Achraf Ghorbel

Bio: Achraf Ghorbel is an academic researcher from University of Sfax. The author has contributed to research in topics: Stock market index & Stock (geology). The author has an hindex of 4, co-authored 14 publications receiving 78 citations.

Investigating the relationship between volatilities of cryptocurrencies and other financial assets

Abstract: This paper analyzes the relationships between volatilities of five cryptocurrencies, American indices (S&P500, Nasdaq, and VIX), oil, and gold. The results of the BEKK-GARCH model show evidence of a higher volatility spillover between cryptocurrencies and lower volatility spillover between cryptocurrencies and financial assets. The results of the DCC-GARCH model identify an important effect of the launch of Bitcoin futures. During the stability period, the overarching implications of the results are that there is a persistence of correlation between cryptocurrencies in high positive value and low dynamic conditional correlations between cryptocurrencies and financial assets. Also, we find that Bitcoin and gold are considered hedges for the US investors before the coronavirus crisis. Our results show that cryptocurrencies may offer diversification benefits for investors and are diversifiers during the stability period. At the beginning of 2020, we observe that the conditional correlation increased between cryptocurrencies, stock indexes, and oil which confirm the effect of the coronavirus contagion between them. Unlike gold, digital assets are not a safe haven for US investors during the coronavirus crisis.

Assessing the Impact of Crude Oil Price and Investor Sentiment on Islamic Indices: Subprime Crisis

Abstract: This article attempts to shed light on the impact of oil prices, investor sentiment, and conventional index on 11 Islamic indices, particularly during the subprime financial crisis and the oil crisis. Empirical evidence suggests that the Malaysian and Indonesian Islamic indices are very much affected by the oil volatility. Estimation results of the BEKK-GARCH model reveal that the pessimistic sentiment during the subprime crisis is transmitted to Islamic indices, suggesting the herding contagion. The authors' finding indicates that investors can use VIX investor sentiment as an indicator to predict Islamic returns volatility. In addition, the authors find that the oil shock has spilled into Islamic indices. The time-varying correlation indicates strong evidence of the contagion effect of crude oil and investor sentiment measure to Islamic indices during the oil shock and U.S. financial crisis period of 2008–2009.

Behavioral explanation of contagion between oil and stock markets

Abstract: Purpose – This paper aims to investigate empirical evidence of behavioral contagion between oil market, US market and stock markets of oil-importing and oil-exporting countries, during the oil shock and US financial crisis period of 2008-2009, after controlling for fundamentals-driven co-movements. Design/methodology/approach – To examine the volatility spillover among oil market and stock markets, the conditional variance of the trivariate BEKK-GARCH model includes three variables: oil returns, US index returns, and the respective individual market returns of 22 oil-importing and exporting countries. The authors estimate the time-varying correlation coefficients between the prediction error of oil market and each stock index. Also, the authors estimate the time-varying correlation coefficients between the prediction error of US market and each stock index. Findings – The estimation of the trivariate BEKK-GARCH model for VIX, oil market and 23 stock markets of oil-importing and oil-exporting countries sug...

Contagion effect of the oil shock and US financial crisis on the GCC and BRIC countries

Abstract: Purpose – This paper aims to employ GARCH-class models (GARCH, IGARCH and CGARCH) to estimate the volatility persistence on crude oil, US, Gulf Corporation Council (GCC), Brazil, Russia, India and China (BRIC) stock markets. Also, the paper investigates the volatility spillover and the dynamic conditional correlation between crude oil, US stock index and stock indices of GCC and BRIC countries. The results prove a high degree of volatility persistence in the crude oil and stock markets. Based on the BEKK-GARCH and DCC-GARCH results, the paper finds strong evidence of the contagion effect of the oil shock and US financial crisis of 2008 on GCC and BRIC stock markets. Design/methodology/approach – In the beginning, the paper uses univariate GARCH models to estimate the volatility persistence of the oil market, US stock market, and GCC and BRIC stock markets. Then, the paper uses a trivariate BEKK-GARCH model of Malik and Hammoudeh to examine the volatility spillover between oil market, US stock market and s...

