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Browsing Research Articles (Economics) by Author "Hammoudeh, Shawkat"
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Balcilar, Mehmet; Jooste, Charl; Hammoudeh, Shawkat; Gupta, Rangan; Babalos, Vassilios
(Routledge, 2015)
We compare a nonlinear (time-varying) cointegration test with the
standard cointegration test in studying the long-run relationship of the
Dow Jones Islamic finance index with three other conventional global
equity ...
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Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; Nguyen, Duc Khuong
(Elsevier, 2014-11)
This article attempts to examine whether the equity premium in the United States can be
predicted from a comprehensive set of 18 economic and
financial predictors over a monthly
out-of-sample period of 2000:2–2011:12, ...
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Gupta, Rangan; Hammoudeh, Shawkat; Simo-Kengne, Beatrice Desiree; Sarafrazi, Soodabeh
(Taylor & Francis, 2014-09)
This study employs 14 global economic and financial variables to predict the return of the Islamic stock market as identified by the Dow Jones Islamic Stock Market (DJIM). It implements alternative forecasting methods and ...
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Álvarez-Díaz, Marcos; Hammoudeh, Shawkat; Gupta, Rangan
(Elsevier, 2014-07)
This study performs the challenging task of examining the forecastability behavior of
the stock market returns for the Dow Jones Islamic market (DJIM) and the Dow Jones
Industrial Average (DJIA) indices, using non-parametric ...
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Mwamba, John W. Muteba; Hammoudeh, Shawkat; Gupta, Rangan
(Elsevier, 2017-04)
This paper makes use of two types of extreme value distributions, namely: the generalised
extreme value distribution often referred to as the block of maxima method (BMM), and the
peak-over-threshold method (POT) of the ...
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Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong; Simo-Kengne, Beatrice Desiree
(Elsevier, 2014-04)
We develop models for examining possible predictors of growth of China’s foreign exchange reserves
that embrace Chinese and global trade, financial and risk (uncertainty) factors. Specifically, by comparing
with other ...
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Aye, Goodness Chioma; Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong
(Elsevier, 2015-10)
We develop models for examining possible predictors of the return on gold that embrace six global
factors (business cycle, nominal, interest rate, commodity, exchange rate and stock price factors)
extracted from a recursive ...
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Balcilar, Mehmet; Demirer, Riza; Hammoudeh, Shawkat
(Elsevier, 2015-11)
This paper examines the risk exposures of ten major Islamic sector indexeswith respect to shocks
in global conventional markets. Utilizing a dynamic three-regime, three-factor risk spillover
model, we generally observe ...
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Sarafrazi, Soodabeh; Hammoudeh, Shawkat; Balcilar, Mehmet
(Routledge, 2015-12)
This objective of this study is to examine the linkages between real (economic) and financial variables in the
United States in a regime-switching environment that accounts explicitly for high volatility in the stock ...
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Lahiani, Amine; Hammoudeh, Shawkat; Gupta, Rangan
(Elsevier, 2016-05)
This paper investigates the asymmetric and nonlinear transmission of financial and energy
prices to US five-year financial CDS sector index spreads for the banking, financial services
and insurance sectors in the short- ...
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Kim, Won Joong; Hammoudeh, Shawkat; Hyun, Jun Seog; Gupta, Rangan
(Elsevier, 2017-02)
The paper empirically analyzes the effect of positive oil price shocks on China's economy, having special interest
in the response of the Chinese interest rate to those shocks. Using different econometric models, i) a ...
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Balcilar, Mehmet; Demirer, Rıza; Hammoudeh, Shawkat
(Elsevier, 2015-09)
This paper examines the international diversification benefits of blocwide
equity sectors in the oil-rich Gulf Cooperation Council (GCC) countries
by comparing alternative spillover models that encompass local,
regional ...
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Nazlioglu, Saban; Hammoudeh, Shawkat; Gupta, Rangan
(Routledge, 2015-04)
This study examines whether a volatility/risk transmission exists between
the Dow Jones Islamic stock and three conventional stock markets for the
United States, Europe and Asia during the pre- and the in- and post-2008
crisis ...