Benlagha Noureddine | Qatar University (original) (raw)

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Papers by Benlagha Noureddine

Research paper thumbnail of Evidence of Adverse Selection in Automobile Insurance Markets

Huebner International Series on Risk, Insurance, and Economic Security, 1999

Research paper thumbnail of Insurance and economic growth nexus: New Evidence from OECD countries

Cogent Economics & Finance

Research paper thumbnail of Accounting for inflation dynamic in a fully optimizing macroeconomic framework: evidence from the US states

Research paper thumbnail of On the safe-haven and hedging properties of Bitcoin: new evidence from COVID-19 pandemic

The Journal of Risk Finance

PurposeThis study aims to investigate the safe-haven and hedging properties of Bitcoin against a ... more PurposeThis study aims to investigate the safe-haven and hedging properties of Bitcoin against a wide variety of conventional assets before and during the coronavirus disease 2019 (COVID-19) pandemic.Design/methodology/approachThis paper uses a smooth transition regression (STR) to jointly test the hedging properties of Bitcoin in normal conditions and Bitcoin's safe-haven properties in extreme stock market conditions.FindingsHighlighting the results, the authors show that Bitcoin is able to provide safe-haven feature during the COVID-19 pandemic period while Bitcoin serves as a hedge tool in the pre-COVID-19 pandemic period. The findings also show that the prowess of the safe-haven/hedge nature is sensitive to the type of the asset market and the time horizon when switching from daily to weekly frequency data.Originality/valueThis is one of the first studies that conduct a combined analysis of the safe-haven and hedging capabilities of Bitcoin against several asset classes usin...

Research paper thumbnail of Extreme linkages of carbon futures, energy markets, and economic indicators: A copula approach

Energy Sources, Part B: Economics, Planning, and Policy

Research paper thumbnail of Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries

Research paper thumbnail of Asymmetric determinants of Bitcoin's wild price movements

Managerial Finance

PurposeThe present work endeavors to explore the potential nonlinear and asymmetric effects of su... more PurposeThe present work endeavors to explore the potential nonlinear and asymmetric effects of supply fundamental properties of Bitcoin mining process (velocity, size and stock of Bitcoins, cost of production and mining revenue), DJIA, VIX, economic policy uncertainty and Google Trend on the price of Bitcoin (PB).Design/methodology/approachThe authors apply the Nonlinear Autoregressive Distributed lag (NARDL) approach for the period from November 31, 2013 to December 30, 2020.FindingsThe asymmetric effects of inflation, the size of Bitcoin economy, reveal a positive impact on the PB in the short and long run. In the short run, Bitcoin price shows negative statistically significant sensitivity to positive (negative) changes in DJIA (VIX) index. In addition, Google Trends have an impact on Bitcoin prices indicating that the Bitcoin market is also driven by investors' sentiments. In the long run, negative policy uncertainty shocks increase the PB while in the short run, negative sh...

Research paper thumbnail of An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens

Research in International Business and Finance

Research paper thumbnail of Fiscal Policy and Private Investment: Some Anomalies from Saudi Arabia

Research paper thumbnail of The dynamic and dependence of stock return behavior: Evidence from the insurance sector in Saudi Arabia

M1. Despite the substantial literature, that examines the benefits of diversification generated b... more M1. Despite the substantial literature, that examines the benefits of diversification generated by conventional and Islamic assets (stocks, bonds, commodities…), studies focusing on the diversification benefits that could be offered by Islamic service company stocks, as banks or insurances are extremely limited. M2. The coexistence of conventional (cooperative) and Islamic (Takaful) insurance companies may offer new opportunities to generate profits from diversification. M3. This paper adds to the spares previous literature by being the first to use time varying copula to explore the dependence and the residual benefits of diversification on Takaful and cooperative insurance stock returns.

Research paper thumbnail of Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?

Journal of Economics and Finance, 2021

This paper examines the determinants of the dynamic connectedness between sovereign bond yields i... more This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spi...

Research paper thumbnail of The Investigation of Co-Movement Patterns Among Clean Energy and Non-Ferrous Metals: New Evidence from COVID-19 Pandemic

SSRN Electronic Journal, 2021

Research paper thumbnail of Does investment in insurance stocks reap diversification benefits? Static and time varying copula modeling

Communications in Statistics - Simulation and Computation, 2021

The present article investigates the presence of diversification benefits resulting from the depe... more The present article investigates the presence of diversification benefits resulting from the dependence structure in stock returns of Islamic and conventional insurance. Our empirical design is bas...