Contagion of COVID-19 pandemic between oil and financial assets: the evidence of multivariate Markov switching GARCH models

Abstract: In this paper, we investigate empirically the time-frequency co-movement between the recent COVID-19 pandemic, G7stock markets, gold, crude oil price (WTI) and cryptocurrency markets (bitcoin) using both the multivariate MSGARCH models.,This paper examines the relationship between the volatilities of oil, Chinese stock index and financial assets (cryptocurrency, gold, and G7 stock indexes), for the period January 17th 2020 to December 10th 2020. It tests the presence of regime changes in the GARCH volatility dynamics of bitcoin, gold, Chinese, and G7 stock indexes as well as oil prices by using Markov–Switching GARCH model. Also, the paper estimates the dynamic correlation and volatility spillover between oil, Chinese and financial assets by using the MSBEKK-GARCH and MSDCC-GARCH models.,Overall, we find that all variables display a strong volatility concentrated in the first four months of Covid-19 outbreak. The paper conducts different backtesting procedures of the 1% and 5% Value-at-Risk forecasts of risk. The results find that gold has the lowest VaR. However, the Canadian and American indices have the highest VaR, for respectively 1% and 5% confidence level. The estimation results of MSBEKK-GARCH prove the volatility spillover between Chinese index, oil and financial assets. Although, the past news about shocks in the Chinese index significantly affects the current conditional volatility of financial assets. Moreover, for the high regime, the correlation increased between Chinese and G7 stock indexes which proving the contagion effect of the COVID-19 pandemic. On the contrary, the correlation decreased between Chinese-gold and Chinese-bitcoin, which confirming that gold and bitcoin can be considered as an alternative hedge for some investors during a crisis. During the COVID-19 pandemic, the correlations for the couples oil-gold and oil-bitcoin peaked. Contrary to gold, bitcoin cannot be considered as a safe haven during the global pandemic when investing in crude oil.,In contrast, comparative analysis in terms of responses to US COVID-19 pandemic, the US Covid-19 confirmed cases have relative higher impact on the co-movement in WTI and bitcoin. This paper confirms that gold is a safe haven during the COVID19 pandemic period.

The contagion effect between the oil market, and the Islamic and conventional stock markets of the GCC country: Behavioral explanation

Abstract: This study aims to investigate the transmission of shock between the oil market and the Islamic and conventional stock markets of the Gulf Cooperation Council (GCC) countries during the oil shocks of 2008 and 2014.,This study uses two models. First, the dynamic conditional correlation–generalized autoregressive conditionally heteroskedastic model has been used to capture the fundamental contagion effects between the oil market and the Islamic and conventional stock markets during the tranquil and turmoil-crisis periods of 2008-2014. Second, the filter of Kalman has been used to capture the effects of pure contagion between the oil market and the GCC Islamic and conventional stock markets. The authors analyze the dynamic correlation between forecasting errors of oil returns and stock returns of GCC Islamic and GCC conventional indices.,The main findings of this investigation are: first, the estimation of the dynamic conditional correlation– generalized autoregressive conditionally heteroskedastic model for oil market and the Islamic and conventional stock markets proves that the Islamic and conventional stock markets and oil market displayed a significant increase in the dynamic correlation during the turmoil period, from mid-2008 and mid-2014. This proves the existence of contagion between the markets studied. Second, the authors analyze the dynamic correlation between forecasting errors of oil returns and stock returns of GCC Islamic and GCC conventional indices. They show a strong increase in the correlation coefficients between the oil market and the conventional GCC stock markets, and between the conventional and Islamic GCC stock markets during the oil crisis of 2014. However, there is no change in regime in the figure of the correlation coefficient between the oil market and the GCC Islamic stock markets during the 2008 financial crisis. This pure contagion is mainly attributed to the herding bias in 2014 oil crisis.,This study contributes to identifying the contribution of herding bias on the volatility transmission between the oil markets, and the GCC Islamic and conventional stock market, especially during two controversial shocks: the 2008 oil-price increase and the 2014 oil drop.