abdoulkarim idi cheffou - Academia.edu (original) (raw)
Papers by abdoulkarim idi cheffou
Energy economics, Apr 1, 2024
Management & Avenir, 2019
This paper analyzes the behavior of female investors (the supply) and that of female entrepreneur... more This paper analyzes the behavior of female investors (the supply) and that of female entrepreneurs (the demand) during applications for venture capital funding from male-dominated angel groups. Using stereotype threat theory, our results seem to show that within these angel groups, women on the supply side as well as on the demand side are likely to be affected by gender stereotypes.
European Journal of International Management, 2020
RePEc: Research Papers in Economics, 2016
This paper investigates the relationship between trading volume and volatility for four internati... more This paper investigates the relationship between trading volume and volatility for four international stock markets (US: S&P500, UK: FTSE100, France: CAC40 and Germany: DAX30) in a context of global financial crisis. Unlike previous related studies, we use intraday data and apply a nonlinear econometric model to assess this relationship. In particular, we first break down intraday realized volatility into its continuous and jump components using the non-parametric approach developed by Barndorff-Nielsen and Shephard (J Financ Econom 4:1-30, 2006). Second, we investigate the volume-volatility relationship and test whether it varies according to volatility components (jumps and continuous component). While Giot et al. (J Empir Finance 17:168-175, 2010), among others, investigated the volume-volatility relationship in a linear context, our study contributes by estimating different nonlinear specifications (threshold model, nonlinear Tobit model) that enable us to capture further asymmetry and time-variation to better apprehend the effect of trading volume on realized volatility. Accordingly, our study yields two interesting findings. On the one hand, as expected there is a significant and positive relationship between trading volume and realized volatility, as well as with its components, confirming the importance of trading volume as a key to characterizing volatility. On the other hand, we show that this relationship exhibits asymmetry and nonlinearity, and that threshold models are more appropriate than linear model to characterize the volume volatility relationship.
Annals of Operations Research, Mar 2, 2016
This paper points to further measurement errors in stock markets. In particular, we show that the... more This paper points to further measurement errors in stock markets. In particular, we show that the application of usual performance ratios to evaluate financial assets can lead to inappropriate findings and consequently wrong conclusions. To this end, we analyze standard performance ratios as well as extreme loss-based financial ratios and compare the conclusions with those provided by systemic risk measures. The application of these different measures to both conventional and Islamic stock indexes for developed and emerging countries in the context of the financial crisis yields two interesting results. First, the analysis of financial performance exhibits further measurement errors. Second, the consideration of extreme loss and systemic risk in computing performance measures increases the reliability of performance analysis.
Journal of Tourism Management Research
This research aims to examine how tourists' anxiety, fear, and travel habits influenced their... more This research aims to examine how tourists' anxiety, fear, and travel habits influenced their travel intentions to Switzerland after the first wave of the COVID-19 pandemic and the relaxation of containment measures. This study uses the endogenous treatment effect method to analyze the impact of travel habits and fear on travel intentions, surveying 1042 travelers from Western Europe, India, the United States, and Switzerland and applying the two-stage least squares (2SLS) technique. The findings indicate that non-anxious tourists visiting rural areas and usually on short to medium-duration vacations were highly willing to travel. Anxious tourists who had previously traveled to ski resorts also expressed willingness to travel after the COVID-19 pandemic. In addition, non-anxious tourists typically making individual travel arrangements had greater intent to travel. This analysis suggests that positive past travel experiences increase the desire to travel despite negative factors ...
RePEc: Research Papers in Economics, 2017
The Quarterly Review of Economics and Finance, 2018
This study estimates and compares …nancial uncertainty for two classes of ethical assets (Islamic... more This study estimates and compares …nancial uncertainty for two classes of ethical assets (Islamic and socially responsible) against the conventional US stock market. To this end, in line with Granger and Poon (2003), we use the class of asymmetric generalized autoregressive conditional heteroscedasticity modeling to measure uncertainty for three major stock indexes, the Dow Jones Industrial Index, Dow Jones Islamic Index, and Dow Jones Sustainability Index, over the period 1999-2017. Our …ndings indicate that contrary to expectations, conventional and ethical investments show high comparable levels of uncertainty, but vary with phases of the business cycle. Furthermore, we provide sig-ni…cant and cyclical impulse response reaction functions between uncertainty measures, suggesting further evidence of uncertainty spillovers. These …ndings could help investors to better rebalance their portfolios with regard to uncertainty change.
