Abderrazak DHAOUI | University of sousse , tunisia (original) (raw)

Papers by Abderrazak DHAOUI

Research paper thumbnail of Do oil prices predict the dynamics of equity market Fresh evidence from DCC, ADCC and Go-GARCH models

International Journal of Global Energy Issues

Research paper thumbnail of Day-of-The-Week and the Returns Distribution: Evidence from the Tunisian Stock Market

INTL: Descriptive Studies in Emerging Markets (Topic), 2011

In this paper, we examine the behavior of returns across the-day-of-the-week in the context of th... more In this paper, we examine the behavior of returns across the-day-of-the-week in the context of the Tunisian Market. Our evidence indicates that Mondays have abnormally losses. In opposition, returns are significantly higher in Friday. We also find that these Monday and Friday specifications are evenly observed whether these days are first or last half-of-the-month days. The same results remain similar across all weeks of the month. Losses diminish across the day-of-the-week from Monday to Friday. The losses disappear starting the end of Tuesday and the beginning of Wednesday with, however, a non significant Tuesday effect during the three first weeks of the month and abnormally losses in the last two weeks.

Research paper thumbnail of Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors

Annals of Finance, 2021

This paper seeks to examine the unidirectional versus bidirectional Granger causality between in... more This paper seeks to examine the unidirectional versus bidirectional Granger causality
between investors’ sentiment and momentum strategies. It is based on the full sample
Granger causality test and the recent rolling-window bootstrap approach.We also
applied a probit model to the extent to which the probability that investors’ sentiment
and momentum strategies influence each other. Our results suggest bidirectional
Granger causality between investor sentiment and momentum strategy with unstable
causality dynamics over time. We find that ADS and VIX positively affect the likelihood
that investor sentiment Granger causes momentum strategy and negatively impact
the probability thatmomentumstrategy Granger causes investor sentiment.Gold harms
the likelihood that investors’ sentiment and momentum strategies affect each other.
The research design is unique to combine bootstrap rolling-window Granger causality
tests between Sentiment and Momentum to assess investors’ implications in terms of
confidence, uncertainty, aggressiveness, or optimism versus Pessimism.

Research paper thumbnail of The Asymmetric Response of Equity Markets to Sentiment Risk: A New Asset Pricing Model

Contributions to Finance and Accounting

Research paper thumbnail of Tourism demand, oil price fluctuation, exchange rate and economic growth: Evidence from ARDL model and Rolling window Granger causality for Tunisia

Journal of Economic and Social Studies, 2017

The paper examines the relationship between tourism demand and its macroeconomic determinants (GD... more The paper examines the relationship between tourism demand and its macroeconomic determinants (GDP, oil price, exchange rate) with an aim to test the dynamic interdependence between them in the case of Tunisia. Using yearly data from 1971 to 2014, the output of the ARDL model and the more recent Bootstrap rolling window Granger causality tests show important results with great economic implications for researchers, regulators, investors, … The results substantiate, especially, the following causal relationships, i.e. i) tourism-demand induces substantial increase in both economic growth and oil price, ii) economic growth led tourism demand, iii) increase in oil price affects negatively the tourism demand, iv) tourism demand and exchange rate are not significantly associated.

Research paper thumbnail of The Asymmetric Responses of Stock Markets

Research Papers in Economics, 2018

This paper investigates how oil price shocks interact with oil-importing and oil-exporting stock ... more This paper investigates how oil price shocks interact with oil-importing and oil-exporting stock markets within a nonlinear autoregressive distributed lag framework. By defining oil prices as endogenous variables, this model allows us to gage the shock transmission among the system variables and consider the asymmetric long-and short-run effects. Our empirical findings show an asymmetric long-run relation between stock market prices and macroeconomic fundamentals. These results suggest that investors should adjust their investment strategies to changes in oil prices and consider the asymmetry when forecasting and managing the negative impacts of unexpected events.

