Interrelations of U.S. market fears and emerging markets returns: Global evidence

Sarwar, Ghulam; Khan, Walayet A.

doi:10.1002/ijfe.1677

Cited by 20 publications

(9 citation statements)

References 48 publications

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“…As a result of financial globalisation, international investors must consider the volatility of international financial markets in their investment decisions. Noteworthy is the fact that the CBOE VIX index is also called the fear index, emphasising that it reflects the tension created by the anxiety of investors and the perception of risk (Nicola et al, 2020 ; Salisu & Akanni, 2020 ; Sarwar & Khan, 2019 ; Shehzad, Xiaoxing, et al, 2021 ). Many studies in the literature show that the VIX index and important economic indicators, such as oil prices, exchange rates, consumer confidence index, gold‐silver prices and interest rates, are in a close relationship (Badshah et al, 2018 ; Peng et al, 2019 ; Qadan & Yagil, 2012 ; Salisu et al, 2020 ; Zheng et al, 2017 ).…”

Section: Resultsmentioning

confidence: 99%

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

2021

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This paper investigates the resilience of environmentally friendly companies in an overwhelming economic and social environment that has been generated after the outbreak of the novel coronavirus disease (COVID‐19) pandemic. To this respect, we have investigated the cointegration between the Standard & Poor's (S&P) 500 Carbon Efficiency Index (CEI) with COVID‐19 cases, supplemented with covariates such as government response stringency to the pandemic, economic policy uncertainty, oil prices and global markets fluctuations. We have used daily data from 2nd January to 5th October 2020 and have employed a robust estimator within a Fourier approach to accommodate both sharp and smooth breaks. Our results suggest that green companies have been positively affected by the outbreak of COVID‐19. Our paper provides practical implications for companies that wish to furnish themselves with resilience during rough times and stakeholders who wish to invest in safe, long‐lasting returns.

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Section: Resultsmentioning

confidence: 99%

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

2021

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“…Global fear is represented by the Chicago Board Options Exchange Volatility Index (Cboe VIX), which is known as the fear index for investors and shows volatility and panic in the market (Just and Krzysztof, 2020). It is a useful indicator in the literature that represents the global panic and fear in financial markets during crisis periods (Just and Krzysztof, 2020; Koçak et al, 2021; Salisu and Akanni, 2020; Sarwar and Khan, 2019). This study uses the indices developed by the COVID-19 Government Response Tracker (OxCGRT) to measure governments' responses to the COVID-19 outbreak (Hale et al, 2020).…”

Section: Methodology and Datamentioning

confidence: 99%

The economic implications of the COVID-19 outbreak on tourism industry: Empirical evidence from Turkey

et al. 2022

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The novel coronavirus (COVID-19) pandemic has caused tremendous fear and uncertainty and affected health, economy, and social life in an unprecedented form worldwide. Yet, the level of knowledge on its economic implications is very limited. Therefore, it is of paramount importance to explain the health, social, and economic impacts of COVID-19. Because the tourism is one of the most affected industries by the pandemic, this study aims to explain the effects of COVID-19 cases and deaths, global fear, and government responses on Turkey’s tourism industry. Empirical findings show that the tourism industry reacts negatively to new cases, number of deaths, and global fear measures. Also, government containment and health measures and economic supports positively affect the tourism industry. Furthermore, government stringency policies drive down the tourism industry’s performance. The findings of this study provide significant implications for tourism and travel firms, policy makers, and future research.

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“…Additionally, we note that past financial contagion studies focus predominantly on developed countries. Although active interest is noticeable in studying linkages between developed and emerging markets (Sarwar and Khan 2019), the niche market surrounding Islamic assets is less explored. Less is known as to whether this sector effectively shields international investments during crises.…”

Section: Islamic Assets and Contagionmentioning

confidence: 99%

Reevaluating the risk minimization utility of Islamic stocks and bonds (Sukuk) in international financial markets

Sifat

Mohamad

Zhang

et al. 2022

The European Journal of Finance

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We examine the risk minimization utility of Islamic stock and Sukuk (bond) indices by studying their linkages against traditional global counterparts. We first employ an asymmetric power ARCH-based ADCC model on an extended dataset employed by Kenourgios et al. (2016). Our sample ranges from July 2007 to June 2021 covering the Global Financial Crisis (GFC), the European Sovereign Debt Crisis (ESDC), and the COVID-19 pandemic. Econometric tests suggest strong evidence of coupling in the bulk of Islamic equity indices. A handful of emerging market indices constitute exceptions. Qualitatively similar results emerge from time-frequency analysis via wavelet tools, revealing pervasive coupling in both returns and volatility series. The linkages are scale-dependent in only a few pairs. In contrast, Sukuk indices are uncoupled from their global fixed income counterparts and relevant risky debt portfolios. In sum, the risk-return characteristics of Islamic equities (especially in developed economies) remain coupled to major global benchmarks and therefore are unlikely to appeal as safe haven candidates. The converse applies to Sukuk, which promises potential portfolio diversification benefits and safe haven status in 'normal' and crisis periods.

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Interrelations of U.S. market fears and emerging markets returns: Global evidence

Cited by 20 publications

References 48 publications

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

The economic implications of the COVID-19 outbreak on tourism industry: Empirical evidence from Turkey

Reevaluating the risk minimization utility of Islamic stocks and bonds (Sukuk) in international financial markets

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