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Systemic Risk Spillovers Between Stock Returns of the Banking and Financial Sectors : Evidence from Developed and Emerging Europe

Hanif, Waqas; Mensi, Walid; Arreola Hernández, José; … - 2023

In financial markets, the risk of one bank can spill over into the risk of another. Risk contagion is more common when financial markets are fragile. This study explores the dynamics of non-linear dependence and risk spillovers between stock returns of banking and financial sectors in the...

Persistent link: https://www.econbiz.de/10014358307

Asymmetric volatility connectedness among US stock sectors

Mensi, Walid; Nekhili, Ramzi; Vo Xuan Vinh; Suleman, Tahir - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10012822000

Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?

Mensi, Walid; Hammoudeh, Shawkat; Reboredo, Juan Carlos; … - In: Emerging markets review 24 (2015), pp. 101-121

Persistent link: https://www.econbiz.de/10011538548

Distribution specific dependence and causality between industry-level U.S. credit and stock markets

Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Journal of international financial markets, … 52 (2018), pp. 114-133

Persistent link: https://www.econbiz.de/10011986230

Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas

Mensi, Walid; Hammoudeh, Shawkat; Shahzad, Syed Jawad … - In: Energy economics 67 (2017), pp. 476-495

Persistent link: https://www.econbiz.de/10011897955

Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method

Mensi, Walid; Hammoudeh, Shawkat; Shahzad, Syed Jawad … - In: Journal of banking & finance 75 (2017), pp. 258-279

Persistent link: https://www.econbiz.de/10011742164

Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Al-Jarrah, … - In: The North American journal of economics and finance : a … 49 (2019), pp. 104-120

Persistent link: https://www.econbiz.de/10012269157

An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets

Mensi, Walid; Tiwari, Aviral Kumar; Al-Yahyaee, Khamis Hamed - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 168-177

Persistent link: https://www.econbiz.de/10012176113

Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? : extreme co-movements and portfolio management analysis

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Ur Rehman, Mobeen; … - In: Pacific-Basin finance journal 62 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012491782

Short- and long-run tail dependence switching in MENA stock markets : the roles of oil, bitcoin, gold and VIX

Mensi, Walid; Hammoudeh, Shawkat; Tiwari, Aviral Kumar; … - 2019

Persistent link: https://www.econbiz.de/10012144916