Global financial crisis and spillover effects among the U.S. and BRICS stock markets

Mensi, W.,Hammoudeh, S.,Nguyen, D.K.,Kang, S.H. JAI Press ; Elsevier Science Ltd 2016 International review of economics and finance Vol.42 No.-

This article examines the spillover effect between the U.S. market and five of the most important emerging stock markets namely those of the BRICS (Brazil, Russia, India, China and South Africa), and draws implications for portfolio risk modeling and forecasting. It gives consideration to periods before and after the recent global financial crisis (GFC). To this end, the bivariate DCC-FIAPARCH model, the modified ICSS algorithm and the Value-at-Risk (VaR) are employed to capture volatility spillovers, detect potential structural breaks and assess the portfolio market risks. Using the U.S. and the BRICS daily spot market indices for the period from September 1997 to October 2013, our empirical results show strong evidence of asymmetry and long memory in the conditional volatility and significant dynamic correlations between the U.S. and the BRICS stock markets. Moreover, we find several sudden changes in these markets with a common break date centered on September 15, 2008 which corresponds to the Lehman Brothers collapse. The Brazil, India, China and South Africa markets are strongly affected by the GFC, supporting the hypothesis of recoupling (with increased linkages). In contrast, the hypothesis of decoupling is supported for the Russian stock markets only. Finally, the skewed Student-t FIAPARCH models outperform and provide more accurate in-sample estimates and out-of-sample forecasts of VaR than the normal and Student-t FIAPARCH models in almost all cases. These results provide helpful information to financial risk managers, regulators and portfolio investors to determine the diversification benefits among these markets.

Modelling multifractality and efficiency of GCC stock markets using the MF-DFA approach: A comparative analysis of global, regional and Islamic markets

Mensi, Walid,Hamdi, Atef,Yoon, Seong-Min Elsevier Science B.V., Amsterdam. 2018 PHYSICA A Vol.503 No.-

<P><B>Abstract</B></P> <P>This paper studies the multifractality and the dynamic weak-form efficiency of five GCC stock markets, comparing them to global, Islamic and regional markets, using a Multifractal Detrended Fluctuation Analysis (MF-DFA) approach. The results show that all stock market returns exhibit multifractal features. Most importantly, we find evidence of time-varying persistence, which is higher in the short-term than in the long-term. The persistence decreases as the time scale increases. Moreover, the efficiency is sensitive to time horizons (short- and long-term). GCC stock markets are less efficient than the global, regional and Islamic markets. Our results have important policy implications for investors and portfolio managers.</P> <P><B>Highlights</B></P> <P> <UL> <LI> This paper studies the multifractality and efficiency of international stock markets. </LI> <LI> We apply the MF-DFA approach. </LI> <LI> The results show evidence of multifractal features in all markets. </LI> <LI> Long memory is higher in the long-term than in the short-term in small fluctuations. </LI> <LI> GCC stock markets are least efficient in both the short- and long-term. </LI> </UL> </P>

Dynamic spillovers among major energy and cereal commodity prices

Mensi, W.,Hammoudeh, S.,Nguyen, D.K.,Yoon, S.M. IPC Science and Technology Press ; Elsevier Scienc 2014 ENERGY ECONOMICS Vol.43 No.-

Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dynamic return and volatility spillovers across international energy and cereal commodity markets. It also examines the impacts of three types of OPEC news announcements on the volatility spillovers and persistence in these markets. For this purpose, we make use of the VAR-BEKK-GARCH and VAR-DCC-GARCH models for the daily spot prices of eight major commodities including WTI oil, Europe Brent oil, gasoline, heating oil, barley, corn, sorghum, and wheat. Our results provide evidence of significant linkages between these energy and cereal markets. Moreover, the OPEC news announcements are found to exert influence on the oil markets as well as on the oil-cereal relationships. Finally, we show that the persistence of volatility decreases (increases) for the crude oil and heating oil (gasoline) returns after accounting for the OPEC announcements in these multivariate GARCH models. However, the results are more mixed for the cereal markets. Overall, our results can be used to improve the risk-adjusted performance by having more diversified portfolios and also serve to hedge the oil risk more effectively.

How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process

Mensi, W.,Hammoudeh, S.,Yoon, S.M. IPC Science and Technology Press ; Elsevier Scienc 2014 ENERGY ECONOMICS Vol.42 No.-

Since its formation, OPEC through its conference decisions has been a major player in the world oil markets. The purpose of this paper is to examine the impacts of OPEC's different news announcements on the conditional expectations and volatility of crude oil markets in the presence of long memory and structural changes. To do so, we first discern OPEC's oil production behavior in response to its ''cut'', ''maintain'', and ''increase'' decisions. Then by applying the ARMA-GARCH class models to the two global benchmarks WTI and Brent over the period May 1987 through December 2012, we find strong evidence of long memory. The empirical evidence also shows that OPEC's announcements especially the ''cut'' and the ''maintain'' decisions have a significant effect on both returns and volatility of the crude oil markets, particularly that of the WTI. Moreover, we explore the possibility of structural breaks in the crude oil prices and detect five (six) breakpoints for the WTI (Brent) oil markets. The presence of structural breaks reduces the persistence of volatility. Accounting for OPEC's scheduled news announcements in the presence of structural changes reduces the degree of volatility persistence and enhances the understanding of this volatility in the oil markets. These results have several implications for policy makers, oil traders and other participants in the crude oil markets.

Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis

Mensi, Walid,Lee, Yun-Jung,Al-Yahyaee, Khamis Hamed,Sensoy, Ahmet,Yoon, Seong-Min Elsevier Science B.V. Amsterdam 2019 FINANCE RESEARCH LETTERS Vol.31 No.-

<P><B>Abstract</B></P> <P>This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns. Our results show evidence of structural breaks and asymmetric multifractality. Moreover, the multifractality gap between the uptrend and downtrend is small when the time scale is small, and it increases as the time scale increases. The BTC market is more inefficient than ETH. The inefficiency is more (less) accentuated when the market follows a downward (upward) movement. The efficiency level varies based on each subperiod.</P> <P><B>Highlights</B></P> <P> <UL> <LI> Long memory and weak-form efficiency of cryptocurrency market are examined. </LI> <LI> High-frequency data of two major cryptocurrencies, Bitcoin and Ethereum, are used. </LI> <LI> Asymmetric multifractal detrended fluctuation analysis method is applied. </LI> <LI> Structural breaks, long memory, and asymmetric multifractality are in both markets. </LI> <LI> The Bitcoin market is more inefficient for overall, upward, and downward trends. </LI> </UL> </P>

Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis

Mensi, Walid,Tiwari, Aviral Kumar,Yoon, Seong-Min Elsevier 2017 PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIO Vol.471 No.-

<P><B>Abstract</B></P> <P>This paper estimates the weak-form efficiency of Islamic stock markets using 10 sectoral stock indices (basic materials, consumer services, consumer goods, energy, financials, health care, industrials, technology, telecommunication, and utilities). The results based on the multifractal detrended fluctuation analysis (MF-DFA) approach show time-varying efficiency for the sectoral stock markets. Moreover, we find that they tend to show high efficiency in the long term but moderate efficiency in the short term, and that these markets become less efficient after the onset of the global financial crisis. These results have several significant implications in terms of asset allocation for investors dealing with Islamic markets.</P> <P><B>Highlights</B></P> <P> <UL> <LI> The MF-DFA method is used to evaluate 10 sector indices of Islamic stock markets. </LI> <LI> This paper assesses the effects of the GFC on the weak-form EMH. </LI> <LI> The price dynamics of Islamic stock markets are multifractal in nature. </LI> <LI> Islamic stock markets become less efficient after the GFC. </LI> <LI> Islamic markets show high long-term efficiency but moderate short-term efficiency. </LI> </UL> </P>

Analysing dynamic linkages and hedging strategies between Islamic and conventional sector equity indexes

Mensi, Walid,Hammoudeh, Shawkat,Sensoy, Ahmet,Yoon, Seong-Min Taylor Francis 2017 Applied Economics Vol.49 No.25

Impact of macroeconomic factors and country risk ratings on GCC stock markets: evidence from a dynamic panel threshold model with regime switching

Mensi, Walid,Hammoudeh, Shawkat,Yoon, Seong-Min,Balcilar, Mehmet Taylor Francis 2017 Applied Economics Vol.49 No.13

Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate

Mensi, Walid,Hammoudeh, Shawkat,Yoon, Seong-Min Elsevier 2015 ENERGY ECONOMICS Vol.48 No.-

<P><B>Abstract</B></P> <P>This paper investigates the influence of structural changes on the asymmetry of volatility spillovers, asset allocation and portfolio diversification between the USD/euro exchange market and each of six major spot petroleum markets including WTI, Europe Brent, kerosene, gasoline and propane. Using the bivariate DCC–EGARCH model with and without structural change dummies, the results provide evidence of significant asymmetric volatility spillovers between the U.S. dollar exchange rate and the petroleum markets. Moreover, the model with the structural breaks reduces the degree of volatility persistence and leads to more appropriate hedging and asset allocation strategies for all pairs considered. Thus, the findings have important implications for financial risk management.</P> <P><B>Highlights</B></P> <P> <UL> <LI> We investigate volatility spillovers between the USD and five petroleum markets. </LI> <LI> Bivariate EGARCH model with and without structural breaks is used. </LI> <LI> Significant asymmetric volatility spillover effects are found. </LI> <LI> Persistence of volatility declines when structural breaks are controlled. </LI> <LI> The evidence attests to importance of cross-market hedging and asset allocation. </LI> </UL> </P>

Effectiveness of Short-Term Psychodynamic Psychotherapy in Preadolescents and Adolescents Affected by Psychiatric Disorders

Martina Maria Mensi,Marika Orlandi,Chiara Rogantini,Renato Borgatti,Matteo Chiappedi 대한신경정신의학회 2021 PSYCHIATRY INVESTIGATION Vol.18 No.10

Objective Few studies have explored the effectiveness of short-term psychodynamic psychotherapy in children and adolescents. We aimed to investigate its efficacy in a heterogeneous group of young patients. We also wanted to check any relation between the improvement and patients’ age, sex, or diagnostic category. Methods We recruited a group of 123 patients (11 to 19 years old) with a diagnosis of psychiatric disorders confirmed by Kiddie Schedule for Affective Disorders and Schizophrenia (KSADS). All participants received eight sessions of psychodynamic psychotherapy (“Brief Individuation Psychotherapy” by Senise). They were assessed using the Clinical Global Impression (Severity at baseline, Improvement after treatment), and the Children’s Global Assessment Scale (C-GAS). Results We found a clinically meaningful improvement in most patients (CGI-I 3 or lower; 79 out of 123, 64.2%) and a statistically significant improvement in the overall functioning (as measured by the C-GAS; p<0.001). We found no effect of age or sex of the patient on results obtained; patients with an externalizing disorder had significantly poorer results. Conclusion Our study, although lacking a control group, supports the possibility to use short-term psychodynamic psychotherapy in the treatment of psychiatric disorders in preadolescents and adolescents affected by psychiatric disorders.