Browsing by Author "Rehman, M. U."

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    Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach
    (Elsevier, 2020) Mensi, W.; Rehman, M. U.; Maitra, D.; Al-Yahyaee, K. H.; Şensoy, Ahmet
    This paper examines the co-movements between Bitcoin (BTC) and the Dow Jones World Stock Market Index, regional Islamic stock markets, and Sukuk markets. We apply cross wavelet transform and wavelet coherence analysis with a wavelet-based measure of value at risk. The co-movement is stronger and in the same direction at lower frequencies, suggesting the benefits from diversification with BTC are relatively less for long-term investors compared to short-term investors. Co-movement in the opposite direction at high frequencies implies better benefits of hedging in the short run through diversification in BTC and Islamic equity markets. Robustness tests show that the correlations increase as we increase from an investment horizon of two days to one of 64 days. The frequency-domain causality test shows significant causality flow from BTC to the Islamic market of Asia-Pacific, Japan, and Sukuk markets in the short term. Additionally, BTC is found to lead Asia-Pacific Islamic stock markets in the long term. Finally, we note that the benefits of portfolio diversification with BTC and Islamic assets vary across time and frequencies.
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    Sensitivity of US equity returns to economic policy uncertainty and investor sentiments
    (Elsevier, 2021-02-24) Rehman, M. U.; Şensoy, Ahmet; Eraslan, V.; Shahzad, S. J. H.; Vo, X. V.
    This paper examines the sensitivity of major US sectoral returns to economic policy uncertainty and investor sentiments. Our analysis is based on weekly frequency and ranges from January 1995 to December 2015 covering a span of 20 years. Considering existing, however limited evidence of non-linear structure exhibited by investor sentiments and economic policy uncertainty and on the basis of our non-linear diagnostics, we use novel technique of non-parametric causality in quantiles approach proposed by Balcilar, Gupta, and Pierdzioch (2016). Our results highlight that economic policy uncertainty and investor sentiments act as driving factors for US sectoral returns. The nature of relationship is reported as asymmetrical for stock returns and symmetrical for variance of returns with an exception of Healthcare sector for economic policy uncertainty and bullish market sentiments. Our study carries implications for portfolio diversification and policy makers for forecasting market efficiency and economic trends.