European Journal of International Management, 2023
Annals of Operations Research
This study aims to test the animal spirits theory by Akerlof and Shiller (Animal spirits-how huma... more This study aims to test the animal spirits theory by Akerlof and Shiller (Animal spirits-how human psychology drives the economy, and why it matters for global capitalism? Princeton University Press) for ethical stock markets using Islamic and sustainable stock indexes during calm and crisis periods. This question helps determine whether ethical finance is driven more by its specific rules or determined by animal spirits. We used data covering January 1996-September 2021, which includes both calm periods and crisis periods (dot-com bubble of 2000, subprime crisis of 2007, global financial crisis of 2008-2009, and COVID-19 recession). Accordingly, we applied different time series tests, ran a quantile regression, and built an econometric framework to empirically test the animal spirits theory. We provide two key findings. First, investor sentiment and consumer confidence significantly affect the dynamics of both ethical stock returns, suggesting further evidence of animal spirits. This finding supports the assumption that investors' emotions and sentiments affect their behaviors and related feelings, for example, spontaneous instinctive that urge to action than inaction, optimism, and so forth, might help to apprehend some investment actions. Second, and interestingly, animal spirit effects enter asymmetrically and nonlinearly as their effects on ethical stock returns are time-varying and vary with the quantile under consideration.
Applied Economics, 2021
ABSTRACT The coronavirus pandemic has impacted several stock markets worldwide. Among other count... more ABSTRACT The coronavirus pandemic has impacted several stock markets worldwide. Among other countries, the US has endured a significant impact of the pandemic, with over 605,000 deaths. This study investigates the effect of COVID-19 on the liquidity and volatility of the US conventional and Islamic stock indexes to assess their efficiency in a linear and nonlinear frammeworks. We use different stock market data (stock prices and trading volumes) and COVID-19 statistics. In particular, we specify liquidity and volatility differently, compute the speed of COVID-19 transmission, rely on robust linear and nonlinear regressions before and during the pandemic to determine different forms of coronavirus effects. The study finds that both liquidity and volatility (regardless of the proxy under consideration) exhibit an important time variation. Second, we find that the variation of contamination and death speeds related to the pandemic has been nonlinearly driving market trading, liquidity, and volatility, suggesting a significant reaction of stock market to exogenous news related to the coronavirus outbreak and inefficiency of these markets. Considering this dependency is crucial to improving the forecasting of stock market dynamics. Further, we find that Islamic funds are not more resilient than conventional funds towards the pandemic.
Annals of Operations Research, 2018
This study revisits an important issue in financial theory: the instability of market beta. To th... more This study revisits an important issue in financial theory: the instability of market beta. To this end, we demonstrate that the linear constant risk model is misleading and does not reproduce changes in beta correctly. We develop a new nonlinear market model to capture beta instability over time for three main states: bear, normal, and bull markets. Our model endogenously identifies these states and their thresholds. We then apply this econometric specification to four major sustainable stock indexes in the US, Europe, Asia, and the World for 2004-2015. The results provide three main findings. First, the market beta is time-varying and changes asymmetrically and nonlinearly, suggesting that the systematic risk statistically differs between market regimes for the US, Europe, and the World. Second, the positive sign of beta in the bull market for these three regions suggests that systematic risk increases as economic conditions improve. Third, the lowest level of beta in the bear market indicates the usefulness of the sustainable stock index to hedge and cover investors' portfolios against risk, particularly in a bear market. Keywords Time-varying market beta • Bull and bear markets • Instability • Sustainable index nonlinearity JEL Classification G15 • C20
Economic Modelling, 2016
The paper investigates the dynamics of oil price volatility by examining interactions between the... more The paper investigates the dynamics of oil price volatility by examining interactions between the oil market and the US USD/EUR exchange rate. To this end, we use recent intradaily data to measure realised volatility and to investigate the instantaneous intradaily linkages between different types and proxies of oil price and US$/euro volatilities. We specify the drivers of oil price volatility through a focus on extreme US$ exchange rate movements (intradaily jumps). Accordingly, we find a negative relationship between the US USD/EUR and oil returns, indicating that a US $ appreciation decreases oil price. Second, we note the presence of a volatility spillover from the US exchange market to the oil market. Interestingly, this spillover effect seems to occur through intradaily jumps in both markets.
