Browsing by Author "Teplova, Tamara"
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- Are REITS hedge or safe haven against oil price fall?Publication . Hanif, Waqas; Andraz, Jorge; Gubareva, Mariya; Teplova, TamaraThis paper studies the hedge against falling oil prices and the safe haven properties of fourteen major country-specific real estate investment trusts (REITs) indices for the Asian, American, European, and worldwide geographies. Our analyses are performed from both, returns and conditional volatility perspectives. Our sample spans from January 2016 until August 2022, covering the COVID-19 pandemics and the ongoing Russia-Ukraine military conflict. We find that during COVID-19, only the Japan REITs, in terms of both returns and volatility, act as a hedge for oil whereas the only hedge during the Russia-Ukraine conflict is the Netherland REITs. In addi-tion, we document diverse degrees of safe-haven and diversifiers properties for REITS from diverse geographies along the full sample and the respective sub-samples for both bearish con-ditions and elevated volatility in the oil market. Our results imply that market regulators should focus on controlling volatility in crude oil and REITs markets, especially throughout times of financial distress, as daily return volatility monitoring is a pivotal requirement for optimized investment management. Our study provides important knowledge for investors, policymakers, and market regulators.
- Impacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock marketsPublication . Hanif, Waqas; Mensi, Walid; Gubareva, Mariya; Teplova, TamaraWe examine the time-frequency co-movements and return and volatility spillovers between the rare earths and six major renewable energy stocks. We employ the wavelet analysis and the spillover index methodology from January 1, 2018 to May 15, 2020. We report that the COVID-19-triggered significant increase in co-movements and spillovers in returns and volatility between the rare earths and renewable energy returns and volatility. The rare earths act as net recipient of both return and volatility spillovers, while the clean energy stocks are net transmitters of return and volatility spillovers before and during the COVID-19 crisis. The solar and wind stocks are net transmitters/receivers of spillovers before/during the pandemic. The remaining markets shift from net spillover receivers to transmitters or vice versa; evidencing the effects of the pandemic. Our results show that cross-market hedge strategies may have their efficiency impaired during the periods of crises implying a necessity of portfolio rebalancing.
- Volatility spillovers and frequency dependence between oil price shocks and green stock marketsPublication . Hanif, Waqas; Teplova, Tamara; Rodina, Victoria; Alomari, Mohammed; Mensi, WalidThis study uses wavelet coherence and frequency connectedness techniques to examine the time-frequency dependence and risk connectivity between oil shocks and green stocks. The results show that on mid-term and long-term scales, the dependence relationships between the oil and green stock markets are tighter while lead-lag patterns are mixed and time-varying. Total risk spillovers between the oil and green stock markets are mostly conveyed over time. Risk spillovers from the oil market are substantially larger in the green stock market. Furthermore, global crises such as the Great Recession, the oil price collapse, and the COVID-19 pandemic have substantially amplified the magnitude of risk spillovers. Overall, the green stock market has not yet developed enough potential for a larger independence from the conventional energy market. Hence, for participants in the energy and financial markets who have different time horizons for asset allocation and risk management and for committed investors in particular, the examination of time-frequency dependence and risk spillovers can be quite beneficial.