Wajdi Moussa - Academia.edu (original) (raw)

Papers by Wajdi Moussa

Deleted Journal, Nov 1, 2022

Journal of Statistical and Econometric Methods, 2018

This paper aims to investigate the inter-dependence of exchange rate and stock index from Japan. ... more This paper aims to investigate the inter-dependence of exchange rate and stock index from Japan. For this purpose, we use a dynamic conditional correlation (DCC) model into a multivariate Fractionally Integrated Exponential GARCH (FIGARCH). Framework takes account long memory and time varying correlations. Our findings reveal time-varying Co-movements evidence, a high persistence of conditional correlation and dynamic correlations revolve around a constant level. The findings support the idea of cross-market hedging and sharing of common information by investors. Â JEL classification numbers: C51, C58, F31, G12.

The designations employed and the presentation of material in this publication do not imply the e... more The designations employed and the presentation of material in this publication do not imply the expression of any opinion whatsoever on the part of the ACC/SCN or its UN member agencies concerning the legal status of any country, territory, city or area or of its authorities, or concerning the delimitation of its frontiers or boundaries.

$Research paper thumbnail of On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis$

Resources Policy, Aug 1, 2022

This article tries to investigate the connectedness between Bitcoin and Crude Oil, S&P500 and Nat... more This article tries to investigate the connectedness between Bitcoin and Crude Oil, S&P500 and Natural Gas with the health crisis. That is why one might apply fractional cointegration analysis on daily data over the period 01/09/2019–30/04/2020. Our results indicate the presence of fractional integration in residual series, implying the existence of a fractional cointegration relationship. A short-run joint dynamics between Bitcoin and some other assets (Crude Oil, S&P500 and Natural Gas) is nevertheless well-pronounced. Such analysis of the long and short-term dependencies between different assets could be interesting from a portfolio perspective.

Eastern Mediterranean Health Journal, 2004

Different nutritional disorders prevail at different stages in the life cycle, e. g. growth retar... more Different nutritional disorders prevail at different stages in the life cycle, e. g. growth retardation in the fetus, protein energy deficiency in children, noncommunicable conditions in adults. The scope of nutrition assessment has changed over the past 2 decades. The focus shifted from pregnant and lactating mothers and children, through functional consequences of malnutrition to deficiency disorders. Now the focus is on obesity. Clinical methods of assessment [usually indicators of late-stage malnutrition] have become less important recently although clinical indicators of iodine deficiency and vitamin A deficiency are still useful. The key method now is anthropomorphic measurement, such as weight-for-age or body mass index. All the countries of the Region have nutrition education programmes for dissemination of information and most have drawn up national dietary guidelines applying the strategies that were developed after the 1992 International Conference on Nutrition

Asia-Pacific Financial Markets

In this paper, we attempt to understand and identify the cyclical fluctuations in cryptocurrency ... more In this paper, we attempt to understand and identify the cyclical fluctuations in cryptocurrency markets. To this end, we apply the Markov-Switching approach on daily prices of 17 selected digital currencies. This model allows us to capture the nonlinear structure in cryptocurrencies' prices. The empirical results clearly show potential difference(s) among digital currencies when they react to the varying levels of the pandemic's severity. The existence of two distinguishable states and each state seems to be characterized by different features of market cycle's phase for each cryptocurrency. So, the Covid19 pandemic affects asymmetrically the different market phases of digital currencies. Such findings can have insightful portfolios implications.

The journal of energy markets, 2022

Scientific Annals of Economics and Business

The purpose of our paper is to analyze the main factors which influence fiscal balance’s evolutio... more The purpose of our paper is to analyze the main factors which influence fiscal balance’s evolution and thereby identify solutions for configuring a sustainable fiscal policy. We have selected as independent variables some of the main macroeconomic measures, respectively public debt, unemployment rate, economy openness degree, population, consumer goods’ price index, current account balance, direct foreign investments and economic growth rate. Our research method uses two econometric models applied on a sample of 22 countries, respectively 14 developed and 8 emergent. The first model is a multiple regression and studies the connection between the fiscal balance and selected independent variables, whereas the second one uses first order differences and introduces economic freedom as a dummy variable to catch the dynamic influences of selected measures upon fiscal result. The time interval considered was 1999-2013. The results generated using the two models revealed that public debt, c...