Energy Studies Review, 2015
This paper focuses on oil market dynamics through the investigation of oil systematic risk and oi... more This paper focuses on oil market dynamics through the investigation of oil systematic risk and oil risk premium dynamics over the period 1997-2012, which includes several different economic episodes, enabling us to capture a considerable number of statistical properties for oil prices. Interestingly, unlike previous studies, the authors retained data for several developed and emerging oil markets and used different oil prices in order to provide a comprehensive and wide-ranging vision of oil price dynamics. To this end and in order to take eventual time variation and asymmetry in oil price dynamics into account, the authors applied recent econometrics tests associated with the ADCC-GARCH class of model. This modelling enabled us to appropriately specify the dynamics of oil conditional variance and time-varying oil risk premium. Accordingly, this study offers three interesting findings. First, the hypotheses of asymmetry and time variation in oil risk premia are not rejected. Second,...
Review of Quantitative Finance and Accounting, 2015
This paper investigates the relationship between trading volume and volatility for four internati... more This paper investigates the relationship between trading volume and volatility for four international stock markets (US: S&P500, UK: FTSE100, France: CAC40 and Germany: DAX30) in a context of global financial crisis. Unlike previous related studies, we use intraday data and apply a nonlinear econometric model to assess this relationship. In particular, we first break down intraday realized volatility into its continuous and jump components using the non-parametric approach developed by Barndorff-Nielsen and Shephard (J Financ Econom 4:1-30, 2006). Second, we investigate the volume-volatility relationship and test whether it varies according to volatility components (jumps and continuous component). While Giot et al. (J Empir Finance 17:168-175, 2010), among others, investigated the volume-volatility relationship in a linear context, our study contributes by estimating different nonlinear specifications (threshold model, nonlinear Tobit model) that enable us to capture further asymmetry and time-variation to better apprehend the effect of trading volume on realized volatility. Accordingly, our study yields two interesting findings. On the one hand, as expected there is a significant and positive relationship between trading volume and realized volatility, as well as with its components, confirming the importance of trading volume as a key to characterizing volatility. On the other hand, we show that this relationship exhibits asymmetry and nonlinearity, and that threshold models are more appropriate than linear model to characterize the volume volatility relationship.
Economic Modelling, 2016
This paper investigates the contagion hypothesis for ten developed and emerging stock markets (
Http Www Theses Fr, 2007
La remuneration des dirigeants est devenue un sujet au centre des debats sur la gouvernance des e... more La remuneration des dirigeants est devenue un sujet au centre des debats sur la gouvernance des entreprises. La politique d’attribution des stock-options souvent justifiee par la theorie de l’agence, est un element du panier de la remuneration globale des dirigeants. Cette these a comme premier objectif l’analyse des determinants de l’octroi des stock-options aux dirigeants des entreprises. Nous avons evalue les portefeuilles des stock-options nouvellement attribuees afin d’estimer la part des stock-options dans la remune��ration des dirigeants. Nous avons par la suite etabli le lien entre la politique de stock-options et certaines decisions financieres ainsi que certaines caracteristiques des entreprises. Les resultats empiriques obtenus montrent un lien positif entre l’octroi des stock-options et la taille de l’entreprise, ainsi qu’une relation negative entre les attributions des stock-options et la politique de dividende des firmes. Le deuxieme objectif vise par cette recherche est la verification de l’impact des nouvelles attributions des stock-options sur la performance subsequente de la firme. Dans un premier temps, le lien direct entre la part des stock-options dans la remuneration des dirigeants et la performance de la firme est analyse. Dans un deuxieme temps, la verification de l’effet incitatif des stock-options est faite a travers le lien entre la performance de l’entreprise et une variable traduisant l’incitation des dirigeants beneficiant des stock-options. Les deux methodes font aboutir a une relation positive et significative entre les stock-options en faveur des dirigeants et la performance subsequente de l’entreprise, mesuree par le Q de Tobin et le ROA. Ainsi, tous nos resultats semblent confirmer certaines predictions des theories de l’agence et de l’incitation, qui considerent les stock-options comme un outil d’alignement des interets des dirigeants sur ceux des actionnaires.
