This study aims to investigate the spillover effects from geopolitical risks (proxied by the geopolitical risk index) and cryptocurrencies-related uncertainty (proxied by the Cryptocurrency Uncertainty Index) to cryptocurrencies. We utilize the Baruník and Křehlík (2018) framework to detect...

This paper examines the volatility spillovers and the contagion effects of the 2007-2009 global financial crisis across the U.S. conventional stock market and a sample of local and global Islamic and conventional stock markets provided by the Dow Jones index, namely the United Kingdom, Canada,...

The paper analyzes the time variation in volatility in the Doha Securities Market and examines the presence of structural changes in GARCH-based conditional volatility during the period 2002-2008. This issue is related to the market liberalization reforms permitting foreign investors to enter...

The main objective of this paper is to evaluate the role of safe-haven assets (SHAs) in enhancing the performance of an international portfolio (IP) during financial crises. The paper used daily price data from 2007 to 2024 and focused on three major financial crises: The Global Financial Crisis...

Advances in portfolio optimisation techniques have given rise to studies that aim to identify changes in correlation structures between markets in times of economic turmoil. This phenomenon is known as contagion. This article aims at providing a new approach to distinguish between contagion and...

Export competitiveness is an important issue for any country. This paper aims to discern the factors that affect the export competitiveness of a country. Malaysia is taken as a case study. Theoretically, exports are expected to be affected, among others, by factors such as, inflation rate,...

The paper analyzes dynamic interactions among four macroeconomic variables, namely real gross domestic product (GDP), real exports, real exchange rate and foreign direct investment (FDI) for the Malaysian case using standard time series techniques. Malaysia’s GDP seems to be more driven by...

This study explores the possible cointegrating relationship between the Malaysian Islamic index (EMAS) with other regional and international Islamic indices represented by Dow Jones Islamic Index. We selected five variables for the purpose of this study including EMAS and four Dow Jones Islamic...

We examine the asymmetric and nonlinear nature of the cross- and intra-market linkages of eleven EMU sovereign bond and CDS markets during 2006-2018. By adopting the excess correlation concept of Bekaert et al. (2005) and the local Gaussian correlation approach of Tjøstheim and Hufthammer...

The connection between oil price fluctuations and stock markets has gained much attention in the recent decades due to the critical importance of global oil prices. This paper aims to study the Granger-causal relationship between real prices of the Islamic stock market and real oil prices – a...