All Outputs (20)

Oil shocks and the Islamic financial market: Evidence from a causality-in-quantile approach (2024)
Journal Article
Raheem, I. D., le Roux, S., & Rehman, M. U. (2024). Oil shocks and the Islamic financial market: Evidence from a causality-in-quantile approach. International Economics, 180, 1-11. https://doi.org/10.1016/j.inteco.2024.100559

This study examines the nonlinear relationship between Islamic stock indices and oil shocks. Nonlinearity is viewed from the prism of nonparametric causality-in-quantile, and oil price is decomposed into demand, supply, and risk. The objective of thi... Read More about Oil shocks and the Islamic financial market: Evidence from a causality-in-quantile approach.

Oil Shocks and the Islamic Financial Market: Evidence from a Causality-in-Quantile Approach (2024)
Journal Article
Raheem, I. D., le Roux, S., & Rehman, M. U. (2024). Oil Shocks and the Islamic Financial Market: Evidence from a Causality-in-Quantile Approach. International Economics, 180, Article 100559. https://doi.org/10.1016/j.inteco.2024.100559

This study examines the nonlinear relationship between Islamic finance and oil shocks. Nonlinearity is viewed from the prism of nonparametric causality-in-quantile, and oil price is decomposed into demand, supply, and risk. Using a... Read More about Oil Shocks and the Islamic Financial Market: Evidence from a Causality-in-Quantile Approach.

Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets (2024)
Journal Article
Mensi, W., Rehman, M. U., Gök, R., Gemici, E., & Vo, X. V. (2024). Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets. Research in International Business and Finance, 73(Part A), 1-22. https://doi.org/10.1016/j.ribaf.2024.102579

This study examines the dependence structure and risk spillovers between crude oil and eight major agricultural futures (wheat, corn, soybean coffee, cotton, lumber, cocoa, and live cattle) markets. It also analyzes the potential conditional diversif... Read More about Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets.

Portfolio risk and return between energy and non-energy stocks (2024)
Journal Article
Nautiyal, N., Alrababa'a, A. R., Rehman, M. U., Vo, X. V., & Saleh Al-Faryan, M. A. (2024). Portfolio risk and return between energy and non-energy stocks. Heliyon, 10(10), Article e31199. https://doi.org/10.1016/j.heliyon.2024.e31199

This paper aims to examine the potential for portfolio returns by adding together conventional and energy stocks with varying proportions. We examine the risk and return characteristics of a portfolio comprising energy and non-energ... Read More about Portfolio risk and return between energy and non-energy stocks.

Spillovers and multiscale relationships among cryptocurrencies: A portfolio implication using high frequency data (2024)
Journal Article
Mensi, W., Ur-Rehman, M., Vo, X. V., & Kang, S. H. (2024). Spillovers and multiscale relationships among cryptocurrencies: A portfolio implication using high frequency data. Economic Analysis and Policy, 82, 449-479. https://doi.org/10.1016/j.eap.2024.03.021

This study examines the nonlinear multiscale relationships and spillovers among the main cryptocurrencies (Bitcoin, Bitcoin cash, Ethereum, Litecoin, DASH, Ripple, and Monero) using spillover index methodology and wavelet approaches to hourly and dai... Read More about Spillovers and multiscale relationships among cryptocurrencies: A portfolio implication using high frequency data.

The asymmetric role of temperature deviations in economic growth: Fresh evidence from global countries and panel quantile estimates (2024)
Journal Article
Apergis, N., & Rehman, M. U. (in press). The asymmetric role of temperature deviations in economic growth: Fresh evidence from global countries and panel quantile estimates. International Journal of Finance and Economics, https://doi.org/10.1002/ijfe.2952

This work explores the role of weather shocks, measured as temperature deviations from their normal, in affecting GDP growth through a panel of 148 countries, spanning the period 1960–2019 and a panel quantile approach. The findings show that GDP gro... Read More about The asymmetric role of temperature deviations in economic growth: Fresh evidence from global countries and panel quantile estimates.

Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic (2023)
Journal Article
Palwishah, R., Kashif, M., Rehman, M. U., & Al-Faryan, M. A. S. (2024). Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. International Review of Financial Analysis, 91, Article 102919. https://doi.org/10.1016/j.irfa.2023.102919

Motivated by the asymmetric nature of liquidity and currency return, we set out a new liquidity-adjusted extreme risk asset pricing model. Our model estimates asymmetric risk using downside beta, downside co-skewness, and excess co-kurtosis. The empi... Read More about Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic.

Green bonds’ connectedness with hedging and conditional diversification performance (2023)
Journal Article
Rehman, M. U., Zeitun, R., Vo, X. V., Ahmad, N., & Al-Faryan, M. A. S. (2023). Green bonds’ connectedness with hedging and conditional diversification performance. Journal of International Financial Markets, Institutions and Money, 86, Article 101802. https://doi.org/10.1016/j.intfin.2023.101802

Investments in green assets are becoming increasingly significant, and they present a new asset class for investors. Consequently, the resulting connectedness among these green assets has implications for investments. Our work therefore studies 12 in... Read More about Green bonds’ connectedness with hedging and conditional diversification performance.

Dynamic time-frequency connectedness between European emissions trading system and sustainability markets (2023)
Journal Article
Suleman, M. T., Rehman, M. U., Sheikh, U. A., & Kang, S. H. (2023). Dynamic time-frequency connectedness between European emissions trading system and sustainability markets. Energy Economics, 123, Article 106726. https://doi.org/10.1016/j.eneco.2023.106726

This paper examines the time-frequency spillovers and connectedness network between European ETS and the sustainability markets. Empirically, we rely on the Baruník and Křehlík (2018) Diebold and Yilmaz (2012) spillover index to measure the time-vary... Read More about Dynamic time-frequency connectedness between European emissions trading system and sustainability markets.

Do oil shocks affect the green bond market? (2022)
Journal Article
Rehman, M. U., Raheem, I. D., Zeitun, R., Vo, X. V., & Ahmad, N. (2022). Do oil shocks affect the green bond market?. Energy Economics, 117, Article 106429. https://doi.org/10.1016/j.eneco.2022.106429

This study examines the predictive power of oil shocks for the green bond markets. In line with this aim, we investigated the extent to which oil shocks could be used to accurately make in- and out-of-sample forecasts for green bond returns. Three st... Read More about Do oil shocks affect the green bond market?.

Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond (2022)
Journal Article
Mensi, W., Rehman, M. U., & Vo, X. V. (2022). Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond. International Review of Financial Analysis, 81, 102125. https://doi.org/10.1016/j.irfa.2022.102125

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 approach... Read More about Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond.

Dependence dynamics of US REITs (2022)
Journal Article
Rehman, M. U., Shahzad, S. J. H., Ahmad, N., & Vo, X. V. (2022). Dependence dynamics of US REITs. International Review of Financial Analysis, 81, Article 102124. https://doi.org/10.1016/j.irfa.2022.102124

The US real estate market presents itself as a highly capital intensive business and therefore an important part of the US economy. We examine the presence of dependence between 50 US financial REITs from 1st January 2006 to 20th July 2020 categorize... Read More about Dependence dynamics of US REITs.

Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions (2022)
Journal Article
Rehman, M. U., Vo, X. V., McIver, R., & Kang, S. H. (2022). Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions. Energy Economics, 108, Article 105878. https://doi.org/10.1016/j.eneco.2022.105878

This study investigates relationships between US equity sector returns and energy commodity— crude oil, natural gas, gasoline, and gas oil—prices over short-run and long-run investment horizons. We decompose 22 years of daily raw return series on sam... Read More about Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions.

Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure? (2021)
Journal Article
Ur Rehman, M., Al Rababa'a, A. R., El-Nader, G., Alkhataybeh, A., & Vo, X. V. (2022). Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?. Journal of International Financial Markets, Institutions and Money, 76, Article 101495. https://doi.org/10.1016/j.intfin.2021.101495

This paper examined the presence of daily returns coherence and spillover between 30 forex markets over the complete sample and crisis sub-periods. We mainly employed the quantile cross-spectral approach of Barunik and Kley (2019) to measure returns... Read More about Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?.

Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications (2021)
Journal Article
Maitra, D., Rehman, M. U., Dash, S. R., & Kang, S. H. (2021). Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. Energy Economics, 102, Article 105499. https://doi.org/10.1016/j.eneco.2021.105499

This paper investigates the direction and extent of volatility connectedness between fluctuating oil prices and the stock returns of international transportation or logistics companies. The dynamic equicorrelation, and the spillover index are employe... Read More about Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications.

The hedge asset for BRICS stock markets: Bitcoin, gold or VIX (2021)
Journal Article
Shahzad, S. J. H., Bouri, E., Rehman, M. U., & Roubaud, D. (2022). The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. World Economy, 45(1), 292-316. https://doi.org/10.1111/twec.13138

We compare the weak/strong hedging abilities of three alternative assets, namely bitcoin, gold and US VIX futures, against the downside movements in BRICS stock market indices. Results from the cross-quantilogram approach indicate that bitcoin and go... Read More about The hedge asset for BRICS stock markets: Bitcoin, gold or VIX.

Oil price risk exposure of BRIC stock markets and hedging effectiveness (2021)
Journal Article
Shahzad, S. J. H., Bouri, E., Rehman, M. U., Naeem, M. A., & Saeed, T. (2022). Oil price risk exposure of BRIC stock markets and hedging effectiveness. Annals of Operations Research, 313(1), 145-170. https://doi.org/10.1007/s10479-021-04078-0

We study the tail dependence between crude oil and BRIC stock markets using a time-varying optimal copula (TVOC) approach. We show evidence of multiple tail dependence regimes, suggesting that simple static or dynamic copula specifications do not ful... Read More about Oil price risk exposure of BRIC stock markets and hedging effectiveness.

Asymmetric Nonlinear Impact of Oil Prices and Inflation on Residential Property Prices: a Case of US, UK and Canada (2019)
Journal Article
Rehman, M. U., Ali, S., & Shahzad, S. J. H. (2020). Asymmetric Nonlinear Impact of Oil Prices and Inflation on Residential Property Prices: a Case of US, UK and Canada. Journal of Real Estate Finance and Economics, 61(1), 39-54. https://doi.org/10.1007/s11146-019-09706-y

This paper examines the nonlinear impact of oil prices and inflation on residential prices in the US, the UK and Canada using quarterly data from 1975 to 2017. The study uses nonlinear autoregressive distributed lag (NARDL) bounds testing approach th... Read More about Asymmetric Nonlinear Impact of Oil Prices and Inflation on Residential Property Prices: a Case of US, UK and Canada.

Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach (2018)
Journal Article
Uddin, G. S., Rahman, M. L., Shahzad, S. J. H., & Rehman, M. U. (2025). Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach. Energy Economics, 73, 108-121. https://doi.org/10.1016/j.eneco.2018.05.024

This paper examines the nonlinear effect of oil price shocks on precious metal returns using Markov regime switching regression. We use Ready's (2018) approach to decompose oil price changes into supply, demand, and risk driven shocks. Results indica... Read More about Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach.

Is CAPM a Behavioral Model? Estimating Sentiments from Rationalism (2018)
Journal Article
Apergis, N., & Rehman, M. U. (2018). Is CAPM a Behavioral Model? Estimating Sentiments from Rationalism. Journal of Behavioral Finance, 19(4), 442-449. https://doi.org/10.1080/15427560.2018.1431885

The authors investigate the role of investor sentiment in asset pricing. In particular, they explore whether this investor sentiment has the ability to be predicted by the residuals from the capital asset pricing model (CAPM). The analysis makes use... Read More about Is CAPM a Behavioral Model? Estimating Sentiments from Rationalism.