Elie Bouri

Bitcoin for Energy Commodities Before and After the December 2013 Crash: Diversifier, Hedge or Safe Haven?

ABSTRACT We study the relationship between Bitcoin and commodities by assessing the ability of Bitcoin to act as a diversifier, hedge, or safe haven against daily movements in commodities in general, and energy commodities in particular. We focus on energy commodities because energy, in the form of electricity, is an essential input in the Bitcoin production. For the entire period, results show that Bitcoin is a strong hedge and a safe-haven against movements in both commodity indices. We further examine whether that ability is also present for non-energy commodities and our analysis show insignificant results when energy commodities are excluded from the general commodity index. We also account for the December 2013 Bitcoin price crash and our results reveal that Bitcoin hedge and safe-haven properties against commodities and energy commodities are only present in the pre-crash period, whereas in the post-crash period Bitcoin is no more than a diversifier. In addition to uncovering the time-varying role of Bitcoin, we highlight the dissimilarity in the dynamic correlations between the extreme downward and extreme upward movements.

Do return and volatility traverse the Middle Eastern and North African (MENA) stock markets borders

Purpose - – This paper aims to examine the dynamic relationship across stock market returns in Morocco, Tunisia, Egypt, Lebanon, Jordan, Kuwait, Bahrain, Qatar, United Arabic Emirates (UAE), Saudi Arabia, and Oman from June 2005 to January 2012. Design/methodology/approach - – The paper uses a multivariate model with leptokurtic distribution which allows for both return asymmetry and fat tails. The paper also derives from the model the conditional correlation between stock markets and examines the impact of the global financial crisis of 2008 on the conditional variance and correlation. Findings - – The empirical results show that the Middle East and North African (MENA) markets are interconnected by their volatilities and not by their returns. Volatility persists in each market and significant volatility spillovers from small to relatively larger markets. During the crisis, the paper finds that conditional volatilities across markets increase but then during the post-crisis period return to their pre-crisis levels. More importantly, the conditional correlation behaves differently, with a significant evidence of downwards trend in some correlations across the MENA stock markets. Research limitations/implications - – One limitation of the study relates to the relatively short-sample period which drives the empirical results. Practical implications - – The key results imply that there is still a possibility of benefits from portfolio diversification across specific MENA countries during periods of high volatility. Originality/value - – No previous study investigates the transmission of both the first and second moments of the return series across the MENA stock markets allowing for time-varying volatility and correlation and accounts for the 2008 global financial crisis to examine whether the conditional volatilities and correlations have strengthened or weakened during the crisis and afterwards.

Beyond the negative relation between return and conditional volatility in the wine market

Purpose – The purpose of this paper is to examine fine wine’s safe-haven status with respect to US equity movements. Design/methodology/approach – We use a generalized autoregressive conditional heteroscedasticity model and its variant to measure the asymmetric reaction to positive and negative shocks. Findings – Our empirical results show an inverted asymmetric volatility in the wine market; positive shocks increase the conditional volatility more than negative shocks. That is the opposite reaction in the volatility of equity returns occurs in the wine market. As leverage effect and volatility feedback effect do not adequately explain this reaction, we follow the work of Baur (2012) and propose the safe haven effect. Several robustness tests largely confirm the empirical findings, with major implications for wine investors. Finally, we provide further evidence on the benefits of adding wine investments to an equity portfolio through an increase in risk reduction effectiveness. Research limitations/implic...

Fine Wine as an Alternative Investment during Equity Market Downturns

In this article, the author applies a dynamic conditional correlation model to examine the return relationships among fine wines and equity indexes from the United States, United Kingdom, Germany, France, and Japan. Using data spanning from January 2004 to September 2013, the first result provides evidence that fine wine is a hedge against equities. Additionally, fine wine is a weak safe haven during periods of market stress. These empirical results have practical implications for risk managers seeking to preserve the value of their equity portfolios during uncertainty periods where diversification benefits are the most needed.

Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note

Abstract This study applies a non-parametric causality-in-quantiles test to examine the causal effect of geopolitical risks on return and volatility dynamics of Islamic equity and bond markets. Geopolitical risks are generally found to impact Islamic equity market volatility measures, rather than returns. However, geopolitical risks tend to predict both returns and volatility measures of Islamic bonds. Interestingly, causality, when it exists for returns and/or volatility of Islamic equities and bonds, is found to hold over entire conditional distributions of returns and volatilities, barring the extreme ends of the same.

On the Dynamic Transmission of Mean and Volatility across the Arab Stock Markets

This article applies a multivariate model to uncover the dynamic mean and volatility interdependence across the markets of Morocco, Tunisia, Egypt, Lebanon, Jordan, Kuwait, Bahrain, Qatar, United Arabic Emirates (UAE), Saudi Arabia and Oman from June 2005 to January 2012. Results show that the Arab Middle East and North African equity markets are interconnected by their volatilities and not by their returns, which makes risk reduction possible. Volatility persistence and innovations in one market enclose figures that are valuable to investors and risk managers seeking to predict volatility in other markets. Surprisingly, we find evidence of significant volatility spillover from small to larger markets. JEL Classification: G1, G15, G17, C22, C32

Spillovers between Bitcoin and other Assets during Bear and Bull Markets

ABSTRACT This article contributes to the embryonic literature on the relations between Bitcoin and conventional investments by studying return and volatility spillovers between this largest cryptocurrency and four asset classes (equities, stocks, commodities, currencies and bonds) in bear and bull market conditions. We conducted empirical analyses based on a smooth transition VAR GARCH-in-mean model covering daily data from 19 July 2010 to 31 October 2017. We found significant evidence that Bitcoin returns are related quite closely to those of most of the other assets studies, particularly commodities, and therefore, the Bitcoin market is not isolated completely. The significance and sign of the spillovers exhibited some differences in the two market conditions and in the direction of the spillovers, with greater evidence that Bitcoin receives more volatility than it transmits. Our findings have implications for investors and fund managers who are considering Bitcoin as part of their investment strategies and for policymakers concerned about the vulnerability that Bitcoin represents to the stability of the global financial system.

Ownership structure and minority expropriation in Lebanon

This paper examines minority expropriation issues in the dominant presence of family ownership using longitudinal (hand-collected) data on 270 Lebanese non-financial firms between 2009 and 2012. The analysis reveals that family-related CEOs and the disparity between cash-flow rights and voting rights facilitate expropriation. However, the presence of private equity and banking firms reduces private benefit extraction. By explicitly focusing on the ownership-expropriation nexus and by promoting the development and implementation of a tailored governance code that considers Lebanese specificities, this paper makes a contribution to the growing literature on the role of corporate governance in emerging markets.

The Impact of Governance in Higher Education Institutions on Scientific Research in the Arab World

This chapter enhances our understanding of the impact of governance in higher education institutions on scientific research in the Arab world, where research activities and scientific publications relatively lag behind non-Arab countries. While an initial emphasis has been given to the importance of scientific research in enhancing the quality, reputation, and credibility of higher education institutions, this chapter stresses on the necessity to adopt a suitable governance structure capable of nurturing and supporting the culture of research—one of the main pillars of higher education policy. Finally, some recommendations for policy choices are formulated.

Does corn market uncertainty impact the US ethanol prices

The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol in the world. In this study, we examine the effect of corn market uncertainty on the price changes of US ethanol applying a set of GARCH‐jump models. We find that the US ethanol price changes react positively to the corn market volatility shocks after controlling for the effect of oil price uncertainty. In addition, we document that the impact of corn price volatility on the US ethanol prices appears to be asymmetric. Specifically, only the positive corn market volatility shocks are found to influence the ethanol market returns. Our findings also suggest that time‐varying jumps do exist in the ethanol market.