Browsing by Author "Naeem MA"

Now showing 1 - 6 of 6

Can Bitcoin Glitter More Than Gold for Investment Styles?
(SAGE Publications Inc, 2020-05-26) Naeem MA; Hasan M; Arif M; Shahzad SJH
We compare the hedging, safe-haven, and diversification potential of gold and Bitcoin for different investment styles and industry portfolios in the United States. We find that gold is at least a weak hedge for the style and industry portfolios except for utilities, energy, and telecom. The hedging potential of gold is comparatively higher for large-cap portfolios, whereas Bitcoin offers minimal hedging effectiveness. However, Bitcoin shows hedging potential for the noncyclical industries. Although investors need a higher amount of investment to hedge the downside risk using gold, it still is a superior hedging instrument compared with Bitcoin. Finally, the analysis using the conditional diversification approach shows that gold is a superior and stable diversifier for style and industry portfolios. Overall, our findings provide evidence of superior safe-haven and hedging potential of gold over Bitcoin.
Geopolitical risk and tourism stocks of emerging economies
(MDPI (Basel, Switzerland), 2020-11-07) Hasan M; Naeem MA; Arif M; Hussain Shahzad SJ; Mohd Nor S
A bulk of literature suggests that geopolitical events such as terrorist attacks dampen tourism demand. However, there is little research on whether this effect helps predict the return of the tourism equity sector. We provide country-level evidence on whether local and global geopolitical risk (GPR) predicts the first and second moments of tourism stocks in emerging economies. This objective was achieved by employing the non-parametric causality-in-quantiles (CiQ) model and a cross-quantilogram (CQ) test, which allowed us to uncover the predictive potential of GPR for the tourism sector equities. Our findings, obtained through the CiQ model, suggest that while both local and global GPRs carry significant potential for predicting the returns and volatility of tourism stocks of most emerging economies under normal market conditions, they seem to play no such role in certain countries. These countries include South Korea, for which only a limited number of tourism stocks trade on the domestic stock market compared to other sectors, and Colombia, for which both the domestic stock market and tourism sectors are at an emerging stage. Further, it turns out that, compared to its local counterpart, global GPR has a more pronounced predictive power for the tourism stocks of emerging economies. Finally, with some exceptions, the results are qualitatively similar, and hence reasonably robust, to those when a directional predictability model is applied. Given that geopolitical shocks are largely unanticipated, our findings underscore the importance of a robust tourism sector that can help the market recover to stability as well as an open economy that allows local investors to diversify country-specific risks in their portfolios. Implications and directions for future research are discussed.
Material selection in the construction industry: a systematic literature review on multi-criteria decision making
(Springer Nature, 2025-01-21) Bajwa AUR; Siriwardana C; Shahzad W; Naeem MA
Material choice is critical for ensuring sustainability in the construction industry. Higher carbon embodiment materials contribute towards greenhouse gas emissions and global warming. Decisions on sustainable material selection depend on multiple criteria and variables, thus creating a difficulty to determine the best choice. Multi-Criteria Decision Making (MCDM) techniques have the potential to address this challenge. However, there is limited data that reviews MCDM in choosing building and construction materials. This study aims to review the MCDM methods employed in the sustainable selection of building materials within the construction industry. This systematic literature review (SLR) incorporates meta-analysis and thematic mapping through applying “PRISMA framework” and “Bibliometrix”, respectively. This study explored and analysed the records published from 2010 to 2023. This work identified the critical steps for addressing decision problems in building material selection: Establishing criteria, ranking the hierarchy, comparing the selection criteria, and enabling consistency indices. Moreover, one of the most used MCDM methods, i.e. Analytical Hierarchy Process (AHP) was particularly found particularly useful for the selection criteria and weight assignment of variables regarding the waste, recycled, and composite materials. The involvement of several criteria and alternatives raised the complexity of decision problems, leading to the use of Hybrid MCDM. Hybrid MCDM techniques possess the capacity guide informed decisions for the sustainable material selection in the construction industry.
Oil as hedge, safe-haven, and diversifier for conventional currencies
(MDPI (Basel, Switzerland), 2020-09) Liu C; Naeem MA; Rehman MU; Farid S; Shahzad SJH
The research investigates the safe-haven, hedging, and diversification function of crude oil for conventional currencies, among which five are major oil exporters, and six are major oil importers. In order to model time-varying dynamic correlations between crude oil and currencies, the study uses the Asymmetric-DCC model. The findings highlight low or negative correlations, especially during the crisis period. Next, we employ a quantile based regression framework and conclude distinct safe-haven and hedge functions of oil for major currencies. We provide additional evidence on the safe-haven, hedging, and diversification function of crude oil using the cross-quantilogram framework. The findings of out of sample analysis illustrate that the hedging effectiveness of oil is greater for oil-exporting countries. In addition, the conditional diversification benefit of oil is higher in the lower quantiles, i.e., when both foreign exchange and oil markets are in a bearish state. Finally, implications for investors, portfolio managers, and policymakers are further discussed.
Role of economic policy uncertainty in the connectedness of cross-country stock market volatilities
(MDPI (Basel, Switzerland), 2020-11) Hasan M; Naeem MA; Arif M; Shahzad SJH; Nor SM
The implied volatility index is a forward-looking indicator of fear among stock market participants. We examine the extent to which the connectedness of fear among global stock markets is driven by the cross-country connectedness of economic policy uncertainty (EPU). We use data on stock market fear and EPU indices for 13 countries, which spans from January 2011 to December 2018. To measure the connectedness among stock market fear and EPU of our sample countries, we employ two connectedness models. A cross-sectional regression model is further employed to ascertain the extent to which EPU connectedness between two countries explains the connectedness of fear between their stock markets, while controlling for bilateral linkage and country-specific factors. We find that EPU connectedness between any two partner countries significantly drives the connectedness of fear between their stock markets. The driving potential not only holds for short-and long-term connectedness, but also after controlling for bilateral linkages (bilateral trade, geographical distance, common language) and country-specific (trade and financial openness of the transmitter country) factors indicating robustness in our results.
Spillover and drivers of uncertainty among oil and commodity markets
(MDPI (Basel, Switzerland), 2021-02-23) Naeem MA; Farid S; Nor SM; Shahzad SJH; Chalikias M
The paper aims to examine the spillover of uncertainty among commodity markets using Diebold–Yilmaz approach based on forecast error variance decomposition. Next, causal impact of global factors as drivers of uncertainty transmission between oil and other commodity markets is analyzed. Our analysis suggests that oil is a net transmitter to other commodity uncertainties, and this transmission significantly increased during the global financial crisis of 2008–2009. The use of linear and nonlinear causality tests indicates that the global factors have a causal effect on the overall connectedness, and especially on the spillovers from oil to other commodity uncertainties. Further segregation of transmissions between oil to individual commodity markets indicates that stock market implied volatility, risk spread, and economic policy uncertainty are the influential drivers of connectedness among commodity markets.