Browsing by Author "El Khoury, Rim"
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- Are interconnectedness and spillover alike across green sectors during the COVID-19 and the Russia–Ukraine conflict?Publication . Hanif, Waqas; El Khoury, Rim; Arfaoui, Nadia; Hammoudeh, ShawkatThis study investigates interconnectedness and spillover dynamics among nineteen clean energy equity subsectors during the COVID-19 pandemic and the Russia-Ukraine conflict. Using the Time-Varying Parameter Vector Autoregression (TVP-VAR) Joint Connectedness approach, the findings reveal intensified interconnectedness during crises, with the Total Connectedness Index (TCI) surpassing 100 % during COVID-19, while stabilizing amid the Russia-Ukraine conflict, indicating a partial resilience in clean energy markets. Sub-sectors such as Energy Management, Recycling, and Water consistently serve as risk transmitters, while Wind and Geothermal absorb risks, emphasizing heterogeneous roles within the sector. This high level of interconnectedness limits the ability to reduce risks within the clean energy sector alone during turbulent times. Policy interventions, such as subsidies and regulatory support for critical risk-transmitting sub-sectors, could stabilize the market and reduce systemic vulnerabilities. Sectors like Solar and Smart Grid adapt to market conditions, taking on different roles depending on crisis-specific factors, particularly in response to energy security and sustainability policies. Investors may enhance their portfolio stability by focusing on the risk-absorbing subsectors, such as Wind and Geothermal, and also adopting dynamic asset allocation strategies during crises.
- Intraday quantile coherence between oil and European sectors during the Russia-Ukraine warPublication . Hanif, Waqas; El Khoury, Rim; Kang, Sang HoonThis study examines the interconnectedness between crude oil and European sectors during the Russia-Ukraine conflict. Using a quantile coherence approach, we investigate the intraday dynamics of market interactions at different quantiles and frequencies. The findings reveal that in the short-term, oil emerges as a robust hedge for 12 sectors in stable market conditions, transitioning to a weaker hedge during bullish and bearish market conditions. Furthermore, the long-term analysis shows a stronger coherence between oil and stock sector indices. The medium-term and long-term analyses reveal shifts in dependence structures, with oil acting as a safe haven in bullish markets for specific sectors. These findings provide valuable insights for investors and policymakers in managing risks amid geopolitical events, contributing to the existing literature on oil-European sector dynamics.
- Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumersPublication . Hanif, Waqas; Hadhri, Sinda; El Khoury, RimThis study explores the connectedness between major oil-producing and consuming countries' stock markets (United States, China, Russia, India) and different oil shocks categorized as demand, supply, and risk shocks, following Ready's (2018) framework. Employing a quantile-based connectedness approach and quantile cross-spectral dependence, our analysis spans from July 02, 2007 to May 31, 2023, encompassing diverse market conditions and events. These methodologies help identify interdependence patterns in extreme market scenarios at different time intervals. Key findings show variations in how these stock markets respond to oil shocks, depending on market conditions and quantiles. Demand-related shocks have the most significant spillover effects on the United States, Russia, and India, while risk-related shocks dominate as transmitters of shocks to the United States, China, and India in median quantiles. Market interconnectedness strengthens during extreme market conditions, reflecting historical events. Additionally, bearish markets offer diversification opportunities between these countries and crude oil. This study emphasizes the need for tailored investment strategies, monitoring global oil demand trends, dynamic portfolio management, crude oil inclusion in portfolios, and proactive responses to market players and geopolitical events. These insights benefit investors and policymakers seeking to optimize strategies in the interconnected global financial landscape.