Social Science Research Network, 2018
Energy economics, Apr 1, 2024
Management & Avenir, 2019
This paper analyzes the behavior of female investors (the supply) and that of female entrepreneur... more This paper analyzes the behavior of female investors (the supply) and that of female entrepreneurs (the demand) during applications for venture capital funding from male-dominated angel groups. Using stereotype threat theory, our results seem to show that within these angel groups, women on the supply side as well as on the demand side are likely to be affected by gender stereotypes.
European Journal of International Management, 2020
RePEc: Research Papers in Economics, 2016
This paper investigates the relationship between trading volume and volatility for four internati... more This paper investigates the relationship between trading volume and volatility for four international stock markets (US: S&P500, UK: FTSE100, France: CAC40 and Germany: DAX30) in a context of global financial crisis. Unlike previous related studies, we use intraday data and apply a nonlinear econometric model to assess this relationship. In particular, we first break down intraday realized volatility into its continuous and jump components using the non-parametric approach developed by Barndorff-Nielsen and Shephard (J Financ Econom 4:1-30, 2006). Second, we investigate the volume-volatility relationship and test whether it varies according to volatility components (jumps and continuous component). While Giot et al. (J Empir Finance 17:168-175, 2010), among others, investigated the volume-volatility relationship in a linear context, our study contributes by estimating different nonlinear specifications (threshold model, nonlinear Tobit model) that enable us to capture further asymmetry and time-variation to better apprehend the effect of trading volume on realized volatility. Accordingly, our study yields two interesting findings. On the one hand, as expected there is a significant and positive relationship between trading volume and realized volatility, as well as with its components, confirming the importance of trading volume as a key to characterizing volatility. On the other hand, we show that this relationship exhibits asymmetry and nonlinearity, and that threshold models are more appropriate than linear model to characterize the volume volatility relationship.
Annals of Operations Research, Mar 2, 2016
This paper points to further measurement errors in stock markets. In particular, we show that the... more This paper points to further measurement errors in stock markets. In particular, we show that the application of usual performance ratios to evaluate financial assets can lead to inappropriate findings and consequently wrong conclusions. To this end, we analyze standard performance ratios as well as extreme loss-based financial ratios and compare the conclusions with those provided by systemic risk measures. The application of these different measures to both conventional and Islamic stock indexes for developed and emerging countries in the context of the financial crisis yields two interesting results. First, the analysis of financial performance exhibits further measurement errors. Second, the consideration of extreme loss and systemic risk in computing performance measures increases the reliability of performance analysis.
Journal of Tourism Management Research
This research aims to examine how tourists' anxiety, fear, and travel habits influenced their... more This research aims to examine how tourists' anxiety, fear, and travel habits influenced their travel intentions to Switzerland after the first wave of the COVID-19 pandemic and the relaxation of containment measures. This study uses the endogenous treatment effect method to analyze the impact of travel habits and fear on travel intentions, surveying 1042 travelers from Western Europe, India, the United States, and Switzerland and applying the two-stage least squares (2SLS) technique. The findings indicate that non-anxious tourists visiting rural areas and usually on short to medium-duration vacations were highly willing to travel. Anxious tourists who had previously traveled to ski resorts also expressed willingness to travel after the COVID-19 pandemic. In addition, non-anxious tourists typically making individual travel arrangements had greater intent to travel. This analysis suggests that positive past travel experiences increase the desire to travel despite negative factors ...