Journal of Telecommunications and the Digital Economy

In this paper, we try to investigate the contribution of digitalization on economic growth in bot... more In this paper, we try to investigate the contribution of digitalization on economic growth in both developed and developing countries over the period 1990-2020. For this end, different econometric tools are applied on a panel dataset. Overall, we show that the digital technologies seem to significantly and positively affect economic growth in both groups of countries. The digitalization impact level tends to differ across countries. Our empirical results also display that the short- and long-term relationship between information and communication technologies and economic growth is well documented. Such results can be useful for policymakers to enhance the digital economy and provide novel channels to develop adequate policies and promote new institutions. So, benefits from digitalization can lead to realize substantial economic growth.

iranian economic review, 2021

In this paper, we attempt to examine the relationship between the microfinance and sustainable de... more In this paper, we attempt to examine the relationship between the microfinance and sustainable development for 10 MENA countries over the period 1990-2018. To this end, we use a multi-step approach based on different statistical tests and econometric models (STAR, ESTAR, LSTAR and STECM). The empirical results clearly show positive and significant relationship between the indicators of microfinance and the sustainable development. By offering the opportunity to access to microcredit, microfinance institutions can contribute to reinforce the sustainable development. Therefore, households should be encouraged to create investment opportunities and increase their demand for microcredit. So, the present study contributes to the literature on the microfinance by providing convincing evidence that the microfinance and microcredit have a significant effect on the sustainable development.

In this paper, we attempt to study the influence of institutional quality on the attractiveness o... more In this paper, we attempt to study the influence of institutional quality on the attractiveness of foreign direct investment (FDI) with a sample of MENA countries during a study period from 1996 to 2015. For this purpose, we will synthesize different empirical researches that have described direct and indirect correlation between governance and FDI. Thus, we will collect a database from the World Bank and the International Monetary Fund on macroeconomic variables, institutional variables and FDI on national wealth. We will use the Static Panel technique to identify the governance effect on FDI for the MENA region.

SN Business & Economics, 2021

The Tunisian economy was affected by political and financial instability after the 14 January rev... more The Tunisian economy was affected by political and financial instability after the 14 January revolution which led to a fall in investment and a rise in the inflation rate. In this paper, we attempt to estimate the nonlinear reaction function of the Tunisian Central Bank (TCB) through modeling the Taylor rule. Needless to say, the Taylor rule is a tool used by the monetary authorities to estimate short-term interest rate when expected inflation rate differs from target inflation rate and expected growth rate of GDP differs from long-term growth rate of GDP. In this paper, we apply STAR model on monthly and quarterly data during the period 2010-2017. Such model enables to take into consideration the asymmetries in the preferences of the TCB in terms of objectives. The empirical results clearly show that the cyclical phenomenon of the Tunisian monetary policy with asymmetrical phases is well-documented. Such asymmetry can be justified by the fact that the TCB shows an unequal aversion towards a recession and an economic expansion or during high inflation and deflation periods.

SSRN Electronic Journal, 2021

This article tries to investigate the connectedness between Bitcoin and Crude Oil, S&P500 and... more This article tries to investigate the connectedness between Bitcoin and Crude Oil, S&P500 and Natural Gas with the health crisis. That is why one might apply fractional cointegration analysis on daily data over the period 01/09/2019-30/04/2020. Our results indicate the presence of fractional integration in residual series, implying the existence of a fractional cointegration relationship. A short-run joint dynamics between Bitcoin and some other assets (Crude Oil, S&P500 and Natural Gas) is nevertheless well-pronounced. Such analysis of the long and short-term dependencies between different assets could be interesting from a portfolio perspective.

