Details about Zaghum Umar

Access statistics for papers by Zaghum Umar.

Last updated 2024-11-06. Update your information in the RePEc Author Service.

Short-id: pum40

Working Papers

2023

1. Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices
   Post-Print, HAL View citations (1)
   See also Journal Article Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices, Research in International Business and Finance, Elsevier (2023) View citations (6) (2023)
2. Returns and Volatility Connectedness among the EurozoDne Equity Markets
   Post-Print, HAL View citations (1)
   See also Journal Article Returns and volatility connectedness among the Eurozone equity markets, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2024) (2024)

2022

3. COVID-19 Media Coverage and ESG Leader Indices
   Post-Print, HAL
   See also Journal Article COVID–19 media coverage and ESG leader indices, Finance Research Letters, Elsevier (2022) View citations (11) (2022)

2021

4. The impact of COVID-19 induced panic on the return and volatility of precious metals
   Post-Print, HAL View citations (22)
   See also Journal Article The impact of COVID-19 induced panic on the return and volatility of precious metals, Journal of Behavioral and Experimental Finance, Elsevier (2021) View citations (28) (2021)

Journal Articles

2024

1. Air temperature and sovereign bond returns
   Financial Markets, Institutions & Instruments, 2024, 33, (2), 179-209
2. Are investment grade Sukuks decoupled from the conventional yield curve?
   International Review of Financial Analysis, 2024, 91, (C) View citations (1)
3. Beyond traditional financial asset classes: The demand for infrastructure in a multi‐period asset allocation framework
   International Journal of Finance & Economics, 2024, 29, (3), 2581-2592
4. Changes in shares outstanding and country stock returns around the world
   Journal of International Financial Markets, Institutions and Money, 2024, 90, (C)
5. Connectedness between (un)conventional monetary policy and islamic and advanced equity markets: A returns and volatility spillover analysis
   International Review of Economics & Finance, 2024, 91, (C), 348-363 View citations (1)
6. Correction: The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure
   Palgrave Communications, 2024, 11, (1), 1-1
7. Does time-varying risk aversion sentiment matter in the connectedness among Sub-Saharan African bond markets?
   Emerging Markets Review, 2024, 61, (C)
8. Dynamic impact of the US yield curve on green bonds: Navigating through recent crises
   The North American Journal of Economics and Finance, 2024, 74, (C)
9. Dynamic spillover between oil price shocks and technology stock indices: A country level analysis
   Research in International Business and Finance, 2024, 69, (C) View citations (3)
10. Interaction effects in the cross-section of country and industry returns
    Journal of Banking & Finance, 2024, 165, (C)
11. Interdependencies and risk management strategies between green cryptocurrencies and traditional energy sources
    Energy Economics, 2024, 136, (C)
12. Patterns of unconventional monetary policy spillovers during a systemic crisis
    Applied Economics, 2024, 56, (14), 1611-1621
13. Quantifying endogenous and exogenous shocks to financial sector systemic risk: A comparison of GFC and COVID-19
    The Quarterly Review of Economics and Finance, 2024, 94, (C), 281-293
14. Quantile connectedness of oil price shocks with socially responsible investments
    The North American Journal of Economics and Finance, 2024, 70, (C) View citations (1)
15. Return and volatility spillovers among oil price shocks and international green bond markets
    Research in International Business and Finance, 2024, 69, (C) View citations (6)
16. Returns and volatility connectedness among the Eurozone equity markets
    International Journal of Finance & Economics, 2024, 29, (3), 3103-3122
    See also Working Paper Returns and Volatility Connectedness among the EurozoDne Equity Markets, Post-Print (2023) View citations (1) (2023)
17. Sukuk liquidity and creditworthiness during COVID-19
    The Quarterly Review of Economics and Finance, 2024, 94, (C), 88-92
18. The spillover of media sentiment on the sukuk bonds during COVID-19 pandemic
    Applied Economics, 2024, 56, (3), 360-374
19. The term structure of yield curve and connectedness among ESG investments
    Research in International Business and Finance, 2024, 67, (PA) View citations (4)

