure between these markets, and subsequently, apply the conditional value‐at‐risk (CoVaR) and delta CoVaR (∆ CoVaR) to assess the systemic ris...

This study examines the co-movements between price returns of precious metals (gold and silver) and non-ferrous metals (aluminium, copper, Lead and zinc). To do this, we use the spillover index developed by Diebold and Yilmaz (2012) and various wavelet. The results show that aluminum is the highest contributor to shocks in the other metal markets w...

This study (i) compares the performance of 22 Islamic and conventional Dow Jones stock market indices during the recent pre-crisis and post-crisis periods, namely, the global financial crisis (GFC) and the European sovereign debt crisis (ESDC); (ii) analyzes the time-frequency co-movements between conventional and Islamic stock sectors; and (iii) e...

In this research, we study the multifractality, long-memory process, and efficiency hypothesis of six major cryptocurrencies (Bitcoin, Ethereum, Monero, Dash, Litecoin, and Ripple) using the time-rolling MF-DFA approach. For an in-depth analysis, this study uses the quantile regression approach to examine the determinants of efficient markets. The...

This study examines the extreme dependence and nonlinear causality between economic policy uncertainty (EPU) and major real foreign exchange markets (FER) in Australia, Canada, China, the E.U., Japan, Mexico, the U.K., and the U.S.. For a deepen analysis, we also explore the financial uncertainty (FU)-FER nexus. To do this, we used both the Quantil...

This is an empirical study on the causal relationship between CO2 emissions, GDP per capita, energy consumption, domestic credit, exports and money supply in Saudi Arabia for the years from 1971 to 2014. The paper follows an Autoregressive Distributed Lag (ARDL) model for cointegration, and an ARDL bounds test for long-run, short run and joint caus...

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...

We analyze dynamic return and risk spillovers between commodity futures (energy & precious metals) and the Gulf Cooperation Council (GCC) stock markets. Utilizing dynamic equicorrelation (DECO) models and the spillover index of Diebold and Yilmaz, we show the existence of significant return and risk spillovers between the commodities and the GCC st...

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 diversification and hedging properties of Bitcoin (BTC) and gold assets for oil and S&P GSCI investors. We model and forecast the volatility performance of the pairs BTC–oil, gold–oil, BTC–S&P GSCI, and gold–GSCI using five bivariate DCC-GARCH family models, two popular forecasting measures (MSE and MAE), the Diebold and Mar...

This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns. Our results show evidence of structural breaks and asymmetric mu...

This paper studies the Granger-causality between the U.S. stock market and five stock markets in so-called ‘debtor countries’ of the European Union: Greece, Ireland, Portugal, Spain and Italy (GIPSI). We consider four novel methods in the study: (i) General Entropy-based Method, (ii) First-order Approximation of Likelihood Ratios (LR), (iii) Basic...

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 paper uses wavelet coherence and cross wavelet transform approaches to examine co-movement between Bitcoin and five major cryptocurrencies (Dash, Ethereum, Litecoin, Monero and Ripple) and their portfolio risk implications. The results show evidence of co-movements in time frequency space with leading relationships of Bitcoin with Dash, Monero...