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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
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Volatility spillovers and macroeconomic announcements evidence from crude oil markets
Belgacem, Aymen; Creti, Anna; Guesmi, Khaled; Lahiani, Amine - Institut de Préparation à l'Administration et à la … - 2014
The paper employs an event study methodology to investigate the macroeconomic announcements effects on S&P500 and oil prices. Our results provide evidence of a significant impact of the US macroeconomic news on oil prices. This impact is split into two components, namely the direct effect...
Persistent link: https://www.econbiz.de/10010754757
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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
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Gauging the nonstationarity and asymmetries in the oil-stock price links: a multivariate analysis
Boubaker, Heni; Guesmi, Khaled; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014
This paper shows the usefulness and relevance of the multivariate fractional cointegration in exploring the dynamic
Persistent link: https://www.econbiz.de/10010860562
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Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis
Creti, Anna; Ftiti, Zied; Guesmi, Khaled - Institut de Préparation à l'Administration et à la … - 2014
The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries and exporter ones. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the...
Persistent link: https://www.econbiz.de/10010860563
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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
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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
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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/10010735547
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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
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Oil price impact on financial markets:
Creti, Anna; Ftiti, Zied; Guesmi, Khaled - Institut de Préparation à l'Administration et à la … - 2014
The aim of this paper is to study the degree of interdependence between oil price and stock market
Persistent link: https://www.econbiz.de/10010799083