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.Frequency connectedness

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    Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?
    (Elsevier B V, 2023-09) Balli F; O Balli H; Nguyen TTH
    The paper aims to explore the presence of connectedness between oil price changes and stock returns of oil & gas sector. The analysis, adopting the connectedness approach developed by and the frequency connectedness developed by demonstrates a high level of connectedness, especially during the extreme economic meltdown. The short-term (1–5 days) level of total connectedness is substantially higher than the medium-term (5–30 days) and long-term levels (30–262 days). In addition, when examining the impact of the sectors' financial characteristics on the extent of the connectedness, we found that sectors with greater solvency position (lower debt to asset ratio and higher interest coverage) are less connected with the oil price changes. The impact of sector's solvency position on connectedness (between stock return and oil prices) is even more obvious for financially more open markets. Also, change in oil prices have a less impact on the returns of sectors with higher profitability ratios. The paper, therefore, brings several implications to both policy makers and investors.
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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.