Research paper thumbnail of Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries

This paper explores the interactive relationships between oil price shocks and the stockmarket in... more This paper explores the interactive relationships between oil price shocks and the stockmarket in 11 OECD countries using traditional cointegrationtest and look at the rolling window Granger causality effects with various predictive power contents running between the variables. Taking into account both world oil production and world oil prices in order to supervise for oil supply and oil demand shocks, strong evidence of the sensitivity of stock market returns to the oil priceshock specifications is found in several sub-periods. As for rolling window causality tests, it is found that the impact of oil price shocks substantially differs along the different countries and that the results also differ among the various oil shock specifications.The overall finding suggests that oil supply shocks have a negative effect on stock market returns in the net oil importing OECD countries. Indeed, the stock market returns are negatively impacted by oil demand shocks in the oil importing OECD cou...

Research paper thumbnail of Revising empirical linkages between direction of Canadian stock price index movement and Oil supply and demand shocks: Artificial neural network and support vector machines approaches

Journal of Academic Research in Economics, 2015

Over the years, the oil price has shown an impressive fluctuation and isn’t without signification... more Over the years, the oil price has shown an impressive fluctuation and isn’t without signification impact on the evolution of stock market returns. Because of the complexity of stock market data, developing an efficient model for predicting linkages between macroeconomic data and stock price movement is very difficult. This study attempted to develop two robust and efficient models and compared their performance in predicting the direction of movement in the Canadian stock market. The proposed models are based on two classification techniques, artificial neural networks and Support Vector Machines. Considering together world oil production and world oil prices in order to supervise for oil supply and oil demand shocks, strong evidence of sensitivity of stock price movement direction to the oil price shocks specifications is found. Experimental results showed that average performance of artificial neural networks model is around 96.75% that is significantly better than that of the Sup...

Research paper thumbnail of On the causal nexus of road transport CO2 emissions and macroeconomic variables in Tunisia: Evidence from combined cointegration tests

Renewable and Sustainable Energy Reviews, 2015

This paper investigates the causal relationship between road transportation energy consumption, f... more This paper investigates the causal relationship between road transportation energy consumption, fuel prices, transport sector value added and CO 2 emissions in Tunisia for the period 1980-2012. We apply the newly developed combined cointegration test proposed by Bayer and Hanck (2013) and the ARDL bounds testing approach to cointegration to establish the existence of long-run relationship in presence of structural breaks. The direction of causality between these variables is determined via vector error correction model (VECM). Our empirical exercise reveals that the cointegration is present. Energy consumption adds in CO 2 emissions. Fuel prices decline CO 2 emissions. Road infrastructure boosts in CO 2 emissions. Transport value-added also increases CO 2 emissions. The causality analysis indicates the bidirectional casual relationship between energy consumption and CO 2 emissions. Road infrastructure causes CO 2 emissions and similar is true from opposite side in Granger sense. The bidirectional causality is also found between transport value-added and CO 2 emissions. Fuel prices cause CO 2 emissions, energy consumption, road infrastructure and transport value-added. This paper provides new insights to policy makers to design a comprehensive energy, transport and environment policies for sustainable economic growth in long run.

Research paper thumbnail of Stock Return and Trading Volume Distribution Across the Day-of-The-Week: Evidence from Japanese Stock Market

In this paper, we examine the behavior of stock returns and trading volume across the-day-of-the-... more In this paper, we examine the behavior of stock returns and trading volume across the-day-of-the-week in the context of the Japanese Market. Several hypotheses are used to explain the day-of-the-week effect. Results indicate that Mondays have abnormally losses and low trading volume. Over other days the returns and the trading volume increase significantly once market thickens, prices become more informative and the information effect diminishes. Our results do not support the outliers hypothesis, the half-of-the-month hypothesis and the autocorrelation hypothesis. They are, however, consistent with the adverse selection and the overconfidence hypotheses.

