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Equilibrium existence in the international asset and good markets

Bosi, Stefano; Fontaine, Patrice; Le Van, Cuong - Institut de Préparation à l'Administration et à la … - 2013

The international asset pricing models are mostly developed in the case of parity failure (investors of different countries do not agree on the expected returns on securities). In this case, an equilibrium in the in- ternational asset markets may exist, but not in the international good markets....

Persistent link: https://www.econbiz.de/10010754711

Robust Portfolio Protection: A Scenarios-Based Approach

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

investment horizon. We provide an application of international stock indexes portfolio protection during the 2008 financial …

Persistent link: https://www.econbiz.de/10010786598

The Impact of Financial Crisis on Islamic and Conventional Indices of the GCC Countries

Miniaoui, Hela; Sayani, Hameedah; Chaibi, Anissa - Institut de Préparation à l'Administration et à la … - 2014

We study performance of Islamic and conventional indices of the Gulf Cooperation Council (GCC) countries in the wake of financial crisis of 2008 and test whether Islamic indices were less risky than conventional indices. We make use of data of the six GCC markets as well as the Dow Jones Islamic...

Persistent link: https://www.econbiz.de/10010786602

Dependence of stock and commodity futures markets in China: implications for portfolio investment

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

the stock markets in China in order to draw implications for portfolio investment. We address this issue by using copula … correlations between these markets, suggesting that commodity futures are a desirable asset class for portfolio diversification. By … comparing the market risks of alternative portfolio strategies, we show that Chinese investors can take advantage of commodity …

Persistent link: https://www.econbiz.de/10010891097

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

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

Examining the structural changes of European carbon futures price 2005- 2012

Zhu, Bangzhu; Ma, Shujiao; Chevallier, Julien; Wei, Yiming - Institut de Préparation à l'Administration et à la … - 2014

The aim of this research is to examine the structural changes of European carbon futures price under the European Union Emissions Trading Scheme (EU ETS) during 2005-2012. More speci fically, by relying on the daily EU allowance (EUA) futures contract, we investigate the structural changes of...

Persistent link: https://www.econbiz.de/10010860508

Futures trading and the excess comovement of commodity prices

Le Pen, Yannick; Sévi, Benoît - Institut de Préparation à l'Administration et à la … - 2013

We empirically reinvestigate the issue of excess comovement of commodity prices initially raised in Pindyck and Rotemberg (1990) and show that excess comovement, when it exists, can be related to hedging pressure and speculative intensity in commodity futures markets. Excess comovement appears...

Persistent link: https://www.econbiz.de/10010860525

How to switch off the cypriot financial crisis without weakening durably Europe ?

Messiha, Jean; Moschetto, Bruno-Laurent; Teulon, Frederic - Institut de Préparation à l'Administration et à la … - 2014

The two major banks in Cyprus - Bank of Cyprus and Laiki Popular Bank - have lost more than 4 billion EUR because of their exposure to the Greek bond market. In this paper, we look at how the European Union has responded to banking and financial problems that have affected Cyprus since the end...

Persistent link: https://www.econbiz.de/10010860536

Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities

Truchis, Gilles de; Keddad, Benjamin - Institut de Préparation à l'Administration et à la … - 2014

Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory

Persistent link: https://www.econbiz.de/10010860541

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