Research paper thumbnail of What determines the dependence between stock markets - crisis or financial and economic fundamentals?

Applied Economics, 2021

ABSTRACT This paper investigates the economic and financial fundamentals that determine the dynam... more ABSTRACT This paper investigates the economic and financial fundamentals that determine the dynamic linkage between Qatar and a set of selected international stock markets. To this end, we used different dynamic copula constructions to extract the series of time-varying degrees of dependence. Then, by estimating a quantile regression, we identified several economic and financial variables that significantly contribute to explaining the dynamic patterns of dependence among the studied stock markets. These include the returns of the Qatar stock market, crude oil prices, gold prices, the volatility of the S&P 500 index, and the world economic policy uncertainty index. The results obtained show that the fluctuations in these variables significantly influence the structure of dependence between the studied stock markets.

Research paper thumbnail of Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04

Applied Econometrics and International Development, 2013

This paper investigates the existence of arbitrage between index linked bonds and conventional on... more This paper investigates the existence of arbitrage between index linked bonds and conventional ones. Then in a second part we move to study empirically the long-run equilibrium relationship among two French bonds yields (The OAT yields and OATi ). In practice we estimated different VAR-based cointegration tests using the methodology developed in Johansen (1991, 1995). We also move to discuss the presence of a structural break due to the subprime crisis. So, we can reach two main results: First, the cointegration test indicates the existence of a long run relationship between the OAT and OATi return, and then the co-movement of this latter is confirmed, a result which I believe to be important to understand the bond market’s mechanism. Second, the structural break test shows the presence of structural change in the relation between the two types of bonds. This structural break is due to an increase of volatility in the OAT and OATi returns in the subprime crisis period.

Research paper thumbnail of Does renewable energy index respond to the pandemic uncertainty?

Renewable Energy, 2021

Abstract Unlike very recent studies examining the most widely traded commodities (such as; oil an... more Abstract Unlike very recent studies examining the most widely traded commodities (such as; oil and gold) under an overwhelming time pressure and amid high pandemic uncertainty, the effects of world pandemic and economic policy uncertainties along with price movements in common traditional asset classes on the renewable energy index are investigated. The empirical evidence is based on daily data covering the period from January 3, 2005 to June 30, 2020. The results from quantile regression show significant positive effects of the pandemic uncertainty on renewable energy index. In contrast, the empirical findings reveal negative effect of the economic policy uncertainty on the renewable energy index, particularly, in lower quantiles. Accordingly, the results indicate that the effect of the economic policy uncertainty is reversed as the quantiles increase. The study's practical applications are unique and have policy implications; for instance, suitable policies could convert the threats of pandemic uncertainty to great opportunities for renewable energy markets and ultimately, investors not only explore the scope for hedging the oil price risk, but they can reap further portfolio diversification benefits by investing in renewable energy stocks.

Research paper thumbnail of Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade

Research in International Business and Finance, 2020

Research paper thumbnail of Risk factors of road accident severity and the development of a new system for prevention: New insights from China

Accident Analysis & Prevention, 2020

Research paper thumbnail of Asymmetric impacts of insurance premiums on the non-oil GDP: some new empirical evidence

Research paper thumbnail of Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors

Research paper thumbnail of Evidence of Adverse Selection in Automobile Insurance Markets

Huebner International Series on Risk, Insurance, and Economic Security, 1999

Research paper thumbnail of Insurance and economic growth nexus: New Evidence from OECD countries

Cogent Economics & Finance

Research paper thumbnail of Accounting for inflation dynamic in a fully optimizing macroeconomic framework: evidence from the US states

Research paper thumbnail of On the safe-haven and hedging properties of Bitcoin: new evidence from COVID-19 pandemic

The Journal of Risk Finance

PurposeThis study aims to investigate the safe-haven and hedging properties of Bitcoin against a ... more PurposeThis study aims to investigate the safe-haven and hedging properties of Bitcoin against a wide variety of conventional assets before and during the coronavirus disease 2019 (COVID-19) pandemic.Design/methodology/approachThis paper uses a smooth transition regression (STR) to jointly test the hedging properties of Bitcoin in normal conditions and Bitcoin's safe-haven properties in extreme stock market conditions.FindingsHighlighting the results, the authors show that Bitcoin is able to provide safe-haven feature during the COVID-19 pandemic period while Bitcoin serves as a hedge tool in the pre-COVID-19 pandemic period. The findings also show that the prowess of the safe-haven/hedge nature is sensitive to the type of the asset market and the time horizon when switching from daily to weekly frequency data.Originality/valueThis is one of the first studies that conduct a combined analysis of the safe-haven and hedging capabilities of Bitcoin against several asset classes usin...

