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Are hedge funds uncorrelated with financial markets? : an empirical assessment

Guesmi, Khaled; Jebri, Saoussen; Jabri, Abdelkarim; … - In: The journal of applied business research 31 (2015) 5, pp. 1631-1636

Persistent link: https://www.econbiz.de/10011412363

Are hedge funds uncorrelated with financial markets? An empirical assessment

Guesmi, Khaled; Jebri, Saoussen; Jabri, Abdelkarim; … - Institut de Préparation à l'Administration et à la … - 2014

In this paper, we examine the correlations between hedge fund strategy indices and asset classes. Based on the Dynamic Conditional Correlation (DCC) GARCH Model, we estimate the correlations between hedge fund, stock, and bond indices during bull and bear markets. The results reveal that there...

Persistent link: https://www.econbiz.de/10010754750

Relationship between crude oil prices and economic growth in selected OPEC countries

Ftiti, Zied; Guesmi, Khaled; Teulon, Frédéric; … - In: The journal of applied business research 32 (2016) 1, pp. 11-21

Persistent link: https://www.econbiz.de/10011435936

Tests of financial market contagion : evolutionary cospectral analysis versus wavelet analysis

Ftiti, Zied; Tiwari, Aviral Kumar; Belanès, Amél; … - In: Computational economics 46 (2015) 4, pp. 575-611

Persistent link: https://www.econbiz.de/10011478891

From oil to stock markets

Guesmi, Khaled; Boubaker, Heni; Lai, Van Son - In: Journal of economic integration 31 (2016) 1, pp. 103-133

Persistent link: https://www.econbiz.de/10011451684

Public attention to environmental issues and stock market returns

El Ouadghiri, Imane; Guesmi, Khaled; Peillex, Jonathan; … - 2019

This paper empirically examines the effect of public attention to climate change and pollution on the weekly returns on US sustainability stock indices (i.e. the DJSI US and the FTSE4Good USA Index) in comparison to their conventional counterparts (i.e. the S&P 500 Index and the FTSE USA). In...

Persistent link: https://www.econbiz.de/10012061121

The determinants of regional stock market integration in middle east : a conditional ICAPM approach

Guesmi, Khaled; Teulon, Frédéric - In: International economics : a journal published by CEPII … 137 (2014), pp. 22-31

Persistent link: https://www.econbiz.de/10011620029

Oil price and stock market co-movement : what can we learn from time-scale approaches?

Ftiti, Zied; Guesmi, Khaled; Abid, Ilyes - In: International review of financial analysis 46 (2016), pp. 266-280

Persistent link: https://www.econbiz.de/10011582053

Regional stock market integration in Singapore : a multivariate analysis

Teulon, Frédéric; Guesmi, Khaled; Mankai, Selim - In: Economic modelling 43 (2014), pp. 217-224

Persistent link: https://www.econbiz.de/10010502156

Stock market integration and risk premium : empirical evidence for emerging economies of South Asia

Abid, Ilyes; Kaabia, Olfa; Guesmi, Khaled - In: Economic modelling 37 (2014), pp. 408-416

Persistent link: https://www.econbiz.de/10010417665