The purpose of this study is to examine the information content of accounting earnings and CFO to explain security returns in Tunisian Stock Exchange through the study of their response coefficients and the explanatory power of regression models in the period of 1997 - 2001 (an application of a...

The aim of this paper is to surround the volatility dynamics on the Tunisian stock market via an approach founded on the detection of persistence phenomenon and long-term memory presence. More specifically, our object is to test whether long-term dependent processes are appropriated for...

The aim of this paper is to investigate non-synchronous trading effect in terms of predictability. This analysis is applied to daily and one-minute interval data on the KOREA stock market. The results indicate evidence of predictability between indices with different degrees of non-synchronous...

This paper empirically examines the relationship between trading volume and conditional volatility of returns in the Tunisian stock market within the framework of the mixture of distribution hypothesis (MDH) and the sequential information arrival hypothesis (SIAH). Through this study, we...

This research is a feedback to the call from Richardson et al. (2010) for more structure in researchers’ forecasting frameworks. The purpose is to study the ability of three technical earnings forecasting methods (smoothing, random walk and cross-section) to reflect Tunisian stock market...

The banking sector in Tunisia has undergone, in the past decades, numerous structural changes which have affected the banking industry in particular and the economy as whole. This paper studies the internal and external determinants of bank performance in Tunisia during the period after...

This paper analyses empirically the determinants of risk-taking in Tunisian commercial banks, with special emphasis on the ownership structure, the acceptance of government officials on bank's boards, the capital adequacy requirements and the franchise value. The sample used comprised ten...

In this paper, we carry out an empirical study for the Tunisian market to shed light on the question whether the observed shift into non-interest income activities improves performance of commercial banks. Our main results can be summarised in three statements: banks diversified across both...

The aim of this paper is to investigate the stock returns predictability in a multi-variate context. Johansen’s multivariate cointegration analysis is applied to weekly data on the Korea, Hong Kong, Taiwan, Indonesia and Singapore indices in 1997-2008. The results indicate that markets are...

This paper analyzes the effect of international financial integration on the equity risk premium using a panel dataset of sixty emerging and developing countries over the period 2000-2010. We also use equity risk premium determinants as independent vari-ables in the model. The results show that...