Percorrer por autor "Khoury, Rim El"
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- How do GCC countries stocks interact with US and European debt markets?Publication . Hanif, Waqas; Khoury, Rim El; Gubareva, MariyaThis study conducts a comprehensive analysis of interconnectedness in Gulf Cooperation Council (GCC) equity markets and global bond markets, primarily focusing on European Monetary Union (EMU) and US bonds, from July 2007 to September 2023. Using innovative methodologies such as quantile connectedness and quantile coherency, we capture the dynamic relationships across different market conditions, particularly during extreme events. The quantile connectedness includes a moderate to low degree of interconnectedness during normal market conditions, intensifying during extreme market conditions. The United Arab Emirates (UAE) and Saudi Arabia are identified as influential players, transcending borders to impact returns in other GCC markets. Roles of GCC countries as net transmitters or receivers of returns shift over time, necessitating adaptable investment strategies. The interconnectedness of GCC markets with bonds responds differently to global crises and turbulences, including geopolitical and health crises. Our quantile coherence analysis provides insights for risk management and portfolio allocation. These findings have crucial implications for investors, encouraging adaptive asset allocation strategies, and for policymakers to monitor intra-regional spillovers in shaping market dynamics.
- Interplay of crises: unpacking intraday spillovers in oil and European equities in the shadow of the COVID-19 and the Ukraine-Russia warPublication . Alshater, Muneer M.; Hanif, Waqas; Khoury, Rim El; Mensi, WalidThis study investigates the time-varying frequency of spillovers between European stock markets and oil during the COVID-19 pandemic and the Russia-Ukraine war. Using the spillover index by Diebold & Yilmaz, 2012 and Baruník & Kˇrehlík, 2018, we analyze high-frequency data at a 5-min interval to analyze the interplay between crude oil market returns and the Stoxx 600 index returns, including sectors such as auto, basic material, banks, chemicals, food and beverage, health, industrials, insurance, oil and gas, retail, real estate, technology (tech), telecommunication (telecom), and utilities. The sample period is January 3, 2022, to March 25, 2022. Our findings reveal a substantial degree of connectedness within this financial network, with specific sectors—auto, chemicals, food, industrials, insurance, real estate, retail, tech, and telecom—acting as net transmitters of shocks, while other sectors assume the role of net receivers. The Russia-Ukraine war is a significant driver of these interconnected dynamics. Spillovers are most prevalent in the medium-term horizon, with the time dimension affecting the role of sectors and oil. Furthermore, our research highlights the potential benefits of adding oil assets to portfolios, enhancing risk-adjusted performance. However, ongoing risk management remains crucial due to the dynamic hedge ratios. This study offers practical insights for investors and policy makers, aiding risk management and investment strategies in turbulent markets.