Journal Articles

Permanent URI for this collectionhttps://mro.massey.ac.nz/handle/10179/7915

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Author: search.filters.author.Balli FSubject: search.filters.subject.Determinants of spillovers

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    Exploring the dynamic links, implications for hedging and investment strategies between Sukuk and commodity market volatility: Evidence from country level analysis
    (Elsevier Inc, 2024-06) Billah M; Hadhri S; Balli F; Sahabuddin M
    This research paper examines the influence of spillovers between volatility of commodities (including soft commodities, precious metals, industrial metals, along with energy) and returns of sukuk. Using a notable sample of fifteen sukuk country indices and sixteen products, we examine the time-varying criterion vector autoregression (TVP-VAR) based extended joint connectedness method and contribute to the correlation analysis literature by supplying a comprehensive as well as policy-oriented analysis of the connection between sukuks and also commodities. Our results disclose that the system-wide dynamic connectedness is slowly heterogeneous and driven by financial occasions. Next, we look at the potential determinants of connectivity between sukuk and commodity markets, we find that global risk factors significantly impact the degree of spillovers between markets. In particular, the negative impacts of risk factors on spillovers suggest that some risk-mitigating properties may be related to market leverage in the composite portfolio in bear market conditions. In addition, our results, using hedging efficiency and the Sharpe ratio, confirm the hypothesis of diversification opportunities between markets that leverage dynamic connectivity networks.
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    An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices
    (Elsevier Inc, 2024-01) Kapar B; Billah SM; Rana F; Balli F
    We examine intra-regional patterns of return and volatility spillovers between economic sectors of GCC over the period from 2007 to 2021 at different frequencies. First, we investigate the connectedness of sectoral equity returns and volatilities by applying TVP-VAR frequency connectedness method and explore the different patterns and magnitudes. Second, we explore possible determinants of sectoral equity return and volatility spillovers. We identify that spillovers are regime dependent increasing their intensity during turmoil periods such as 2007–2008 crisis, 2014 oil price crash and 2020 COVID-19 pandemic. The level of contagion is the highest in the financial sector and the lowest in the energy sector. In general, while Bahrain stock market is segmented from other markets in many sectors, Saudi Arabia is losing its dominance position to UAE and Qatar to transmit shocks to other countries. In line with the literature, the liquidity and profitability positions significantly affect the extent of the spillovers which are highly dispersed across sectors. Particularly, the sectors that have high leverage tend to transmit the shock rather than absorb. Our findings confirm the heterogeneity of sectoral spillover returns and volatilities, thereby suggesting that portfolio managers can monitor the magnitude of the spillovers by controlling the financial performance of the firms and guide their investment decisions accordingly at different time horizon.