Mohamed Fakhfekh

Bio: Mohamed Fakhfekh is an academic researcher from University of Sfax. The author has contributed to research in topics: Volatility (finance) & Stock market. The author has an hindex of 5, co-authored 12 publications receiving 109 citations.

Tunisian revolution and stock market volatility: evidence from FIEGARCH model

Abstract: Purpose – Previously elaborated research works, dealing with the political uncertainty effect on stock market, have been primarily concerned with such political events as terrorist attacks, elections, wars, natural catastrophes and financial crashes Such little research has been concerned with civil uprisings and revolutionary movements, as crucial sources of political uncertainty The purpose of this paper is to study the impact of political uncertainty (resulting from the Tunisian Revolution) on the volatility of major sectorial stock indices in the Tunisian Stock Exchange (TSE) Design/methodology/approach – The authors apply the fractionally integrated exponential generalized autoregressive conditional heteroscedasticity model (FIEGARCH), which helps maintain a direct shock-persistence as well as a shock asymmetric volatility measurement This model is applied to the daily returns relevant to nine sectorial stock indices and to the Tunisian benchmark index (TUNINDEX) with respect to three sub-periods

Portfolio management and dependence structure between cryptocurrencies and traditional assets: evidence from FIEGARCH-EVT-Copula

Abstract: The purpose of this paper is twofold. Firstly, it discusses the relationship between five cryptocurrencies, oil prices, and US indices. Secondly, it focuses on determining the best portfolio hedging strategy. Using daily data relevant to the period ranging from January 4, 2016, to November 29, 2019, this study applies the FIEGARCH-EVT-Copula and Hedge ratios analysis. The findings obtained have shown that the crude oil (WTI) and the US indices return highlights the persistence of a negative and significant leverage effect while the cryptocurrency markets present a positive asymmetric volatility effect. Moreover, this paper show evidence of very weak dependence between all the different pairs considered before and after the introduction of Bitcoin Futures. Based on the Hedging ratio and mean-variance approach, this article suggests that to minimize the risk while keeping the same expected returns of the digital-conventional financial asset portfolio, the investor should hold more conventional financial assets than digital assets except for WTI-Bitcoin, WTI- Dash and WTI-Ethereum pairs which the values of their hedge ratios are rather important with respect to OLS regression.

Volatility dynamics of the Tunisian stock market before and during the COVID-19 outbreak: Evidence from the GARCH family models

Abstract: The aim of this article is to choose the appropriate GARCH model to analyse the volatility dynamics of the Tunisian sectorial stock market indices during the COVID-19 outbreak period We explore the optimal conditional heteroscedasticity model with regards to goodness-of-fit to these sectorial indices In particular, it proposes four models (EGARCH, FIGARCH, FIEGARCH and TGARCH) to measure asymmetric and persistence volatility Our findings point to three interesting results First, following the COVID-19 outbreak, volatility is more persistent in all series Second, the results show that building constructs materials, construction and food and beverage sector return volatilities have an insignificant asymmetric effect while consumer service, financials and distribution, industrials, basic materials and banks sector return volatilities have relatively high positive and significant asymmetric effect compared with those during the pre-COVID-19 period Finally, the findings show that financial services, automobile and parts, insurance and TUNINDEX20 sectors have insignificant leverage effect Our results can thus be useful to investors when accounting for future volatility and implementing hedging strategies under COVID-19 crisis

A survey of Islamic banking and finance literature: Issues, challenges and future directions

Abstract: This paper undertakes a survey of the literature on Islamic banking and finance. The aim is to provide an understanding of the literature, identify key issues and challenges, and explore potential directions for future research. Our survey reveals that there is a need to; (a) focus on new areas of research including datasets, (b) establish the economic significance of the statistical results, (c) undertake research that explores new questions/hypotheses, and (d) establish the robustness of the findings. The paper discusses these issues.