RePEc: Research Papers in Economics, 2017
The Quarterly Review of Economics and Finance, 2018
This study estimates and compares …nancial uncertainty for two classes of ethical assets (Islamic... more This study estimates and compares …nancial uncertainty for two classes of ethical assets (Islamic and socially responsible) against the conventional US stock market. To this end, in line with Granger and Poon (2003), we use the class of asymmetric generalized autoregressive conditional heteroscedasticity modeling to measure uncertainty for three major stock indexes, the Dow Jones Industrial Index, Dow Jones Islamic Index, and Dow Jones Sustainability Index, over the period 1999-2017. Our …ndings indicate that contrary to expectations, conventional and ethical investments show high comparable levels of uncertainty, but vary with phases of the business cycle. Furthermore, we provide sig-ni…cant and cyclical impulse response reaction functions between uncertainty measures, suggesting further evidence of uncertainty spillovers. These …ndings could help investors to better rebalance their portfolios with regard to uncertainty change.
European Journal of International Management, 2023
Annals of Operations Research
This study aims to test the animal spirits theory by Akerlof and Shiller (Animal spirits-how huma... more This study aims to test the animal spirits theory by Akerlof and Shiller (Animal spirits-how human psychology drives the economy, and why it matters for global capitalism? Princeton University Press) for ethical stock markets using Islamic and sustainable stock indexes during calm and crisis periods. This question helps determine whether ethical finance is driven more by its specific rules or determined by animal spirits. We used data covering January 1996-September 2021, which includes both calm periods and crisis periods (dot-com bubble of 2000, subprime crisis of 2007, global financial crisis of 2008-2009, and COVID-19 recession). Accordingly, we applied different time series tests, ran a quantile regression, and built an econometric framework to empirically test the animal spirits theory. We provide two key findings. First, investor sentiment and consumer confidence significantly affect the dynamics of both ethical stock returns, suggesting further evidence of animal spirits. This finding supports the assumption that investors' emotions and sentiments affect their behaviors and related feelings, for example, spontaneous instinctive that urge to action than inaction, optimism, and so forth, might help to apprehend some investment actions. Second, and interestingly, animal spirit effects enter asymmetrically and nonlinearly as their effects on ethical stock returns are time-varying and vary with the quantile under consideration.
Applied Economics, 2021
ABSTRACT The coronavirus pandemic has impacted several stock markets worldwide. Among other count... more ABSTRACT The coronavirus pandemic has impacted several stock markets worldwide. Among other countries, the US has endured a significant impact of the pandemic, with over 605,000 deaths. This study investigates the effect of COVID-19 on the liquidity and volatility of the US conventional and Islamic stock indexes to assess their efficiency in a linear and nonlinear frammeworks. We use different stock market data (stock prices and trading volumes) and COVID-19 statistics. In particular, we specify liquidity and volatility differently, compute the speed of COVID-19 transmission, rely on robust linear and nonlinear regressions before and during the pandemic to determine different forms of coronavirus effects. The study finds that both liquidity and volatility (regardless of the proxy under consideration) exhibit an important time variation. Second, we find that the variation of contamination and death speeds related to the pandemic has been nonlinearly driving market trading, liquidity, and volatility, suggesting a significant reaction of stock market to exogenous news related to the coronavirus outbreak and inefficiency of these markets. Considering this dependency is crucial to improving the forecasting of stock market dynamics. Further, we find that Islamic funds are not more resilient than conventional funds towards the pandemic.
