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تعداد صفحات این فایل: ۷۲ صفحه

بخشی از مقاله انگلیسیعنوان انگلیسی:New evidence on hedges and safe havens for Gulf Stock markets using the wavelet-based quantil~~en~~

Abstract

This paper examines the dynamic tail dependence structure for the Gulf equity indices, using the Dow Jones Islamic world emerging equity index and four macroeconomics factors (the three-month U.S. Treasury bill rate, the VIX index, gold prices and oil prices) under different market conditions and scale or investment horizons. We find little or insignificant dependence at the short investment horizon but strong asymmetric dependence at the middle and long investment horizons. Gold is a strong hedge and a safe haven at the short, middle and long run horizons for all Gulf markets.

۱ Introduction

Modeling and understanding the degree and the structure of dependence across financial asset classes serving as return enhancers and/or portfolio diversifiers is of great relevance to speculators, traders and investors, particularly during bear and bull markets which characterize extreme market conditions. The dynamic dependence, especially during extreme market movements, is one of the main concerns of market participants for at least two main reasons. First, the portfolio strategies are strongly sensitive to the correlation structure between financial assets, principally when the correlations evolve in a certain direction over time, underlying a special trend. Second, given information spillovers across asset classes, financial decisions will likely have cross-market influences, which are of interest to decision makers who must reckon with the full impacts of their actions (Ciner et al., 2013).

The 2008–۲۰۰۹ global financial crisis (GFC), which was sparked by the U.S. subprime and the banking defaults that took place in July 2007, had caused severe damages to different international stock markets and harmed global economic growth. However, during this turmoil period, safe haven assets were widely sought after by most investors since stock asset prices plummeted as they faced a systematic risk. Both investors and portfolio managers had rushed into buying safe assets including the U.S. Treasury bills, bonds, gold among others (Baur and Lucey, 2010; Baur and McDermott, 2010). The “flight to quality” phenomenon had materialized and the prices of these safer assets surged (Caballero and Krishnamurthy, 2008).

Concurrently, the products of Islamic finance that have different characteristics from their conventional counterparts have become considerably more known to investors and traders as a result of the recent economic and financial turmoil episodes. The spectacular growth and the interest in the Islamic financial assets have motivated us to examine the usefulness of these safe asset candidates and other relevant assets during downturn periods and across different time horizons. The Islamic finance investments are well-developed in certain global financial markets including those of the Gulf Cooperation Council (GCC) countries: Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and United Arab Emirates (UAE). One should also note that the literature on the linkages between Islamic and conventional indexes is also growing (see, for example, Hammoudeh et al., 2014).

The main purpose of this paper is to assess the dynamic asymmetric linkages of the six GCC stock indexes with other relevant stock markets and major macroeconomic variables during different market conditions and during different investment horizons. This objective fits within the market heterogeneity hypothesis that conjectures the presence of short-term and long-term investors in the markets, acting as speculators (e.g., hedge funds and market makers), arbitrageurs, and long term institutional investors (e.g., institutional investors and bankers) under different market conditions. The variables include the faith-based Dow Jones Islamic World Emerging equity (DJIWEM) index, the three-month U.S. Treasury bill rate (Tbills), CBOE volatility (VIX) index, gold prices and Europe Brent oil prices. Given the GCC markets’ oversensitivity to faith-based investments and regional and global political and financial risks, we seek to discern which of the considered markets can provide more protection to GCC portfolios and which macroeconomics factors have considerable impacts on those portfolios under different market conditions and diverse investment horizons.

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