Research paper thumbnail of Animal Spirits and Trading Volume in International Financial Markets between 2002 and 2011

!e change in trading volume and returns and the dysfunction of the economy and more speci"ca... more !e change in trading volume and returns and the dysfunction of the economy and more speci"cally of "nancial markets has been increasingly attracting attention of researchers, analysts, practitioners, institutions as well as government organizations. !is paper investigates the factors that are able to explain how "nancial markets work. Testing the rational expectation hypothesis and di#erent components of animal spirits including investors’ beliefs and their behavioral biases, results show that economy is driven by animal spirits and not by rational behavior. Considering the classi"cation of the sample by periods of stability and periods of excessive volatility, results incite to think that "nancial markets work in terms of economic cycles.

Research paper thumbnail of Hedging strategy for financial variables and commodities

This paper investigates the hedging effectiveness of different hedge types. The S&P 500 index, oi... more This paper investigates the hedging effectiveness of different hedge types. The S&P 500 index, oil prices, the VIX index, gold prices, bond prices, and CDS spreads are considered. The Dynamic Multivariate GARCH is used to estimate the hedge ratios by separate and complex hedge types from December 2007 to June 2018. This study also performs some statistical works to investigate the relationship between the hedging effectiveness and the commodities prices sensitivity to financial variables. The results show that gold and CDS provide higher hedging effectiveness against equity market losses. Negative correlations between the equity market and VIX are particularly notable, suggesting the economic benefits of diversification.

Research paper thumbnail of Oil price shocks and OECD equity markets: distinguishing between supply and demand effects

International Journal of Global Energy Issues , 2018

With the recent changes in international financial markets, investors and policy-makers are payin... more With the recent changes in international financial markets, investors and policy-makers are paying special attention to the relationship between oil price shocks and equity markets. This paper investigates how oil supply and oil demand shocks interact with OECD countries and macroeconomic variables within a cointegration vector error correction framework, which provides extreme flexibility with a parsimonious specification. By defining oil supply and oil demand shocks as endogenous variables, our proposed model allows us to gauge the shock transmission among the system variables through time and investigate the direct and indirect connections between oil price shocks and stock returns. We are also able to observe the long-run relationship between real stock prices and real oil prices measured by world and local prices. Our empirical findings show that the impact of oil price shocks substantially differs among the countries and that the significance of the results differs among the oil price specifications (real national oil price, world oil price, supply shocks and demand shocks).

Research paper thumbnail of Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios b... more This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the risk spillover has reached the highest level during the COVID-19 period, compared to the pre-COVID period, which means that the COVID-19 pandemic enforced the risk spillover between U.S. stock markets and the remains assets. We confirm the economic benefit of diversification in both tranquil and crisis periods (e.g., a negative dynamic conditional correlation between the VIX and SP500). Moreover, the hedging analysis exhibits that the Dow Jones Islamic has the highest hedging effectiveness either before or during the recent COVID19 crisis, offering better resistance to uncertainty caused by unpredictable turmoil such as the COVID19 outbreak. Our finding may have some implications for portfoli...

Research paper thumbnail of Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model

Studies in Nonlinear Dynamics & Econometrics

This study examines the asymmetric responses of sector stock indices returns to positive and nega... more This study examines the asymmetric responses of sector stock indices returns to positive and negative fluctuations in oil prices using the NARDL model. Our empirical findings support indirect transmissions of oil price fluctuation to the financial market through industrial production and short-term interest rate. Furthermore, both direct and indirect impacts of oil price shocks on stock returns are sector dependent. These results are with substantial policy implications either for investors or for policymakers. They mainly help government authorities to reduce the instability in financial markets caused by the major oil price shocks. The analysis of the impact of oil price shocks on stock markets also helps the financial market participants to adjust their decisions and revise their coverage of energy policy that is substantially affected by the turbulence and uncertainty in the crude oil market. Finally, based on the forecast of the oil price shocks effects, the central bank should...