2023

20. Are short stocks susceptible to geopolitical shocks? Time-Frequency evidence from the Russian-Ukrainian conflict
    Finance Research Letters, 2023, 52, (C) View citations (9)
21. Assessing the impact of media sentiment on the returns of sukuks during the Covid-19 crisis
    Applied Economics, 2023, 55, (12), 1371-1387 View citations (4)
22. COVID-19 and the quantile connectedness between energy and metal markets
    Energy Economics, 2023, 117, (C) View citations (27)
23. Composite equity issuance and the cross-section of country and industry returns
    Applied Economics, 2023, 55, (56), 6627-6645
24. Decoupling Between the Energy and Semiconductor Sectors During the Pandemic: New Evidence from Wavelet Analysis
    Emerging Markets Finance and Trade, 2023, 59, (6), 1707-1719 View citations (6)
25. Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices
    Research in International Business and Finance, 2023, 64, (C) View citations (6)
    See also Working Paper Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices, Post-Print (2023) View citations (1) (2023)
26. Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios
    Research in International Business and Finance, 2023, 65, (C) View citations (6)
27. Do Automated Market Makers in DeFi Ecosystem Exhibit Time-Varying Connectedness during Stressed Events?
    JRFM, 2023, 16, (5), 1-12 View citations (3)
28. Does global value chain participation induce economic growth? Evidence from panel threshold regression
    Applied Economics, 2023, 55, (24), 2788-2800 View citations (4)
29. Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities
    Emerging Markets Review, 2023, 56, (C) View citations (4)
30. Emerging market debt and the COVID‐19 pandemic: A time–frequency analysis of spreads and total returns dynamics
    International Journal of Finance & Economics, 2023, 28, (1), 112-126 View citations (2)
31. Flights-to-quality from EM Bonds to safe-haven US Treasury Securities: A time-frequency Analysis
    Emerging Markets Finance and Trade, 2023, 59, (2), 338-362 View citations (13)
32. Influence of unconventional monetary policy on agricultural commodities futures: network connectedness and dynamic spillovers of returns and volatility
    Applied Economics, 2023, 55, (22), 2521-2535 View citations (4)
33. Modelling dynamic connectedness between oil price shocks and exchange rates in ASEAN+3 economies
    Applied Economics, 2023, 55, (23), 2676-2693 View citations (4)
34. Network connectedness of the term structure of yield curve and global Sukuks
    Pacific-Basin Finance Journal, 2023, 80, (C)
35. Quantile connectedness between oil price shocks and exchange rates
    Resources Policy, 2023, 83, (C)
36. Spillovers from stock markets to currency markets: Evidence from Copula-CoVar with time-varying higher moments
    Applied Economics, 2023, 55, (52), 6091-6114 View citations (3)
37. The connectedness of oil shocks, green bonds, sukuks and conventional bonds
    Energy Economics, 2023, 119, (C) View citations (25)
38. The impact of economic policy uncertainty on sustainability (ESG) performance: the role of the firm life cycle
    International Journal of Managerial Finance, 2023, 20, (4), 872-891
39. The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure
    Palgrave Communications, 2023, 10, (1), 1-12 View citations (3)
40. The impact of the US yield curve on sub-Saharan African equities
    Finance Research Letters, 2023, 53, (C) View citations (2)
41. The relationship between global risk aversion and returns from safe-haven assets
    Finance Research Letters, 2023, 51, (C) View citations (10)
42. Trade competitiveness and the aggregate returns in global stock markets
    Journal of Economic Dynamics and Control, 2023, 148, (C)
43. Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach
    The North American Journal of Economics and Finance, 2023, 67, (C) View citations (1)

