Mohamed FAKHFEKH - Academia.edu (original) (raw)

Papers by Mohamed FAKHFEKH

Global Business Review, Sep 29, 2023

The IUP Journal of Applied Finance, 2016

This paper determines whether volatility shocks are more prevalent among conventional banks than ... more This paper determines whether volatility shocks are more prevalent among conventional banks than Islamic banks. It further tests the effect of leverage on both the banking systems. The paper uses the Fractionally-Integrated Exponential (FIEGARCH) model in modeling volatility. This allows considering a direct shock-persistence as well as shocks’ asymmetric effect. The paper applied the approach on daily returns of 12 Islamic and 12 conventional banks for the period June 15, 2006 to May 15, 2013 and the results indicate that the impact of shocks is more spread among conventional banks’ volatility compared to Islamic banks, where the volatility effect is rather transitory. Moreover, the paper finds that leverage effect is quasi-absent within Islamic banks compared to the conventional banks. Finally, the results highlight the resilience of Islamic banks with reference to the conventional banks in this regard.

Journal of Islamic Economics Banking and Finance

Research in International Business and Finance

The objective of this paper is to select the most optimum model or set of models useful for model... more The objective of this paper is to select the most optimum model or set of models useful for modeling sixteen of the most popular crypto-currencies associated volatility. Five GARCH models, with different error distributions, are fitted to each of these crypto-currencies. The most effectively fit model or superior set of models is then selected through maximizing the likelihood and minimizing the AIC and BIC information criteria. The reached results prove that the majority of crypto-currencies turn out to be rather effectively modulated via the TGARCH with double exponential distribution. Indeed, the attained findings report an asymmetric effect whereby volatility turns out to increase rather by response to positive shocks than by response to negative shocks, implying an asymmetric effect that differs from that generally observed in stock markets. The increase in volatility, as emanating in response to positive shocks may well have its justification in the uninformed investors’ undertaken herding strategies.

Journal of Asset Management, 2016

The purpose behind this paper is twofold. Firstly, it aims at discussing the relationship between... more The purpose behind this paper is twofold. Firstly, it aims at discussing the relationship between oil price and Islamic as well as conventional Dow Jones indexes. Secondly, it focuses on determining the optimal portfolio hedging strategy. In broader terms, it helps analyze the extreme dependence structure lying between oil price and Islamic as well as conventional Dow Jones indexes, using Kendall Tau estimation through copula approach. More importantly, it is designed to determine the most appropriate hedging strategy fit for oil stock portfolio against the negative variation risk predominating stock market prices. The variables involved in our research are WTI and Brent Oil Price, Islamic Dow Jones index, and conventional Dow Jones index. Using daily data relevant to the period ranging from January 1, 1996 to March 17, 2014, the study applies the FIEGARCH-EVT-Copula and Hedge ratios analysis. The reached findings have revealed that the dependence structure proves to differ noticeably among the Islamic Dow Jones – oil price and the conventional Dow Jones one. Indeed, the Islamic Dow Jones indexes appear to be more dependent on the WTI and Brent oil price than the conventional Dow Jones index. Based on the Hedging ratio and mean–variance approach, investment in Islamic index–oil portfolio has been discovered to be more beneficial as compared to investing in conventional index–oil portfolio.

International Journal of Sustainable Economy, 2015

We investigate the impact of Tunisian revolution on two fundamental features of stock index retur... more We investigate the impact of Tunisian revolution on two fundamental features of stock index returns, namely, the long memory, the asymmetric and leverage effects. Firstly, we apply the ICSS procedure to identify the eventual existence of structural breaks in volatility and secondly, we use the fractionally integrated exponential GARCH (FIEGARCH) which estimates a direct shock-persistence as well as a shock asymmetric volatility measurement. Applied to the daily returns relevant to nine sectorial stock indices and to the benchmark Tunisian index, our findings suggest that shock impact on construction, raw materials and financial service index volatility returns proves to be permanent during the revolution period, while its persistence in the other indices is found to be transitory. The leverage effect is negative, but our achieved results revealed a lower leverage effect in all indices. These results seem to be very important since the Tunisian revolution has a very important effect on the Tunisian stock exchange.