Research paper thumbnail of Chinese jigsaw: Solving the equity market response to the COVID-19 crisis: Do alternative asset provide effective hedging performance?

Research in International Business and Finance

Research paper thumbnail of Oil price shocks and OECD equity markets: distinguishing between supply and demand effects

International Journal of Global Energy Issues

With the recent changes in international financial markets, investors and policy-makers are payin... more With the recent changes in international financial markets, investors and policy-makers are paying special attention to the relationship between oil price shocks and equity markets. This paper investigates how oil supply and oil demand shocks interact with OECD countries and macroeconomic variables within a cointegration vector error correction framework, which provides extreme flexibility with a parsimonious specification. By defining oil supply and oil demand shocks as endogenous variables, our proposed model allows us to gauge the shock transmission among the system variables through time and investigate the direct and indirect connections between oil price shocks and stock returns. We are also able to observe the long-run relationship between real stock prices and real oil prices measured by world and local prices. Our empirical findings show that the impact of oil price shocks substantially differs among the countries and that the significance of the results differs among the oil price specifications (real national oil price, world oil price, supply shocks and demand shocks).

Research paper thumbnail of Hedging and diversification across commodity assets

Research paper thumbnail of The Asymmetric Responses of Stock Markets

Journal of Economic Integration

This paper investigates how oil price shocks interact with oil-importing and oil-exporting stock ... more This paper investigates how oil price shocks interact with oil-importing and oil-exporting stock markets within a nonlinear autoregressive distributed lag framework. By defining oil prices as endogenous variables, this model allows us to gage the shock transmission among the system variables and consider the asymmetric long-and short-run effects. Our empirical findings show an asymmetric long-run relation between stock market prices and macroeconomic fundamentals. These results suggest that investors should adjust their investment strategies to changes in oil prices and consider the asymmetry when forecasting and managing the negative impacts of unexpected events.

Research paper thumbnail of On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting

Journal of International Financial Markets, Institutions and Money

Research paper thumbnail of Do oil prices predict the dynamics of equity market Fresh evidence from DCC, ADCC and Go-GARCH models

International Journal of Global Energy Issues

Research paper thumbnail of Day-of-The-Week and the Returns Distribution: Evidence from the Tunisian Stock Market

INTL: Descriptive Studies in Emerging Markets (Topic), 2011

In this paper, we examine the behavior of returns across the-day-of-the-week in the context of th... more In this paper, we examine the behavior of returns across the-day-of-the-week in the context of the Tunisian Market. Our evidence indicates that Mondays have abnormally losses. In opposition, returns are significantly higher in Friday. We also find that these Monday and Friday specifications are evenly observed whether these days are first or last half-of-the-month days. The same results remain similar across all weeks of the month. Losses diminish across the day-of-the-week from Monday to Friday. The losses disappear starting the end of Tuesday and the beginning of Wednesday with, however, a non significant Tuesday effect during the three first weeks of the month and abnormally losses in the last two weeks.

Research paper thumbnail of Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors

Annals of Finance, 2021

This paper seeks to examine the unidirectional versus bidirectional Granger causality between in... more This paper seeks to examine the unidirectional versus bidirectional Granger causality
between investors’ sentiment and momentum strategies. It is based on the full sample
Granger causality test and the recent rolling-window bootstrap approach.We also
applied a probit model to the extent to which the probability that investors’ sentiment
and momentum strategies influence each other. Our results suggest bidirectional
Granger causality between investor sentiment and momentum strategy with unstable
causality dynamics over time. We find that ADS and VIX positively affect the likelihood
that investor sentiment Granger causes momentum strategy and negatively impact
the probability thatmomentumstrategy Granger causes investor sentiment.Gold harms
the likelihood that investors’ sentiment and momentum strategies affect each other.
The research design is unique to combine bootstrap rolling-window Granger causality
tests between Sentiment and Momentum to assess investors’ implications in terms of
confidence, uncertainty, aggressiveness, or optimism versus Pessimism.

