Nabil Maghrebi - Academia.edu (original) (raw)
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Papers by Nabil Maghrebi
Maghrebi/Intermediate Islamic Finance, 2016
Maghrebi/Intermediate Islamic Finance, 2016
This study develops a new KOSPI200 implied volatility index and examines its informational conten... more This study develops a new KOSPI200 implied volatility index and examines its informational content and nonlinear dynamics. The construction of this new benchmark for volatility expectations follows the methodology for calculating the new VIX index from S&P500 options. The empirical evidence suggests that the expected level of volatility in the Korean stock market has been steadily falling since the inception of option trading and the onset of the Asian financial crisis. Implied volatility is found to reflect useful information on future volatility that is not contained in the history of returns, even after allowing for leverage effects. Markov regime-switching models suggest that nonlinearities in volatility expectations are not likely to be driven solely by the asymmetric impact of news but also by regime-dependencies in the realignment mechanism adjusting for forecast errors. The adjustment process is likely to be significant during regimes of lower volatility expectations but fin...
This paper examines nonlinearities in the dynamics of volatility expectations using benchmarks of... more This paper examines nonlinearities in the dynamics of volatility expectations using benchmarks of implied volatility for the US and Japanese markets. The evidence from Markov regime-switching models suggests that volatility expectations are likely to be governed by regimes featuring a long memory process and significant leverage effects. Market volatility is expected to increase in bear periods and decrease in bull periods. Leverage effects constitute thus an important source of nonlinearities in volatility expectations. There is no evidence of long swings associated with financial crises, which do not have the potential of shifting volatility expectations from one regime to another for long protracted periods.
This study develops a new model-free benchmark of implied volatility for the Japanese stock marke... more This study develops a new model-free benchmark of implied volatility for the Japanese stock market similar in construction to the new VIX based on the S&P 500 index. It also examines the stochastic dynamics of the implied volatility index and its relationship with realized volatility in both markets. There is evidence that implied volatility is governed by a long-memory process. Despite its upward bias, implied volatility is more reflective of changes in realized volatility than alternative GARCH models, which account for volatility persistence and the asymmetric impact of news. The implied volatility index is also found to be inclusive of some but not all information on future volatility contained in historical returns. However, its higher out-of sample performance provides further support to the rationale behind drawing inference about future stock market volatility based on the incremental information contained in options prices.
Maghrebi/Intermediate Islamic Finance, 2016
Maghrebi/Intermediate Islamic Finance, 2016
Maghrebi/Intermediate Islamic Finance, 2016
Maghrebi/Intermediate Islamic Finance, 2016
Islamic Economic Studies
This paper argues that risk sharing is an effective method of expanding participation of agents i... more This paper argues that risk sharing is an effective method of expanding participation of agents in economic growth and development and more effective sharing of fruits of prosperity than risk transfer that currently dominates financial systems. Kuala Lumpur Declaration of 2012, by a group of leading Sharī'ah scholars and Muslim economists, considers risk sharing as the essence of Islamic finance, a litmus test of which is its ability to promote financial inclusion and asset-building capacity of the poor and thus better sharing of prosperity. The mobilisation of financial resources toward productive activities through risk sharing enables the Islamic financial system to actualize economic justice and social participation in an efficient manner. The asset-backed equity-financing nature of Islamic finance is conducive to financial system stability because returns, which can only be known ex post, and thus shared on the same basis, are not divorced from risk. Stability and equitable growth challenges are arguably difficult to undertake through debt-financing, which transfers the burden of losses from financiers to entrepreneurs even at microfinance levels, distorts economic incentives, increases systemic risk, and renders financial regulation more complex. The procyclicality of the conventional financial system leads to credit
Maghrebi/Intermediate Islamic Finance, 2016
Maghrebi/Intermediate Islamic Finance, 2016
This study develops a new KOSPI200 implied volatility index and examines its informational conten... more This study develops a new KOSPI200 implied volatility index and examines its informational content and nonlinear dynamics. The construction of this new benchmark for volatility expectations follows the methodology for calculating the new VIX index from S&P500 options. The empirical evidence suggests that the expected level of volatility in the Korean stock market has been steadily falling since the inception of option trading and the onset of the Asian financial crisis. Implied volatility is found to reflect useful information on future volatility that is not contained in the history of returns, even after allowing for leverage effects. Markov regime-switching models suggest that nonlinearities in volatility expectations are not likely to be driven solely by the asymmetric impact of news but also by regime-dependencies in the realignment mechanism adjusting for forecast errors. The adjustment process is likely to be significant during regimes of lower volatility expectations but fin...
This paper examines nonlinearities in the dynamics of volatility expectations using benchmarks of... more This paper examines nonlinearities in the dynamics of volatility expectations using benchmarks of implied volatility for the US and Japanese markets. The evidence from Markov regime-switching models suggests that volatility expectations are likely to be governed by regimes featuring a long memory process and significant leverage effects. Market volatility is expected to increase in bear periods and decrease in bull periods. Leverage effects constitute thus an important source of nonlinearities in volatility expectations. There is no evidence of long swings associated with financial crises, which do not have the potential of shifting volatility expectations from one regime to another for long protracted periods.
This study develops a new model-free benchmark of implied volatility for the Japanese stock marke... more This study develops a new model-free benchmark of implied volatility for the Japanese stock market similar in construction to the new VIX based on the S&P 500 index. It also examines the stochastic dynamics of the implied volatility index and its relationship with realized volatility in both markets. There is evidence that implied volatility is governed by a long-memory process. Despite its upward bias, implied volatility is more reflective of changes in realized volatility than alternative GARCH models, which account for volatility persistence and the asymmetric impact of news. The implied volatility index is also found to be inclusive of some but not all information on future volatility contained in historical returns. However, its higher out-of sample performance provides further support to the rationale behind drawing inference about future stock market volatility based on the incremental information contained in options prices.
Maghrebi/Intermediate Islamic Finance, 2016
Maghrebi/Intermediate Islamic Finance, 2016
Maghrebi/Intermediate Islamic Finance, 2016
Maghrebi/Intermediate Islamic Finance, 2016
Islamic Economic Studies
This paper argues that risk sharing is an effective method of expanding participation of agents i... more This paper argues that risk sharing is an effective method of expanding participation of agents in economic growth and development and more effective sharing of fruits of prosperity than risk transfer that currently dominates financial systems. Kuala Lumpur Declaration of 2012, by a group of leading Sharī'ah scholars and Muslim economists, considers risk sharing as the essence of Islamic finance, a litmus test of which is its ability to promote financial inclusion and asset-building capacity of the poor and thus better sharing of prosperity. The mobilisation of financial resources toward productive activities through risk sharing enables the Islamic financial system to actualize economic justice and social participation in an efficient manner. The asset-backed equity-financing nature of Islamic finance is conducive to financial system stability because returns, which can only be known ex post, and thus shared on the same basis, are not divorced from risk. Stability and equitable growth challenges are arguably difficult to undertake through debt-financing, which transfers the burden of losses from financiers to entrepreneurs even at microfinance levels, distorts economic incentives, increases systemic risk, and renders financial regulation more complex. The procyclicality of the conventional financial system leads to credit