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MOHAMMED ZIAUR REHMAN

Associate Professor

FACULTY

كلية إدارة الأعمال
BUILDING 67, SECOND FLOOR,S-10
publication
Journal Article
2023

Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network

Emerging Markets Review

Abstract
In this study we advance the understanding of the spillovers and connectedness network among conventional and Islamic BRICS stock markets, cryptos (Bitcoin, Ethereum, Litecoin) and various global uncertainties, using a quantile vector autoregression method and daily data covering the period October 8, 2016, to May 28, 2021. Further, the study uses a network and sensitivity analyses to assess the nexus, examines risk causes, and the transfer paths in these markets under bearish, normal, and bullish markets. The evidence offers major findings. First, the overall static and dynamic connectedness is very high and more intense at extreme events. Second, the network connectedness structure shows that the markets have played both roles: net transmitters and receivers of shocks under several market states. Finally, the sensitivity to quantiles analysis shows switching behavior of net transfer spillovers over the quantiles. This could be beneficial to investors aiming at optimizing hedging strategies. Policymakers should consider carefully the overall network connectedness in the market system and formulate appropriate policies to conceive stock market price sensitivity.

Publication Work Type
RESEARCH PAPER
more of publication
publications

We investigate the dependence structure among the seven emerging stock markets namely Brazil, China, India, Indonesia, Mexico, South Korea, and Turkey for the period 2000 to 2018 by employing a…

by Mohammed Ziaur Rehman
2023
Published in:
Taylor and Francis Group
publications

This study investigates the directional predictability of exchange rates in emerging markets. Using a cross-quantilogram model, we show that dependencies among emerging markets exchange rates are…

by Mohammed Ziaur Rehman
2022
Published in:
Elsevier