Emerging Markets Review, 2016

This paper studies the volatility dynamics of conventional and Islamic banks from the Gulf Cooper... more This paper studies the volatility dynamics of conventional and Islamic banks from the Gulf Cooperation Council (G.C.C) countries during calm and crisis periods, providing a dual comparison in time and space. In particular, it proposes an empirical measure of volatility persistence using the FIEGARCH (Fractionally Integrated Exponential Generalized Auto-Regressive Conditional Heteroscedasticity) model. This specification is useful for reproducing further asymmetry in volatility dynamics and provides a direct measure of long-term volatility dependence. Our findings point to three interesting findings. First, volatility exhibits asymmetry as bad news has a significantly higher impact on volatility than positive news. Second, bad news affects the volatility of conventional banks more strongly than that of Islamic banks. Third, it seems that following a shock, volatility is more persistent in conventional banks than in Islamic Banks. Accordingly, Islamic banks are more resilient than conventional banks, but the degree of resilience is somewhat heterogeneous and sample dependent. Thus, while this may appear to suggest that we could regulate the conventional bank system using the industry rules of Islamic banks, it is worth noting that Islamic banks in Saudi Arabia tend to provide the most resilient Islamic Bank benchmark model.

Managerial Finance, 2015

Purpose – Previously elaborated research works, dealing with the political uncertainty effect on ... more Purpose – Previously elaborated research works, dealing with the political uncertainty effect on stock market, have been primarily concerned with such political events as terrorist attacks, elections, wars, natural catastrophes and financial crashes. Such little research has been concerned with civil uprisings and revolutionary movements, as crucial sources of political uncertainty. The purpose of this paper is to study the impact of political uncertainty (resulting from the Tunisian Revolution) on the volatility of major sectorial stock indices in the Tunisian Stock Exchange (TSE). Design/methodology/approach – The authors apply the fractionally integrated exponential generalized autoregressive conditional heteroscedasticity model (FIEGARCH), which helps maintain a direct shock-persistence as well as a shock asymmetric volatility measurement. This model is applied to the daily returns relevant to nine sectorial stock indices and to the Tunisian benchmark index (TUNINDEX) with respe...

This paper applies two methodologies of herding to a number of stock markets in Africa, Asia, Eur... more This paper applies two methodologies of herding to a number of stock markets in Africa, Asia, Europe, and America, and examines how the returns behave with regard to movements in the MSCI world index. We separate the upturns and downturns in detecting the herd behavior. The results show that the herding behavior is asymmetric to the market turns. We demonstrate that herding is significantly higher during market upturns, which contradicts the earlier findings. The results of the ARCH model for herding behavior further support the asymmetric view, and the results of EGARCH(1, 1) model for herding behavior indicate that the new measure is more accurate in detecting the herding bias. Further, the Granger causality test shows that the new herding model generates both market returns and volatility. Finally, we find that the new measure implies that herding depends on four components: a constant term which means that herding exists whatever the market conditions are; a second component ind...

International Journal of Managerial and Financial Accounting, 2014

The financial markets' deregulation and globalisation have highlighted the banking systems&#3... more The financial markets' deregulation and globalisation have highlighted the banking systems' fragility in the presence of financial crises. Indeed, both conventional and Islamic banks have been affected by the recently witnessed international financial crisis. In this context, an attempt has been undertaken throughout the present work in a bid to test whether the Islamic banking return volatilities undergone during the last financial crisis might have its explanations in the contagion effect. For this purpose, the DCC-MGARCH model has been applied to estimate the conditional dynamic correlations prevailing between Islamic and conventional banking returns. Using a test of Van Royen, the results have shown that these correlations between the returns of both bank types have increased between the quiet period and the crisis period. This finding implies that contagion has been a major source of the decline witnessed in the Islamic banks' returns.

This paper aims to test the effect of asymmetric shocks on the volatility of the Dow Jones Sukuk.... more This paper aims to test the effect of asymmetric shocks on the volatility of the Dow Jones Sukuk. To this end, we applied the EGARCH model to give a clear idea of the effect of asymmetric shocks on the volatility of the sukuk. Considering the daily returns of the Dow Jones Sukuk for the period from 09/06/2009 to 31/12/2013, our results suggest that the volatility of the 2009-2010 period is very sensitive to market events over the period 2010-2013 and positive shocks are more volatile than negative one. The results have important implications for the sukuk market. This result can be explained by the good transparency, disclosure and better incentives that make investors expand their business in the market for sukuk.

J. for Global Business Advancement

The objective of this paper is, firstly, to test the existence of contagion between the conventio... more The objective of this paper is, firstly, to test the existence of contagion between the conventional and Islamic banking system, and secondly, to determine the best hedging strategy for. We use a FIEGARCH-EVT-copula model to analyse the dependence structure between the two banking systems in Gulf Cooperation Council (GCC) countries during the period from 16 June, 2006 to 15 May, 2013. Our results show the existence of a significant dependence between conventional and Islamic banks especially during the crisis period. The increase of the Kendall tau between the period before the crisis and the crisis period shows that financial contagion can be one of the most important factors of financial distress of Islamic banks. Concerning the best hedging strategy for conventional-Islamic stock portfolio, our results underscore the Islamic banking index usefulness in terms of reducing portfolio risk. Our results also corroborate the effectiveness of the hedging futures of Islamic banking indices.

