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Frequency connectedness and spillovers among oil and Islamic sector stock markets : portfolio hedging implications

Mensi, Walid; Al Kharusi, Sami; Xuan Vinh Vo; Kang, … - In: Borsa Istanbul Review 22 (2022) 6, pp. 1098-1117

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...

Persistent link: https://www.econbiz.de/10014305868

Risk spillovers and portfolio management between developed and BRICS stock markets

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 41 (2017), pp. 133-155

Persistent link: https://www.econbiz.de/10011878945

Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries

Mensi, Walid; Hammoudeh, Shawkat; Xuan Vinh Vo; Kang, … - In: Journal of international financial markets, … 75 (2021), pp. 1-27

Persistent link: https://www.econbiz.de/10012820834

Diversification potential of Asian frontier, BRIC emerging and major developed stock markets : a wavelet-based value at risk approach

Mensi, Walid; Shahzad, Syed Jawad Hussain; Hammoudeh, … - In: Emerging markets review 32 (2017), pp. 130-147

Persistent link: https://www.econbiz.de/10011803251

Frequency spillovers and portfolio risk implications between Sukuk, Islamic stock and emerging stock markets

Mensi, Walid; Ur Rehman, Mobeen; Maitra, Debasish; … - In: The quarterly review of economics and finance : journal … 91 (2023), pp. 139-157

Persistent link: https://www.econbiz.de/10014461547

Cojumps and Asset Allocation in International Equity Markets

Arouri, Mohamed - 2018

This paper examines the patterns of intraday cojumps between international equity markets as well as their impact on international asset holdings and portfolio diversification benefits. Using intraday index-based data for exchange-traded funds as proxies for international equity markets, we...

Persistent link: https://www.econbiz.de/10012907781

Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications

Mensi, Walid; Hammoudeh, Shawkat; Al-Jarrah, Idries … - In: Energy economics 67 (2017), pp. 454-475

Persistent link: https://www.econbiz.de/10011897952

Frequency interdependence and portfolio management between gold, oil and sustainability stock markets

Nekhili, Ramzi; Ziadat, Salem Adel; Mensi, Walid - In: International economics : a journal published by CEPII … 176 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014468604

Spillovers and Portfolio Management between the Uncertainty Indices of Oil and Gold and G7 Stock Markets

Mensi, Walid; Ziadat, Salem Adel; Vo, Xuan Vinh; Kang, … - 2022

This study investigates the time-varying and frequency spillovers between G7 stock markets and uncertainty indices of strategic commodities (oil and gold), as well as their implications for diversified portfolios. The results show, using Baruník and Křehlík’s (2018) method, significant...

Persistent link: https://www.econbiz.de/10013291222

Dynamic linkages between developed and BRICS stock markets : portfolio risk analysis

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: Finance research letters 21 (2017), pp. 26-33

Persistent link: https://www.econbiz.de/10011807276