Center for Advanced Studies in Management and Economics

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Publications

Are REITS hedge or safe haven against oil price fall?

Publication . Hanif, Waqas; Andraz, Jorge; Gubareva, Mariya; Teplova, Tamara

This 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.

2024Journal article

Open access

Impacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock markets

Publication . Hanif, Waqas; Mensi, Walid; Gubareva, Mariya; Teplova, Tamara

We 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.

2023-01Journal article

Open access

Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets

Publication . Hanif, Waqas; Areola Hernandez, Jose; Troster, Victor; Kang, Sang Hoon; Yoon, Seong-Min

In this paper, we investigate the nonlinear dependence dynamics among eight cryptocurrencies (Monero, Bitcoin, Dash, Litecoin, Stellar, XRP, Ethereum, and Nem) by applying time-varying copulas. We also examine the upside and downside spillovers between cryptocurrencies and equity markets by a conditional Value-at-Risk (CoVaR) approach. We show that the dynamics of dependence of the portfolio of cryptocurrencies reveal both symmetric and asymmetric features, with the symmetric dynamics being more predominant. NEM and Ethereum have the largest downside and upside CoVaR spillovers on the world equity index, respectively. The largest downside CoVaR spillovers from the world equity index are to NEM followed by Stellar, and the largest upside spillovers are to Ethereum followed by NEM. Stellar and Bitcoin exhibit the largest downside and upside CoVaR spillovers on the Americas equity index. The largest downside CoVaR spillovers from the Americas equity index are to Stellar and NEM, and those on the upside are to Ethereum and NEM. In addition, we find that most cryptocurrencies exhibit safe haven or hedge properties more often than rare metals and diamonds for daily equity indices. Finally, we conduct an out-of-sample analysis of optimal-weighting portfolio strategies based on C-vine copulas using cryptocurrencies and equity indices that entails forward-looking measures of risk that are economically significant, which outperform benchmark strategies.

2022-09Journal article

Restricted access

The moderating role of tourism intensity on residents’ intentions towards pro-tourism behaviours

Publication . Lança, Milene; Silva, joão; Andraz, Jorge; Nunes, Rui; Pereira, Luis

This study analysed the complex dynamics of tourism based on perspectives and intentional behaviours of residents. The analysis focused on how residents perceive the effects of tourism, their satisfaction with it, their subjective well-being, and their inclinations towards pro-tourism behaviours. By merging social exchange theory and bottom-up spillover theory, it also investigates tourism intensity (TI) as a moderator, which has been understudied. A representative sample of 990 residents, in both high and low TI municipalities of the Algarve region, was surveyed. The model was estimated using PLS-SEM. The results revealed significant differences in residents' perceptions based on TI. Residents in high TI areas perceived stronger effects on satisfaction due to negative and positive impacts of tourism. However, TI did not affect the relationships between satisfaction with tourism, subjective well-being, and intentions for pro-tourism behaviours. The economic gains created by tourism may differ from the social and psychological factors shaping residents' well-being. These outcomes offer valuable insights for destination managers and politicians, aiding in the development of strategies to alleviate the adverse effects of tourism. Directing efforts towards improving residents' satisfaction with tourism, subjective well-being, and support for tourism can also contribute to securing long-term and sustainable benefits for host communities.

2024Journal article

Open access

Spillovers and tail dependence between oil and US sectoral stock markets before and during COVID-19 pandemic

Publication . Mensi, Walid; Hanif, Waqas; Bouri, Elie; Vo, Xuan Vinh

PurposeThis paper examines the extreme dependence and asymmetric risk spillovers between crude oil futures and ten US stock sector indices (consumer discretionary, consumer staples, energy, financials, health care, industrials, information technology, materials, telecommunication and utilities) before and during COVID-19 outbreak. This study is based on the rationale that stock sectors exhibit heterogeneity in their response to oil prices depending on whether they are classified as oil-intensive or non-oil-intensive sectors and the possible time variation in the dependence and risk spillover effects.Design/methodology/approachThe authors employ static and dynamic symmetric and asymmetric copula models as well as Conditional Value at Risk (VaR) (CoVaR). Finally, they use robustness tests to validate their results.FindingsBefore the COVID-19 pandemic, crude oil returns showed an asymmetric tail dependence with all stock sector returns, except health care and industrials (materials), where an average (symmetric tail) dependence is identified. During the COVID-19 pandemic, crude oil returns exhibit a lower tail dependency with the returns of all stock sectors, except financials and consumer discretionary. Furthermore, there is evidence of downside and upside risk asymmetric spillovers from crude oil to stock sectors and vice versa. Finally, the risk spillovers from stock sectors to crude oil are higher than those from crude oil to stock sectors, and they significantly increase during the pandemic.Originality/valueThere is heterogeneity in the linkages and the asymmetric bidirectional systemic risk between crude oil and US economic sectors during bearish and bullish market conditions; this study is the first to investigate the average and extreme tail dependence and asymmetric spillovers between crude oil and US stock sectors.

2023-02Journal article

Restricted access