2022

44. A new ICEEMDAN-based transfer entropy quantifying information flow between real estate and policy uncertainty
    Research in Economics, 2022, 76, (3), 189-205 View citations (6)
45. ASEAN-5 forex rates and crude oil: Markov regime-switching analysis
    Applied Economics, 2022, 54, (54), 6234-6253 View citations (11)
46. Analysis of the dynamic return and volatility connectedness for non-ferrous industrial metals during the COVID-19 pandemic crisis
    Studies in Economics and Finance, 2022, 40, (2), 313-333
47. Astonishing insights: emerging market debt spreads throughout the pandemic
    Applied Economics, 2022, 54, (18), 2067-2076 View citations (3)
48. COVID-19 related media sentiment and the yield curve of G-7 economies
    The North American Journal of Economics and Finance, 2022, 61, (C) View citations (14)
49. COVID–19 media coverage and ESG leader indices
    Finance Research Letters, 2022, 45, (C) View citations (11)
    See also Working Paper COVID-19 Media Coverage and ESG Leader Indices, Post-Print (2022) (2022)
50. Connectedness between the COVID-19 related media coverage and Islamic equities: The role of economic policy uncertainty
    Pacific-Basin Finance Journal, 2022, 75, (C) View citations (7)
51. Covid-19 impact on NFTs and major asset classes interrelations: Insights from the wavelet coherence analysis
    Finance Research Letters, 2022, 47, (PB) View citations (56)
52. Do Local and World COVID-19 Media Coverage Drive Stock Markets? Time-Frequency Analysis of BRICS
    Complexity, 2022, 2022, 1-14 View citations (4)
53. Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression
    Finance Research Letters, 2022, 48, (C) View citations (48)
54. Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework
    Pacific-Basin Finance Journal, 2022, 76, (C) View citations (20)
55. Dynamic return and volatility connectedness for dominant agricultural commodity markets during the COVID-19 pandemic era
    Applied Economics, 2022, 54, (9), 1030-1054 View citations (12)
56. Financial contagion in real economy: The key role of policy uncertainty
    International Journal of Finance & Economics, 2022, 27, (2), 1633-1682 View citations (2)
57. Infectious disease (COVID-19)-related uncertainty and the safe-haven features of bonds markets
    Review of Behavioral Finance, 2022, 15, (4), 477-487 View citations (10)
58. Is greenness an optimal hedge for sectoral stock indices?
    Economic Modelling, 2022, 117, (C) View citations (26)
59. Modelling the asymmetric effect of COVID-19 on REIT returns: A quantile-on-quantile regression analysis
    The Journal of Economic Asymmetries, 2022, 26, (C) View citations (26)
60. Network connectedness dynamics of the yield curve of G7 countries
    International Review of Economics & Finance, 2022, 79, (C), 275-288 View citations (15)
61. Network connectedness of environmental attention—Green and dirty assets
    Finance Research Letters, 2022, 50, (C) View citations (9)
62. Return and volatility connectedness of the non-fungible tokens segments
    Journal of Behavioral and Experimental Finance, 2022, 35, (C) View citations (10)
63. Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic
    The North American Journal of Economics and Finance, 2022, 61, (C) View citations (23)
64. Seven centuries of commodity co-movement: a wavelet analysis approach
    Applied Economics Letters, 2022, 29, (4), 355-359 View citations (5)
65. Spillover and risk transmission between the term structure of the US interest rates and Islamic equities
    Pacific-Basin Finance Journal, 2022, 72, (C) View citations (15)
66. Spillovers between sovereign yield curve components and oil price shocks
    Energy Economics, 2022, 109, (C) View citations (16)
67. Strategic asset allocation and the demand for real estate: international evidence
    Empirical Economics, 2022, 62, (5), 2461-2513 View citations (4)
68. Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
    Finance Research Letters, 2022, 44, (C) View citations (17)
69. The Return and Volatility Connectedness of NFT Segments and Media Coverage: Fresh Evidence Based on News About the COVID-19 Pandemic
    Finance Research Letters, 2022, 49, (C) View citations (21)
70. The asymmetric relationship between foreign direct investment, oil prices and carbon emissions: evidence from Gulf Cooperative Council economies
    Cogent Economics & Finance, 2022, 10, (1), 2080316 View citations (8)
71. The impact of the Russia-Ukraine conflict on the connectedness of financial markets
    Finance Research Letters, 2022, 48, (C) View citations (49)

2021

72. A tale of company fundamentals vs sentiment driven pricing: The case of GameStop
    Journal of Behavioral and Experimental Finance, 2021, 30, (C) View citations (46)
73. Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness
    Resources Policy, 2021, 73, (C) View citations (37)
74. Commodity financialisation and price co-movement: Lessons from two centuries of evidence
    Finance Research Letters, 2021, 38, (C) View citations (20)
75. Comovements between heavily shorted stocks during a market squeeze: Lessons from the GameStop trading frenzy
    Research in International Business and Finance, 2021, 58, (C) View citations (18)
76. Connectedness between cryptocurrency and technology sectors: International evidence
    International Review of Economics & Finance, 2021, 71, (C), 910-922 View citations (33)
77. Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach
    Resources Policy, 2021, 73, (C) View citations (121)
78. Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies
    Financial Innovation, 2021, 7, (1), 1-25 View citations (54)
79. Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach
    Research in International Business and Finance, 2021, 57, (C) View citations (12)
80. Faith-based investments and the Covid-19 pandemic: Analyzing equity volatility and media coverage time-frequency relations
    Pacific-Basin Finance Journal, 2021, 67, (C) View citations (42)
81. Histological and histomorphometric study of the cranial digestive tract of ostriches (Struthio camelus) with advancing age
    Veterinární medicína, 2021, 66, (4), 127-139
82. Impact of the Covid-19 induced panic on the Environmental, Social and Governance leaders equity volatility: A time-frequency analysis
    Research in International Business and Finance, 2021, 58, (C) View citations (30)
83. Media sentiment and short stocks performance during a systemic crisis
    International Review of Financial Analysis, 2021, 78, (C) View citations (29)
84. Oil price shocks and the return and volatility spillover between industrial and precious metals
    Energy Economics, 2021, 99, (C) View citations (40)
85. Oil shocks and equity markets: The case of GCC and BRICS economies
    Energy Economics, 2021, 96, (C) View citations (36)
86. Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020
    Finance Research Letters, 2021, 43, (C) View citations (21)
87. Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate
    Journal of Futures Markets, 2021, 41, (11), 1843-1860 View citations (14)
88. Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis
    Pacific-Basin Finance Journal, 2021, 67, (C) View citations (19)
89. Return and volatility transmission between oil price shocks and agricultural commodities
    PLOS ONE, 2021, 16, (2), 1-18 View citations (31)
90. Role of Hybrid Deep Neural Networks (HDNNs), Computed Tomography, and Chest X-rays for the Detection of COVID-19
    IJERPH, 2021, 18, (6), 1-14
91. Smart Fire Detection and Deterrent System for Human Savior by Using Internet of Things (IoT)
    Energies, 2021, 14, (17), 1-30
92. Spillover and risk transmission in the components of the term structure of eurozone yield curve
    Applied Economics, 2021, 53, (18), 2141-2157 View citations (14)
93. Static and dynamic connectedness between oil price shocks and Spanish equities: a sector analysis
    The European Journal of Finance, 2021, 27, (9), 880-896 View citations (13)
94. The impact of COVID-19 induced panic on the return and volatility of precious metals
    Journal of Behavioral and Experimental Finance, 2021, 31, (C) View citations (28)
    See also Working Paper The impact of COVID-19 induced panic on the return and volatility of precious metals, Post-Print (2021) View citations (22) (2021)
95. The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies
    Technological Forecasting and Social Change, 2021, 172, (C) View citations (33)
96. The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels
    Resources Policy, 2021, 73, (C) View citations (57)
97. The impact of the Covid-19 related media coverage upon the five major developing markets
    PLOS ONE, 2021, 16, (7), 1-28 View citations (7)
98. The relationship between the Covid-19 media coverage and the Environmental, Social and Governance leaders equity volatility: a time-frequency wavelet analysis
    Applied Economics, 2021, 53, (27), 3193-3206 View citations (36)
99. The relationship between yield curve components and equity sectorial indices: Evidence from China
    Pacific-Basin Finance Journal, 2021, 68, (C) View citations (20)
100. The sovereign yield curve and credit ratings in GIIPS
     International Review of Finance, 2021, 21, (3), 895-916 View citations (5)

