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Financial Crises and Contagion Effects between the US and OECD Equity Markets

Abid, Ilyes; Guesmi, Khaled; Kaabia, Olfa; Nguyen, Duc … - Institut de Préparation à l'Administration et à la … - 2014

In this paper we test for the existence of equity market contagion originating from the United States to OECD markets … due to fundamentals and contagion which we define as the excess correlation that is not explained by fundamental factors …. Our results show provide strong evidence of contagion effects originating in US equity markets to the OECD equity markets …

Persistent link: https://www.econbiz.de/10010799071

Conditional Correlations and Volatility Spillovers between Crude Oil and Oil- exporting and importing countries

Guesmi, Khaled; Abid, Ilyes; Kaabia, Olfa - Institut de Préparation à l'Administration et à la … - 2014

The paper analyses the time-varying conditional correlations between stock markets and oil

Persistent link: https://www.econbiz.de/10010860458

Oil Shocks and Economic Growth in OPEC countries

Ftiti, Zied; Guesmi, Khaled; Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2014

This paper assesses the impact of oil prices on economic growth of the four major OPEC countries (United Arab Emirates, Kuwait, Saudi Arabia and Venezuela) over the period spanning from 03/09/2000 to 03/12/2010. We aim at complementing the results from existing analyses (mainly focused on...

Persistent link: https://www.econbiz.de/10010754717

Conditional Correlations and Volatility Spillovers between Oil Price and OECD Stock index: a Multivariate Analysis

Creti, Anna; Guesmi, Khaled; Abid, Ilyes - Institut de Préparation à l'Administration et à la … - 2014

This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing a Multivariate Fractionally Integrated Asymmetric, Power ARCH model with dynamic...

Persistent link: https://www.econbiz.de/10010754733

Conditional Correlations and Volatility Spillovers between Oil Price and OECD Stock index: a Multivariate Analysis

Creti, Anna; Guesmi, Khaled; Abid, Ilyes - Institut de Préparation à l'Administration et à la … - 2014

Persistent link: https://www.econbiz.de/10010735547

Evolution of Crude Oil Prices and Economic Growth: The case of OPEC Countries

Ftiti, Zied; Guesmi, Khaled; Teulon, Frédéric; … - Institut de Préparation à l'Administration et à la … - 2014

In this paper we examine the degree of interdependence between oil prices and four major countries (United

Persistent link: https://www.econbiz.de/10010796416

Integration versus segmentation in Middle East North Africa equity market: Time variations and currency risk

Guesmi, Khaled; Moisseron, Jean-Yves; Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2014

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...

Persistent link: https://www.econbiz.de/10010860502

LE PLAN DE SAUVETAGE DE CHYPRE : FREIN OU ACCELERATEUR DU RISQUE SYSTEMIQUE EN EUROPE ?

Messiha, Jean; Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2015

The European institutions have failed on the Cyprus issue, the opportunity to establish their credibility with it. Not only they have not benefited from the modesty of the Cyprus problem to show how they could prevent systemic risks grow in the euro area, but they additionally led an action...

Persistent link: https://www.econbiz.de/10011252724

Is there a difference between domestic and foreign risk premium? The case of China Stock Market

Teulon, Frédéric; Guesmi, Khaled; Fattoum, Salma - Institut de Préparation à l'Administration et à la … - 2014

This article studies the dynamic return and market price of risk for Chinese stocks (A-B shares). A Multivariate DCC-GARCH model is used to capture the feature of time-varying volatility in stock returns. We show evidence of different pricing mechanisms explained by the difference in the...

Persistent link: https://www.econbiz.de/10010754808

The determinants of regional stock market integration in Middle East: A Conditional ICAPM Approach

Guesmi, Khaled; Teulon, Frédéric - Institut de Préparation à l'Administration et à la … - 2014

Over recent years, several emerging market regions have actively taken part in globalisation movements and world market integration. However, the financial integration processes appear to vary over time, and differ considerably from one region to another. This paper investigates intraregional...

Persistent link: https://www.econbiz.de/10010757655