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Responses of international stock markets to oil price surges: a regimeswitching perspective

Jammazi, Rania; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014

We propose an enhanced regime-switching model to investigate the relationships between oil price surges and stock market cycles in five oil-dependent countries over the period from January 1989 to December 2007. Our model accounts for the joint effects of the WTI (West Texas Intermediate) and...

Persistent link: https://www.econbiz.de/10010754748

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

Dynamic spillovers among major energy and cereal commodity prices

Mensi, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong; … - Institut de Préparation à l'Administration et à la … - 2014

Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dynamic return and volatility spillovers...

Persistent link: https://www.econbiz.de/10010754812

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

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

Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period

Ajmi, Ahdi Noomen; Montasser, Ghassen El; Hammoudeh, Shawkat - Institut de Préparation à l'Administration et à la … - 2014

This article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in MENA countries during a black swan period that is characterized by rarity and devastating impacts. By using the nonlinear and asymmetric causality test of Kyrtsou and Labys...

Persistent link: https://www.econbiz.de/10010754797

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

Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries

Chkili, Walid; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014

We use a regime-switching model approach to investigate the dynamic linkages between the exchange rates and stock market returns for the BRICS countries (Brazil, Russia, India, China and South Africa). The univariate analysis indicates that stock returns

Persistent link: https://www.econbiz.de/10010784877

L’intégration financière des marchés d’actions émergents : une analyse au niveau régional

Guesmi, Khaled; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014

This paper attempts to evaluate the time-varying integration of emerging markets from a regional perspective, by using a conditional version of the international capital asset pricing model (ICAPM) allowing for dynamic changes in the degree of market integration, global market risk premium,...

Persistent link: https://www.econbiz.de/10010757659

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