The Journal of Risk Finance

PurposeThe paper analyzes downside and upside risk spillovers between stock markets of G7 countri... more PurposeThe paper analyzes downside and upside risk spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.Design/methodology/approachBy using VAR-ADCC models and conditional value at risk (CoVaR) techniques, downside and upside risk spillovers between stock markets of G7 countries and China are analyzed before and during the COVID-19 pandemic.FindingsThe results suggested existence of a significant and asymmetrical two-way risk transmission between majority of pair markets, but the degree of asymmetry differs according to the use of the entire cumulative distributions or distribution tails. Downside and upside risk spillovers are significantly larger before the COVID-19 pandemic in all cases except between CAC 40/DAX and S&P/SSE pairs.Originality/valueThe paper used CoVaR and delta-CoVaR to investigate the downside and upside spillovers between stock markets of G7 countries and China before and during the COVID-19 pandemic.

Global Business and Economics Review

Journal of Asset Management, 2021

The purpose of this paper is twofold. Firstly, it discusses the relationship between five cryptoc... more The purpose of this paper is twofold. Firstly, it discusses the relationship between five cryptocurrencies, oil prices, and US indices. Secondly, it focuses on determining the best portfolio hedging strategy. Using daily data relevant to the period ranging from January 4, 2016, to November 29, 2019, this study applies the FIEGARCH-EVT-Copula and Hedge ratios analysis. The findings obtained have shown that the crude oil (WTI) and the US indices return highlights the persistence of a negative and significant leverage effect while the cryptocurrency markets present a positive asymmetric volatility effect. Moreover, this paper show evidence of very weak dependence between all the different pairs considered before and after the introduction of Bitcoin Futures. Based on the Hedging ratio and mean-variance approach, this article suggests that to minimize the risk while keeping the same expected returns of the digital-conventional financial asset portfolio, the investor should hold more con...

Certains faits stylises caracterisent les rendements des series financieres. En effet, la distrib... more Certains faits stylises caracterisent les rendements des series financieres. En effet, la distribution des rendements est non gaussienne, asymetrique ayant des queues epaisses. En outre, la structure de dependance entre ces series est non lineaire et la volatilite presente une memoire longue. Le present livre consiste a verifier si la contagion explique la dynamique de la volatilite des banques islamiques durant la derniere crise financiere internationale. Les objectifs vises par notre travail de recherche consistent a verifier, en premier lieu, si les banques islamiques sont plus resilientes que les banques conventionnelles face a la derniere crise financiere internationale de 2008 et a tester, en deuxieme lieu, si la contagion explique la dynamique de la volatilite des rendements des banques islamiques durant ladite crise. Les modeles FIEGARCH, EVT et la theorie des copules ont ete proposes comme des techniques pouvant resoudre les problemes causes par l’existence de ces faits sty...

The purpose of this paper is to illustrate, using a real case, the Value at Risk (VaR) in an attr... more The purpose of this paper is to illustrate, using a real case, the Value at Risk (VaR) in an attractive portfolio of shares through a method for multi criterion decision such as the Preference Ranking Organization METHod for Enrichment Evaluations (PROMETHEE) developed by Brans and al. (1984). Firstly, we explain the utility of using methods of multicriteria decision in portfolio management. Secondly, we expose the procedures of PROMETHEE method and its application in finance. Thirdly, we use this method to determine an attractive Tunisian portfolio of shares. So, we determine the proportion invested in each share for five types of investors (indifferent, aggressive, defensive, middle and attached to the conventional theory of Markowitz) in order to calculate the maximum loss (VaR) of each portfolio already selected. Finally, we conclude that PROMETHEE is considered as a solution for others to select an attractive portfolio management.

The purpose of this paper is to discuss the determinants of G7, and Chinese stock market returns ... more The purpose of this paper is to discuss the determinants of G7, and Chinese stock market returns during the COVID-19 outbreak. We find that Bitcoin and Ethereum can generate benefits from portfolio diversification and hedging strategies for G7 financial investors in early 2020. Our result reveals that Gold is neither hedge nor haven during the COVID-19 pandemic. In addition, the results indicated that the expected volatility of the US stock market has no effect on the Japanese and Chinese financial markets. Finally, our results suggest that the growth rate of confirmed COVID-19 cases and deaths has an impact only on the US stock market.