Global Business Review, 2021

The article examines the dynamic dependence structure and risk spillover between the future marke... more The article examines the dynamic dependence structure and risk spillover between the future market of energy commodities and Brazil, Russia, India, China and South Africa (BRICS) stock markets for different market conditions. The study used copula-based multivariate GARCH model, or in short C-MGARCH model, to explore the conditional correlation by multivariate generalized autoregressive conditional heteroskedastic (MGARCH) and the remaining dependence by different copula models. Our results provide significant positive dynamic dependency among crude oil markets (natural gas market) and BRICS stock markets. We then explore the financial implications of volatility spillovers regarding portfolio risk management through an analysis of risk spillovers from energy market to BRICS countries using the value at Risk (VaR), conditional value at risk (CVaR) and delta CVaR. Our findings support the existence of significant risk spillover between crude oil markets (natural gas market) and BRICS ...

International Journal of Finance & Economics, 2020

Annals of Data Science, 2020

The analysis of time-varying correlation between stock prices and exchange rates in the context o... more The analysis of time-varying correlation between stock prices and exchange rates in the context of international investments has been well researched in the literature in last few years. In this paper, we study the interdependence of exchange rates and stock prices for seven countries

In this paper we try to examine the effect of Microfinance on the sustainable development in a gr... more In this paper we try to examine the effect of Microfinance on the sustainable development in a group of Middle East and North Africa countries (MENA). Can we consider that Microcredits are performing instrument for the sustainable development in MENA countries? To answer this question we chose a period from 1990 to 2018 and a sample of 10 MEN countries was selected. We have approximated sustainable development supported by the endogenous variable corresponds to the net adjustment of sustainable development (GS). Exogenous variables are: Active female borrowers (AFB), Labor Force female (LFF), the female to male labor force ratio, Gender parity index (GPI), GINI Index (GINI) and the GDP deflator. In the empirical analysis, we examined the linear fit of this long-term relationship within an error correction (ECM) model. We founded that 67% of sustainable development imbalance will be corrected by micro-financial institutions as the speed of adjustment brings this imbalance back to a s...

Global Business Review, 2020

This article aims to analyse the hedging, diversifier and safe-haven properties of Bitcoin for th... more This article aims to analyse the hedging, diversifier and safe-haven properties of Bitcoin for the US Dollar Index (USDI). We explore the long-term relationship between USDI and Bitcoin by estimating a Markov-switching autoregressive (MS-AR) model with two regimes. Thus, the data used cover the period from 18 January 2010 to 30 June 2017 for both USDI and Bitcoin. The empirical findings based on the analysis of the MS-AR model report that investing in Bitcoin involves more benefits than USDI even if the economy is in a recession. However, by examining Bitcoin and USDI volatility, the research findings underline positive dependency between the two. Such results denote that Bitcoin does not act as a hedge, and not even as a safe haven, against USDI. We found that Bitcoin is merely a diversifier for USDI. Accordingly, the outcomes will help investors and portfolio risk managers to make more up-to-date investment analyses and decisions.

Digital Finance, 2020

This paper analyses the relationship between BitCoin price and social media. The aim of the study... more This paper analyses the relationship between BitCoin price and social media. The aim of the study was to investigate the adjustment process of the Bitcoin/dollar exchange rate towards its long-run equilibrium value in a nonlinear panel framework. A smooth transition error correction model is estimated to empirically validate the adjustment of the Bitcoin/dollar exchange rate in relation to its fundamental value. Results depict the presence of a nonlinear adjustment mechanism that reduces the Bitcoin/dollar rate to a partially stable long-term situation. Further, we find empirical evidence that the social media is an effective tool in today's Bitcoin/dollar exchange rate process.