Research paper thumbnail of The Asymmetric Response of Equity Markets to Sentiment Risk: A New Asset Pricing Model

Contributions to Finance and Accounting

Research paper thumbnail of Tourism demand, oil price fluctuation, exchange rate and economic growth: Evidence from ARDL model and Rolling window Granger causality for Tunisia

Journal of Economic and Social Studies, 2017

The paper examines the relationship between tourism demand and its macroeconomic determinants (GD... more The paper examines the relationship between tourism demand and its macroeconomic determinants (GDP, oil price, exchange rate) with an aim to test the dynamic interdependence between them in the case of Tunisia. Using yearly data from 1971 to 2014, the output of the ARDL model and the more recent Bootstrap rolling window Granger causality tests show important results with great economic implications for researchers, regulators, investors, … The results substantiate, especially, the following causal relationships, i.e. i) tourism-demand induces substantial increase in both economic growth and oil price, ii) economic growth led tourism demand, iii) increase in oil price affects negatively the tourism demand, iv) tourism demand and exchange rate are not significantly associated.

Research paper thumbnail of The Asymmetric Responses of Stock Markets

Research Papers in Economics, 2018

This paper investigates how oil price shocks interact with oil-importing and oil-exporting stock ... more This paper investigates how oil price shocks interact with oil-importing and oil-exporting stock markets within a nonlinear autoregressive distributed lag framework. By defining oil prices as endogenous variables, this model allows us to gage the shock transmission among the system variables and consider the asymmetric long-and short-run effects. Our empirical findings show an asymmetric long-run relation between stock market prices and macroeconomic fundamentals. These results suggest that investors should adjust their investment strategies to changes in oil prices and consider the asymmetry when forecasting and managing the negative impacts of unexpected events.

Research paper thumbnail of Exploring the oil supply-demand shocks and stock market stabilities: Experience from OECD countries

This paper explores the interactive relationships between oil price shocks and the stockmarket in... more This paper explores the interactive relationships between oil price shocks and the stockmarket in 11 OECD countries using traditional cointegrationtest and look at the rolling window Granger causality effects with various predictive power contents running between the variables. Taking into account both world oil production and world oil prices in order to supervise for oil supply and oil demand shocks, strong evidence of the sensitivity of stock market returns to the oil priceshock specifications is found in several sub-periods. As for rolling window causality tests, it is found that the impact of oil price shocks substantially differs along the different countries and that the results also differ among the various oil shock specifications.The overall finding suggests that oil supply shocks have a negative effect on stock market returns in the net oil importing OECD countries. Indeed, the stock market returns are negatively impacted by oil demand shocks in the oil importing OECD cou...

Research paper thumbnail of Revising empirical linkages between direction of Canadian stock price index movement and Oil supply and demand shocks: Artificial neural network and support vector machines approaches

Journal of Academic Research in Economics, 2015

Over the years, the oil price has shown an impressive fluctuation and isn’t without signification... more Over the years, the oil price has shown an impressive fluctuation and isn’t without signification impact on the evolution of stock market returns. Because of the complexity of stock market data, developing an efficient model for predicting linkages between macroeconomic data and stock price movement is very difficult. This study attempted to develop two robust and efficient models and compared their performance in predicting the direction of movement in the Canadian stock market. The proposed models are based on two classification techniques, artificial neural networks and Support Vector Machines. Considering together world oil production and world oil prices in order to supervise for oil supply and oil demand shocks, strong evidence of sensitivity of stock price movement direction to the oil price shocks specifications is found. Experimental results showed that average performance of artificial neural networks model is around 96.75% that is significantly better than that of the Sup...