2020

101. A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets
     Journal of Behavioral and Experimental Finance, 2020, 28, (C) View citations (83)
102. Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach
     Physica A: Statistical Mechanics and its Applications, 2020, 557, (C) View citations (28)
103. Is there an illiquidity premium in frontier markets?
     Emerging Markets Review, 2020, 42, (C) View citations (20)
104. On the effect of credit rating announcements on sovereign bonds: International evidence
     International Economics, 2020, 163, (C), 58-71 View citations (16)
     Also in International Economics, 2020, (163), 58-71 (2020) View citations (5)
105. The inflation hedging capacity of Islamic and conventional equities
     Journal of Economic Studies, 2020, 47, (6), 1377-1399 View citations (17)
106. The static and dynamic connectedness of environmental, social, and governance investments: International evidence
     Economic Modelling, 2020, 93, (C), 112-124 View citations (73)
107. Waste Management and Prediction of Air Pollutants Using IoT and Machine Learning Approach
     Energies, 2020, 13, (15), 1-22 View citations (9)

2019

108. Dynamic connectedness of oil price shocks and exchange rates
     Energy Economics, 2019, 84, (C) View citations (106)
109. Exploring the time and frequency domain connectedness of oil prices and metal prices
     Resources Policy, 2019, 64, (C) View citations (48)
110. Hedging U.S. metals & mining Industry's credit risk with industrial and precious metals
     Resources Policy, 2019, 63, (C), - View citations (26)
111. Inflation hedging with commodities: A wavelet analysis of seven centuries worth of data
     Economics Letters, 2019, 181, (C), 90-94 View citations (44)
112. Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid?
     Applied Economics, 2019, 51, (15), 1588-1601 View citations (20)
113. The demand for eurozone stocks and bonds in a time-varying asset allocation framework
     The European Journal of Finance, 2019, 25, (11), 994-1011 View citations (17)

2018

114. Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states
     Applied Economics, 2018, 50, (42), 4500-4521 View citations (21)

2017

115. Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities
     Risks, 2017, 5, (2), 1-18 View citations (24)
116. Islamic vs conventional equities in a strategic asset allocation framework
     Pacific-Basin Finance Journal, 2017, 42, (C), 1-10 View citations (28)
117. Risk transmission between Islamic and conventional stock markets: A return and volatility spillover analysis
     International Review of Financial Analysis, 2017, 52, (C), 9-26 View citations (84)
118. The demand of energy from an optimal portfolio choice perspective
     Economic Modelling, 2017, 61, (C), 478-494 View citations (18)

2016

119. Financing constraints on the size distribution of industrial firms: the Chinese experience
     Applied Economics, 2016, 48, (41), 3899-3911 View citations (2)

2015

120. Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession
     Journal of Economics and Business, 2015, 79, (C), 1-37 View citations (19)

2014

121. Stocks for the long run? Evidence from emerging markets
     Journal of International Money and Finance, 2014, 47, (C), 217-238 View citations (28)