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Browsing by Author Boubaker, Sabri

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  • Assessing the effects of unconventional monetary policy and low.pdf.jpg
  • Article

  • Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives

    • Authors: Boubaker, Sabri; Gounopoulos, Dimitrios; Nguyen, Duc Khuong; Paltalidis, Nikos (2017)

  • This study quantifies the effects of persistently low interest rates near to the zero lower bound and unconventional monetary policy on pension fund risk incentives in the United States. Using two structural vector autoregressive (VAR) models and a counterfactual scenario analysis, the results show that monetary policy shocks, as identified by changes in Treasury yields following changes in the central bank’s target interest rates, lead to a substantial increase in pension funds’ allocation to equity assets. Notably, the shift from bonds to equity securities is greater during the period where the US Federal Reserve launched unconventional monetary policy measures. Additional fin...
  • Black swan events and safe havens - The role of gold in globally.pdf.jpg
  • Article

  • Black swan events and safe havens: The role of gold in globally integrated emerging markets

    • Authors: Bekiros, Stelios; Boubaker, Sabri; Nguyen, Duc Khuong; Uddin, Gazi Salah (2017)

  • There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets a...
  • The Efficiency of Mutual Funds.pdf.jpg
  • Article

  • The Efficiency of Mutual Funds

    • Authors: García, Javier Vidal; Vidal, Marta; Boubaker, Sabri; Hassan, Majdi (2016)

  • This paper analyzes the short-term market efficiency of the mutual fund industry around the world. Using a unique database of worldwide domestic equity funds, it employs a parametric (regression model) and non-parametric (Data Envelopment Analysis (DEA) model) approaches to establish a relation between cost (expense ratio, turnover, loads, and risk) and benefit (return) of mutual funds. The empirical results of the parametric approach show a statistically significant negative relationship between expenses and risk-adjusted performance across countries. When we reexamine this relationship using a non-parametric approach, we show, in contrast to our previous result, a positive r...

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Browsing by Author Boubaker, Sabri

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 3 of 3
  • Assessing the effects of unconventional monetary policy and low.pdf.jpg
  • Article

  • Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives

    • Authors: Boubaker, Sabri; Gounopoulos, Dimitrios; Nguyen, Duc Khuong; Paltalidis, Nikos (2017)

  • This study quantifies the effects of persistently low interest rates near to the zero lower bound and unconventional monetary policy on pension fund risk incentives in the United States. Using two structural vector autoregressive (VAR) models and a counterfactual scenario analysis, the results show that monetary policy shocks, as identified by changes in Treasury yields following changes in the central bank’s target interest rates, lead to a substantial increase in pension funds’ allocation to equity assets. Notably, the shift from bonds to equity securities is greater during the period where the US Federal Reserve launched unconventional monetary policy measures. Additional fin...
  • Black swan events and safe havens - The role of gold in globally.pdf.jpg
  • Article

  • Black swan events and safe havens: The role of gold in globally integrated emerging markets

    • Authors: Bekiros, Stelios; Boubaker, Sabri; Nguyen, Duc Khuong; Uddin, Gazi Salah (2017)

  • There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets a...
  • The Efficiency of Mutual Funds.pdf.jpg
  • Article

  • The Efficiency of Mutual Funds

    • Authors: García, Javier Vidal; Vidal, Marta; Boubaker, Sabri; Hassan, Majdi (2016)

  • This paper analyzes the short-term market efficiency of the mutual fund industry around the world. Using a unique database of worldwide domestic equity funds, it employs a parametric (regression model) and non-parametric (Data Envelopment Analysis (DEA) model) approaches to establish a relation between cost (expense ratio, turnover, loads, and risk) and benefit (return) of mutual funds. The empirical results of the parametric approach show a statistically significant negative relationship between expenses and risk-adjusted performance across countries. When we reexamine this relationship using a non-parametric approach, we show, in contrast to our previous result, a positive r...