Research paper thumbnail of On the causal nexus of road transport CO2 emissions and macroeconomic variables in Tunisia: Evidence from combined cointegration tests

Renewable and Sustainable Energy Reviews, 2015

This paper investigates the causal relationship between road transportation energy consumption, f... more This paper investigates the causal relationship between road transportation energy consumption, fuel prices, transport sector value added and CO 2 emissions in Tunisia for the period 1980-2012. We apply the newly developed combined cointegration test proposed by Bayer and Hanck (2013) and the ARDL bounds testing approach to cointegration to establish the existence of long-run relationship in presence of structural breaks. The direction of causality between these variables is determined via vector error correction model (VECM). Our empirical exercise reveals that the cointegration is present. Energy consumption adds in CO 2 emissions. Fuel prices decline CO 2 emissions. Road infrastructure boosts in CO 2 emissions. Transport value-added also increases CO 2 emissions. The causality analysis indicates the bidirectional casual relationship between energy consumption and CO 2 emissions. Road infrastructure causes CO 2 emissions and similar is true from opposite side in Granger sense. The bidirectional causality is also found between transport value-added and CO 2 emissions. Fuel prices cause CO 2 emissions, energy consumption, road infrastructure and transport value-added. This paper provides new insights to policy makers to design a comprehensive energy, transport and environment policies for sustainable economic growth in long run.

Research paper thumbnail of Stock Return and Trading Volume Distribution Across the Day-of-The-Week: Evidence from Japanese Stock Market

In this paper, we examine the behavior of stock returns and trading volume across the-day-of-the-... more In this paper, we examine the behavior of stock returns and trading volume across the-day-of-the-week in the context of the Japanese Market. Several hypotheses are used to explain the day-of-the-week effect. Results indicate that Mondays have abnormally losses and low trading volume. Over other days the returns and the trading volume increase significantly once market thickens, prices become more informative and the information effect diminishes. Our results do not support the outliers hypothesis, the half-of-the-month hypothesis and the autocorrelation hypothesis. They are, however, consistent with the adverse selection and the overconfidence hypotheses.

Research paper thumbnail of Animal Spirits and Trading Volume in International Financial Markets between 2002 and 2011

!e change in trading volume and returns and the dysfunction of the economy and more speci"ca... more !e change in trading volume and returns and the dysfunction of the economy and more speci"cally of "nancial markets has been increasingly attracting attention of researchers, analysts, practitioners, institutions as well as government organizations. !is paper investigates the factors that are able to explain how "nancial markets work. Testing the rational expectation hypothesis and di#erent components of animal spirits including investors’ beliefs and their behavioral biases, results show that economy is driven by animal spirits and not by rational behavior. Considering the classi"cation of the sample by periods of stability and periods of excessive volatility, results incite to think that "nancial markets work in terms of economic cycles.

Research paper thumbnail of Hedging strategy for financial variables and commodities

This paper investigates the hedging effectiveness of different hedge types. The S&P 500 index, oi... more This paper investigates the hedging effectiveness of different hedge types. The S&P 500 index, oil prices, the VIX index, gold prices, bond prices, and CDS spreads are considered. The Dynamic Multivariate GARCH is used to estimate the hedge ratios by separate and complex hedge types from December 2007 to June 2018. This study also performs some statistical works to investigate the relationship between the hedging effectiveness and the commodities prices sensitivity to financial variables. The results show that gold and CDS provide higher hedging effectiveness against equity market losses. Negative correlations between the equity market and VIX are particularly notable, suggesting the economic benefits of diversification.

Research paper thumbnail of Oil price shocks and OECD equity markets: distinguishing between supply and demand effects

International Journal of Global Energy Issues , 2018

With the recent changes in international financial markets, investors and policy-makers are payin... more With the recent changes in international financial markets, investors and policy-makers are paying special attention to the relationship between oil price shocks and equity markets. This paper investigates how oil supply and oil demand shocks interact with OECD countries and macroeconomic variables within a cointegration vector error correction framework, which provides extreme flexibility with a parsimonious specification. By defining oil supply and oil demand shocks as endogenous variables, our proposed model allows us to gauge the shock transmission among the system variables through time and investigate the direct and indirect connections between oil price shocks and stock returns. We are also able to observe the long-run relationship between real stock prices and real oil prices measured by world and local prices. Our empirical findings show that the impact of oil price shocks substantially differs among the countries and that the significance of the results differs among the oil price specifications (real national oil price, world oil price, supply shocks and demand shocks).

