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Authors = Wahbeeah Mohti

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22 pages, 2639 KiB  
Article
Quantile Connectedness Amongst Green Assets Amid COVID-19 and Russia–Ukraine Tussle
by Ayesha Rehan, Wahbeeah Mohti and Paulo Ferreira
Economies 2024, 12(11), 307; https://doi.org/10.3390/economies12110307 - 13 Nov 2024
Cited by 2 | Viewed by 1604
Abstract
With the advent of greening the global economy and the introduction of green financial assets, this study examines the connectedness and spillover effect of green assets using a QVAR approach focusing on the average connectedness and connectedness under extreme market conditions. The time [...] Read more.
With the advent of greening the global economy and the introduction of green financial assets, this study examines the connectedness and spillover effect of green assets using a QVAR approach focusing on the average connectedness and connectedness under extreme market conditions. The time of the study captures the crucial global incidents of COVID-19 and Russia–Ukraine war to investigate the effect of major incidents on the connectedness of green assets. The results of the QVAR analysis reveal that green assets are moderately connected under normal market conditions; however, their connection is strengthened under extreme market conditions. IOTA and SP Green Bonds are the net receivers of shocks from other assets, and SP Green Bonds are connected to green energy indices and green cryptocurrencies during turbulent markets. Since green cryptocurrencies are closely connected, a lower portion of them should be added to portfolios, whereas SP Green Bonds qualify as a good diversifying agent in a portfolio. The study has significant implications for market participants, investors, and policymakers. Full article
(This article belongs to the Special Issue Public Finance and Green Growth)
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13 pages, 1114 KiB  
Article
Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak
by Faheem Aslam, Wahbeeah Mohti and Paulo Ferreira
Int. J. Financial Stud. 2020, 8(2), 31; https://doi.org/10.3390/ijfs8020031 - 26 May 2020
Cited by 69 | Viewed by 8440
Abstract
This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation analysis [...] Read more.
This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation analysis (MFDFA). Overall, the results confirm the existence of multifractality in European stock markets during the COVID-19 outbreak. Furthermore, based on multifractal properties, efficiency varies among these markets. The Spanish stock market remains most efficient while the least efficient is that of Austria. Belgium, Italy and Germany remain somewhere in the middle. This far-reaching outbreak demands a comprehensive response from policy makers to improve market efficiency during such epidemics. Full article
(This article belongs to the Special Issue Econophysics Applications to Financial Markets)
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14 pages, 353 KiB  
Article
Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis
by Wahbeeah Mohti, Andreia Dionísio, Paulo Ferreira and Isabel Vieira
Economies 2019, 7(1), 15; https://doi.org/10.3390/economies7010015 - 26 Feb 2019
Cited by 18 | Viewed by 5787
Abstract
This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically [...] Read more.
This study assesses contagion from the USA subprime financial crisis on a large set of frontier stock markets. Copula models were used to investigate the structure of dependence between frontier markets and the USA, before and after the occurrence of the crisis. Statistically significant evidence of contagion could only be found in the European region, with the markets of Croatia and Romania being affected. The remaining European markets in our sample and the others, located in America, Middle East, Africa, and Asia, appear to have been isolated from the subprime crisis impact. These results are useful for international investors interested in enlarging the geographical diversification of their portfolios, but also for the considered countries’ policymakers who should attempt to improve the attractiveness of stock markets for domestic and foreign investors while simultaneously attempting to maintain their relative level of insulation against future foreign crises. Full article
(This article belongs to the Special Issue Impact of Macroeconomic Indicators on Stock Market)
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