Research paper thumbnail of Extreme linkages of carbon futures, energy markets, and economic indicators: A copula approach

Energy Sources, Part B: Economics, Planning, and Policy

Research paper thumbnail of Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries

Research paper thumbnail of Asymmetric determinants of Bitcoin's wild price movements

Managerial Finance

PurposeThe present work endeavors to explore the potential nonlinear and asymmetric effects of su... more PurposeThe present work endeavors to explore the potential nonlinear and asymmetric effects of supply fundamental properties of Bitcoin mining process (velocity, size and stock of Bitcoins, cost of production and mining revenue), DJIA, VIX, economic policy uncertainty and Google Trend on the price of Bitcoin (PB).Design/methodology/approachThe authors apply the Nonlinear Autoregressive Distributed lag (NARDL) approach for the period from November 31, 2013 to December 30, 2020.FindingsThe asymmetric effects of inflation, the size of Bitcoin economy, reveal a positive impact on the PB in the short and long run. In the short run, Bitcoin price shows negative statistically significant sensitivity to positive (negative) changes in DJIA (VIX) index. In addition, Google Trends have an impact on Bitcoin prices indicating that the Bitcoin market is also driven by investors' sentiments. In the long run, negative policy uncertainty shocks increase the PB while in the short run, negative sh...

Research paper thumbnail of An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens

Research in International Business and Finance

Research paper thumbnail of Fiscal Policy and Private Investment: Some Anomalies from Saudi Arabia

Research paper thumbnail of The dynamic and dependence of stock return behavior: Evidence from the insurance sector in Saudi Arabia

M1. Despite the substantial literature, that examines the benefits of diversification generated b... more M1. Despite the substantial literature, that examines the benefits of diversification generated by conventional and Islamic assets (stocks, bonds, commodities…), studies focusing on the diversification benefits that could be offered by Islamic service company stocks, as banks or insurances are extremely limited. M2. The coexistence of conventional (cooperative) and Islamic (Takaful) insurance companies may offer new opportunities to generate profits from diversification. M3. This paper adds to the spares previous literature by being the first to use time varying copula to explore the dependence and the residual benefits of diversification on Takaful and cooperative insurance stock returns.

Research paper thumbnail of Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?

Journal of Economics and Finance, 2021

This paper examines the determinants of the dynamic connectedness between sovereign bond yields i... more This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spi...

Research paper thumbnail of The Investigation of Co-Movement Patterns Among Clean Energy and Non-Ferrous Metals: New Evidence from COVID-19 Pandemic

SSRN Electronic Journal, 2021

Research paper thumbnail of Does investment in insurance stocks reap diversification benefits? Static and time varying copula modeling

Communications in Statistics - Simulation and Computation, 2021

The present article investigates the presence of diversification benefits resulting from the depe... more The present article investigates the presence of diversification benefits resulting from the dependence structure in stock returns of Islamic and conventional insurance. Our empirical design is bas...

Research paper thumbnail of What determines the dependence between stock markets - crisis or financial and economic fundamentals?

Applied Economics, 2021

ABSTRACT This paper investigates the economic and financial fundamentals that determine the dynam... more ABSTRACT This paper investigates the economic and financial fundamentals that determine the dynamic linkage between Qatar and a set of selected international stock markets. To this end, we used different dynamic copula constructions to extract the series of time-varying degrees of dependence. Then, by estimating a quantile regression, we identified several economic and financial variables that significantly contribute to explaining the dynamic patterns of dependence among the studied stock markets. These include the returns of the Qatar stock market, crude oil prices, gold prices, the volatility of the S&P 500 index, and the world economic policy uncertainty index. The results obtained show that the fluctuations in these variables significantly influence the structure of dependence between the studied stock markets.

Research paper thumbnail of Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04

Applied Econometrics and International Development, 2013

This paper investigates the existence of arbitrage between index linked bonds and conventional on... more This paper investigates the existence of arbitrage between index linked bonds and conventional ones. Then in a second part we move to study empirically the long-run equilibrium relationship among two French bonds yields (The OAT yields and OATi ). In practice we estimated different VAR-based cointegration tests using the methodology developed in Johansen (1991, 1995). We also move to discuss the presence of a structural break due to the subprime crisis. So, we can reach two main results: First, the cointegration test indicates the existence of a long run relationship between the OAT and OATi return, and then the co-movement of this latter is confirmed, a result which I believe to be important to understand the bond market’s mechanism. Second, the structural break test shows the presence of structural change in the relation between the two types of bonds. This structural break is due to an increase of volatility in the OAT and OATi returns in the subprime crisis period.

