Journal Articles

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

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    Asymmetric connectedness and investment strategies between commodities and Islamic banks: Evidence from gulf cooperative council (GCC) markets
    (Elsevier B V, 2024-09) Billah M; Hadhri S; Shaik M; Balli F
    The study uses the data of thirteen Islamic Banks (IB) in the GCC region and sixteen commodities that include soft agriculture, energy, industry, and precious metal commodities. Murabaha transactions makes up most of the revenues of the Islamic banks, whereas commodities set up the biggest portion of the assets among Murabaha transactions, therefore commodities and IB revenues are expected to comove. Interestingly, empirical findings suggest that most of the Islamic banks and commodities are not significantly affected by the shocks from other markets. We further observe that negative shocks have a higher impact on market connectedness among used assets compared to the positive returns and find a significant role of risk variables in explaining the magnitude of spillover between used assets. We perform robustness of our results in sub-samples periods during Shale Oil Revolution, Global Financial Crisis, and the COVID-19. Additionally, the multivariate portfolio analysis shows some risk reduction properties of the majority of the used assets. The performance evaluation measures demonstrate that weights selected based on dynamic connectedness network presents diversification opportunities. These findings help investors and portfolio managers to remain alert to the movements of the risk factors and calibrate there hedging and portfolio management strategies by taking long and short positions as incorporation of Islamic banks and commodities in the GCC region in a portfolio could yield risk reduction benefits and profitability.
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    Efficiency of the Islamic Banking Sector: Evidence from Two-Stage DEA Double Frontiers Analysis
    (MDPI (Basel, Switzerland), 2023-03) Mai XTT; Nguyen HTN; Ngo T; Le TDQ; Nguyen LP; Ftiti Z
    This paper examines the multi-dimensional efficiency of the Islamic banking sector and its determinants, including the impacts of the COVID-19 pandemic. To do that, we use a novel approach of two-stage data envelopment analysis (DEA) double frontiers to evaluate the overall efficiency of 79 Islamic banks across 16 countries (2005–2020). In the first-stage analysis, we found that the Islamic banking sector experienced an increasing trend in its efficiency and performance, even during the recent pandemic, although it varied across banks and countries. Our empirical results of the second-stage analysis further showed that economic development can help countries both withstand the recent pandemic and improve the efficiency and performance of their (Islamic) banking system. This, in turn, could help speed up the recovery process of the global economy. Since there is evidence that the Islamic banking sector is resilient to the COVID-19 pandemic, it is expected that this sector will be a driving force of such recovery.
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    Managing bank performance under COVID-19: A novel inverse DEA efficiency approach
    (John Wiley and Sons Ltd on behalf of International Federation of Operational Research Societies, 2023-09) Boubaker S; Le TDQ; Ngo T
    The evolution of the COVID-19 pandemic is highly unpredictable; however, its impacts are limited to neither a single sector nor a single country. This study evaluates the performance and efficiency of 49 Islamic banks across 10 countries during 2019-2020 to assess how those banks can preserve their performance and remain resilient in the aftermath of the COVID-19 pandemic. Using the conventional inverse data envelopment analysis (InvDEA) approach, we show that because of reductions in their outputs, 31 out of the 49 banks studied would need to reduce their inputs so that their efficiency can remain unchanged. However, we show that only 10 banks need to make such adjustments to maintain their efficiency levels using our proposed InvDEA efficiency model. The adjustment for those 10 banks would help in reducing more inputs, suggesting more cost savings, and improving the overall efficiency of the examined banks, compared with the other 31 banks.