Research paper thumbnail of Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management

This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios b... more This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the risk spillover has reached the highest level during the COVID-19 period, compared to the pre-COVID period, which means that the COVID-19 pandemic enforced the risk spillover between U.S. stock markets and the remains assets. We confirm the economic benefit of diversification in both tranquil and crisis periods (e.g., a negative dynamic conditional correlation between the VIX and SP500). Moreover, the hedging analysis exhibits that the Dow Jones Islamic has the highest hedging effectiveness either before or during the recent COVID19 crisis, offering better resistance to uncertainty caused by unpredictable turmoil such as the COVID19 outbreak. Our finding may have some implications for portfoli...

Research paper thumbnail of Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model

Studies in Nonlinear Dynamics & Econometrics

This study examines the asymmetric responses of sector stock indices returns to positive and nega... more This study examines the asymmetric responses of sector stock indices returns to positive and negative fluctuations in oil prices using the NARDL model. Our empirical findings support indirect transmissions of oil price fluctuation to the financial market through industrial production and short-term interest rate. Furthermore, both direct and indirect impacts of oil price shocks on stock returns are sector dependent. These results are with substantial policy implications either for investors or for policymakers. They mainly help government authorities to reduce the instability in financial markets caused by the major oil price shocks. The analysis of the impact of oil price shocks on stock markets also helps the financial market participants to adjust their decisions and revise their coverage of energy policy that is substantially affected by the turbulence and uncertainty in the crude oil market. Finally, based on the forecast of the oil price shocks effects, the central bank should...

Research paper thumbnail of Chinese jigsaw: Solving the equity market response to the COVID-19 crisis: Do alternative asset provide effective hedging performance?

Research in International Business and Finance

Research paper thumbnail of Oil price shocks and OECD equity markets: distinguishing between supply and demand effects

International Journal of Global Energy Issues

With the recent changes in international financial markets, investors and policy-makers are payin... more With the recent changes in international financial markets, investors and policy-makers are paying special attention to the relationship between oil price shocks and equity markets. This paper investigates how oil supply and oil demand shocks interact with OECD countries and macroeconomic variables within a cointegration vector error correction framework, which provides extreme flexibility with a parsimonious specification. By defining oil supply and oil demand shocks as endogenous variables, our proposed model allows us to gauge the shock transmission among the system variables through time and investigate the direct and indirect connections between oil price shocks and stock returns. We are also able to observe the long-run relationship between real stock prices and real oil prices measured by world and local prices. Our empirical findings show that the impact of oil price shocks substantially differs among the countries and that the significance of the results differs among the oil price specifications (real national oil price, world oil price, supply shocks and demand shocks).

Research paper thumbnail of Hedging and diversification across commodity assets

Research paper thumbnail of The Asymmetric Responses of Stock Markets

Journal of Economic Integration

This paper investigates how oil price shocks interact with oil-importing and oil-exporting stock ... more This paper investigates how oil price shocks interact with oil-importing and oil-exporting stock markets within a nonlinear autoregressive distributed lag framework. By defining oil prices as endogenous variables, this model allows us to gage the shock transmission among the system variables and consider the asymmetric long-and short-run effects. Our empirical findings show an asymmetric long-run relation between stock market prices and macroeconomic fundamentals. These results suggest that investors should adjust their investment strategies to changes in oil prices and consider the asymmetry when forecasting and managing the negative impacts of unexpected events.

Research paper thumbnail of On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting

Journal of International Financial Markets, Institutions and Money