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Regime-switching behaviour in the conditional volatility of MENA stock market returns

Bahloul, Slah; Abid, Fathi - In: Journal of emerging market finance 13 (2014) 3, pp. 253-278

Persistent link: https://www.econbiz.de/10010492033

Linkages between, and contagion in, Asian stock and foreign exchange markets (September 1989 - October 1999)

Abid, Fathi; Aoua, Najoua; Mikhail, Azmi D. - In: Finance India : the quarterly journal of Indian … 17 (2003) 4, pp. 1311-1343

Persistent link: https://www.econbiz.de/10002389723

The determinants of domestic and foreign biases : an empirical study

Abid, Fathi; Bahloul, Slah - In: Asset allocation and international investments, (pp. 42-79). 2007

Persistent link: https://www.econbiz.de/10003402330

Asymmetric effects, conditional volatility, inter-influences, and predictability in Asian stock markets

Abid, Fathi; Mikhail, Azmi D. - In: Global economy quarterly 1 (2000) 3, pp. 245-266

Persistent link: https://www.econbiz.de/10001613378

Stochastic Dominance Based Performance Ranking and Shock Transmission between MENA Countries’ GDP Growth and Stock Market Return

Abid, Fathi - 2016

The aim of this paper is twofold. It is first to evaluate the comparative performance of ten MENA (Middle East and North Africa) countries according to GDP growth and stock market return indicators using the non-parametric stochastic dominance approach. We will then use a multivariate vector...

Persistent link: https://www.econbiz.de/10013002944

Regime-Switching Behavior in the Conditional Volatility of MENA Stock Market Returns

Bahloul, Slah - 2014

The objective of this paper is to investigate the behavior of the time varying volatility in eleven MENA countries' stock market using a three-state Markov regime-switching model over the period from October 30, 2006 to October 21, 2011. We find that MENA stock market volatility can be...

Persistent link: https://www.econbiz.de/10013054776