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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

volatility, rate spread variations, Short-term interest rate and world market dividend yield. …

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

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

deals with the dynamic return and volatility spillovers across internationally traded energy and cereal commodity markets …. It also examines the impacts of three types of OPEC news announcements on the volatility spillovers and persistence in … concerns about the heightened volatility of these markets and the possible negative interactions between them. This article …

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

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

inflation, exchange rate volatility, variations in interest rate spread and global market dividend yields are key intra …

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

Further evidence on the determinants of regional stock market integration in Latin America

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

This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America over the period 1996-2008. This model allows for three sources of time-varying risks: common regional...

Persistent link: https://www.econbiz.de/10010796419

Volatility Spillovers Between Oil Prices and Stock Returns: A Focus on Frontier Markets

Chaibi, Anissa; Gomes, Mathieu - Institut de Préparation à l'Administration et à la … - 2013

assets. As such, it is important for financial market participants to understand the volatility transmission mechanism across … returns from February 8th, 2008 to February 1st, 2013 and find significant transmission of shocks and volatility between oil …

Persistent link: https://www.econbiz.de/10011161636

The Evolution of Risk Premium as a Measure for Intra-regional Equity Market Integration

Guesmi, Khaled; Teulon, Frederic; Muzaffar, Ahmed Taneem - Institut de Préparation à l'Administration et à la … - 2014

We estimate and test the conditional version of an international capital asset pricing model using a parsimonious multivariate GARCH process and the multivariate nonlinear least squares method. Since our approaches are fully parametric, we can recover a

Persistent link: https://www.econbiz.de/10010784880

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

On The Impact Of Firm Size On Risk And Return: Fresh Evidence From The American Stock Market Over The Recent Years

Chaibi, Anissa; Alioui, Sabrina; Xiao, Bing - Institut de Préparation à l'Administration et à la … - 2014

According to the size effect, small cap securities generally generate greater returns than those of large cap securities. Recent studies have however suggested that for certain periods, size cannot be considered as a relevant explanatory variable, and therefore as an anomaly. Our study, based on...

Persistent link: https://www.econbiz.de/10010860544

Cointegration of Baltic Stock Markets in the Financial Tsunami: Empirical Evidence

Masood, Omar; Bellalah, Mondher; Chaudhary, Sahil; … - Institut de Préparation à l'Administration et à la … - 2014

Persistent link: https://www.econbiz.de/10010860560

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