Search Results - "Salisu, Afees A."

Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach by Salisu, Afees A., Isah, Kazeem O.

“…In this paper, we re-examine the relationship between oil price and stock prices in oil exporting and oil importing countries in the following distinct ways…”
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Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach by Salisu, Afees A., Oloko, Tirimisiyu F.

“…This study adds to the existing literature on oil price–US stock nexus in three ways. First, it employs the VARMA–AGARCH model developed by McAleer et al…”
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Gold and US sectoral stocks during COVID-19 pandemic by Salisu, Afees A., Vo, Xuan Vinh, Lucey, Brian

“…[Display omitted] In this study, we examine the hedging relationship between gold and US sectoral stocks during the COVID-19 pandemic. We employ a multivariate…”
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Pandemics and the emerging stock markets by Afees A. Salisu, Abdulsalam Abidemi Sikiru, Xuan Vinh Vo

“…In this study, we examine the response of emerging stock markets due to the uncertainty of pandemics and epidemics (UPE), including the COVID-19 pandemic. We…”
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COVID-19 pandemic and the crude oil market risk: Hedging options with non-energy financial innovations by Salisu, Afees A, Obiora, Kingsley

“…This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We…”
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Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios by Salisu, Afees A., Pierdzioch, Christian, Gupta, Rangan, Gabauer, David

“…We examine the predictive value of risk perceptions as measured in terms of the gold-to-silver and gold-to-platinum price ratios for stock-market tail risks…”
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The predictive power of Bitcoin prices for the realized volatility of US stock sector returns by Bouri, Elie, Salisu, Afees A., Gupta, Rangan

“…This paper is motivated by Bitcoin’s rapid ascension into mainstream finance and recent evidence of a strong relationship between Bitcoin and US stock markets…”
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Hedging with financial innovations in the Asia-Pacific markets during the COVID-19 pandemic: the role of precious metals by Sikiru, Abdulsalam Abidemi, Salisu, Afees A.

“…In this study, we exploit the information contained in financial innovations in precious metals for hedging the risks associated with the Asia-Pacific equities…”
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COVID-19 and oil market risks: Evidence from new datasets by Salisu, Afees A., Hammed, Yinka S.

“…We evaluate the predictive value of the newly constructed six COVID-19 indices for oil market risks from 31st December, 2019 (when COVID-19 started) to 28th…”
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Further application of Narayan and Liu (2015) unit root model for trending time series by Salisu, Afees A., Adeleke, Adegoke I.

“…In this paper, we further subject the new GARCH-based unit root test for trending time series proposed by Narayan and Liu (NL) (2015) to empirical scrutiny. We…”
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Gold and the global financial cycle by Salisu, Afees A., Gupta, Rangan, Ntyikwe, Siphesihle, Demirer, Riza

“…We examine the potential of gold and other precious metals as safe havens during negative market shocks caused by the Global Financial Cycle (GFCy). We analyze…”
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The COVID-19 global fear index and the predictability of commodity price returns by Salisu, Afees A., Akanni, Lateef, Raheem, Ibrahim

“…In this paper, we subject the global fear index (GFI) for the COVID-19 pandemic to empirical scrutiny by examining its predictive power in the predictability…”
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Predicting stock returns in the presence of COVID-19 pandemic: The role of health news by Salisu, Afees A., Vo, Xuan Vinh

“…This study derives its motivation from the current global pandemic, COVID-19, to evaluate the relevance of health-news trends in the predictability of stock…”
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Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results by Salisu, Afees A., Ebuh, Godday U., Usman, Nuruddeen

“…We provide some preliminary estimates about the behaviour of oil-stock nexus during COVID-19 pandemic. Consequently, we conduct distinct analyses for periods…”
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Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data by Salisu, Afees A., Pierdzioch, Christian, Gupta, Rangan

“…Using monthly data for the period from 1916 to 2020, we report that geopolitical risk, when decomposed into threats and actual risk, has predictive value for…”
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Hedging oil price risk with gold during COVID-19 pandemic by Salisu, Afees A., Vo, Xuan Vinh, Lawal, Adedoyin

“…This paper assesses the role of gold as a safe haven or hedge against crude oil price risks. We employ the asymmetric VARMA-GARCH model, using daily data from…”
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Constructing a Global Fear Index for the COVID-19 Pandemic by Salisu, Afees A., Akanni, Lateef O.

“…This paper offers two main innovations. First, we construct a global fear index (GFI) for the COVID-19 pandemic to support economic, financial, and policy…”
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Testing for spillovers in naira exchange rates: The role of electioneering global financial crisis by Afees A. Salisu, Taofeek O. Ayinde

“…This study offers a new dimension to the analysis of spillover transmission in foreign exchange markets by accounting for the role of electioneering in…”
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Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach by Salisu, Afees A., Gupta, Rangan

“…In this study, we employ the GARCH–MIDAS (Generalised Autoregressive Conditional Heteroskedasticity variant of Mixed Data Sampling) model to investigate the…”
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Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model by Salisu, Afees A., Gupta, Rangan, Demirer, Riza

“…This study examines the predictive power of the global financial cycle (GFCy) over oil market volatility using the GARCH-MIDAS framework. The GARCH-MIDAS model…”
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