Research paper thumbnail of Does renewable energy index respond to the pandemic uncertainty?

Renewable Energy, 2021

Abstract Unlike very recent studies examining the most widely traded commodities (such as; oil an... more Abstract Unlike very recent studies examining the most widely traded commodities (such as; oil and gold) under an overwhelming time pressure and amid high pandemic uncertainty, the effects of world pandemic and economic policy uncertainties along with price movements in common traditional asset classes on the renewable energy index are investigated. The empirical evidence is based on daily data covering the period from January 3, 2005 to June 30, 2020. The results from quantile regression show significant positive effects of the pandemic uncertainty on renewable energy index. In contrast, the empirical findings reveal negative effect of the economic policy uncertainty on the renewable energy index, particularly, in lower quantiles. Accordingly, the results indicate that the effect of the economic policy uncertainty is reversed as the quantiles increase. The study's practical applications are unique and have policy implications; for instance, suitable policies could convert the threats of pandemic uncertainty to great opportunities for renewable energy markets and ultimately, investors not only explore the scope for hedging the oil price risk, but they can reap further portfolio diversification benefits by investing in renewable energy stocks.

Research paper thumbnail of Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade

Research in International Business and Finance, 2020

Research paper thumbnail of Risk factors of road accident severity and the development of a new system for prevention: New insights from China

Accident Analysis & Prevention, 2020

Research paper thumbnail of Asymmetric impacts of insurance premiums on the non-oil GDP: some new empirical evidence

Research paper thumbnail of Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors

Research paper thumbnail of The dynamic and dependence of stock return behavior: Evidence from the insurance sector in Saudi Arabia

DSI 2017, 2017

M1. Despite the substantial literature, that examines the benefits of diversification generated b... more M1. Despite the substantial literature, that examines the benefits of
diversification generated by conventional and Islamic assets
(stocks, bonds, commodities…), studies focusing on the
diversification benefits that could be offered by Islamic service
company stocks, as banks or insurances are extremely limited.
M2. The coexistence of conventional (cooperative) and Islamic
(Takaful) insurance companies may offer new opportunities to
generate profits from diversification.
M3. This paper adds to the spares previous literature by being the
first to use time varying copula to explore the dependence and the
residual benefits of diversification on Takaful and cooperative
insurance stock returns.

Research paper thumbnail of Volatility dependence and contagion between Islamic and conventional banks in GCC countries

24th Annual Conference of the Multinational Finance Society June 25 - 28, 2017, Bucharest, Romania, 2017

  1. Is there spillovers among bank stock returns and volatilities ? 2) Is there a difference in ... more 1) Is there spillovers among bank stock returns and volatilities ?

  2. Is there a difference in spillovers among different bank systems ( conventional, Islamic and Mixed)?

  3. What is the potential effect of the crisis (shock) on the spillovers (returns and volatilities) on the different bank systems?

Research paper thumbnail of Modeling the Declared New Cases of COVID-19 Trend Using Advanced Statistical Approaches

Background Despite the intensive prevention measures undertaken by various governments, more case... more Background Despite the intensive prevention measures undertaken by various governments, more cases are now being reported every day than were reported in last period. Until now, health authorities and the centers of diseases and prevention report several variables-related coronaviruses in their countries such us; new cases, new deaths, active cases, the recovered patients among others. Method To address this issue, we use battery of parametric models, such as: the exponential regression, the Poisson Model, the negative binomial model, the zero inflated model and the zero inflated negative binomial model to investigate the patterns of the new cases of COVID-19, which are declared in the 8 most affected counties. Results Our findings show that the new cases of COVID-19 China and South Korea are decreasing over time indicating that the transmission control measures was effective. Besides, the results reveal an exponential increase in the growth rate of new cases in all the European Countries. In addition, our results show that there is a phenomenon of non-reporting of data causing an underestimation of the real number of cases infected by COVID-19. Conclusions 2 This paper suggests that it is necessary to use more than a few models to achieve accurate predictions of the number of new cases of COVID-19. In addition, it is important to consider the non-reported cases to reduce the bias in the determination of the real numbers of new infected cases.