Annals of Operations Research, 2018
This study revisits an important issue in financial theory: the instability of market beta. To th... more This study revisits an important issue in financial theory: the instability of market beta. To this end, we demonstrate that the linear constant risk model is misleading and does not reproduce changes in beta correctly. We develop a new nonlinear market model to capture beta instability over time for three main states: bear, normal, and bull markets. Our model endogenously identifies these states and their thresholds. We then apply this econometric specification to four major sustainable stock indexes in the US, Europe, Asia, and the World for 2004-2015. The results provide three main findings. First, the market beta is time-varying and changes asymmetrically and nonlinearly, suggesting that the systematic risk statistically differs between market regimes for the US, Europe, and the World. Second, the positive sign of beta in the bull market for these three regions suggests that systematic risk increases as economic conditions improve. Third, the lowest level of beta in the bear market indicates the usefulness of the sustainable stock index to hedge and cover investors' portfolios against risk, particularly in a bear market. Keywords Time-varying market beta • Bull and bear markets • Instability • Sustainable index nonlinearity JEL Classification G15 • C20
Economic Modelling, 2016
The paper investigates the dynamics of oil price volatility by examining interactions between the... more The paper investigates the dynamics of oil price volatility by examining interactions between the oil market and the US USD/EUR exchange rate. To this end, we use recent intradaily data to measure realised volatility and to investigate the instantaneous intradaily linkages between different types and proxies of oil price and US$/euro volatilities. We specify the drivers of oil price volatility through a focus on extreme US$ exchange rate movements (intradaily jumps). Accordingly, we find a negative relationship between the US USD/EUR and oil returns, indicating that a US $ appreciation decreases oil price. Second, we note the presence of a volatility spillover from the US exchange market to the oil market. Interestingly, this spillover effect seems to occur through intradaily jumps in both markets.
Energy Studies Review, 2015
This paper focuses on oil market dynamics through the investigation of oil systematic risk and oi... more This paper focuses on oil market dynamics through the investigation of oil systematic risk and oil risk premium dynamics over the period 1997-2012, which includes several different economic episodes, enabling us to capture a considerable number of statistical properties for oil prices. Interestingly, unlike previous studies, the authors retained data for several developed and emerging oil markets and used different oil prices in order to provide a comprehensive and wide-ranging vision of oil price dynamics. To this end and in order to take eventual time variation and asymmetry in oil price dynamics into account, the authors applied recent econometrics tests associated with the ADCC-GARCH class of model. This modelling enabled us to appropriately specify the dynamics of oil conditional variance and time-varying oil risk premium. Accordingly, this study offers three interesting findings. First, the hypotheses of asymmetry and time variation in oil risk premia are not rejected. Second,...
Review of Quantitative Finance and Accounting, 2015
This paper investigates the relationship between trading volume and volatility for four internati... more This paper investigates the relationship between trading volume and volatility for four international stock markets (US: S&P500, UK: FTSE100, France: CAC40 and Germany: DAX30) in a context of global financial crisis. Unlike previous related studies, we use intraday data and apply a nonlinear econometric model to assess this relationship. In particular, we first break down intraday realized volatility into its continuous and jump components using the non-parametric approach developed by Barndorff-Nielsen and Shephard (J Financ Econom 4:1-30, 2006). Second, we investigate the volume-volatility relationship and test whether it varies according to volatility components (jumps and continuous component). While Giot et al. (J Empir Finance 17:168-175, 2010), among others, investigated the volume-volatility relationship in a linear context, our study contributes by estimating different nonlinear specifications (threshold model, nonlinear Tobit model) that enable us to capture further asymmetry and time-variation to better apprehend the effect of trading volume on realized volatility. Accordingly, our study yields two interesting findings. On the one hand, as expected there is a significant and positive relationship between trading volume and realized volatility, as well as with its components, confirming the importance of trading volume as a key to characterizing volatility. On the other hand, we show that this relationship exhibits asymmetry and nonlinearity, and that threshold models are more appropriate than linear model to characterize the volume volatility relationship.
Economic Modelling, 2016
This paper investigates the contagion hypothesis for ten developed and emerging stock markets (
Http Www Theses Fr, 2007
La remuneration des dirigeants est devenue un sujet au centre des debats sur la gouvernance des e... more La remuneration des dirigeants est devenue un sujet au centre des debats sur la gouvernance des entreprises. La politique d’attribution des stock-options souvent justifiee par la theorie de l’agence, est un element du panier de la remuneration globale des dirigeants. Cette these a comme premier objectif l’analyse des determinants de l’octroi des stock-options aux dirigeants des entreprises. Nous avons evalue les portefeuilles des stock-options nouvellement attribuees afin d’estimer la part des stock-options dans la remune��ration des dirigeants. Nous avons par la suite etabli le lien entre la politique de stock-options et certaines decisions financieres ainsi que certaines caracteristiques des entreprises. Les resultats empiriques obtenus montrent un lien positif entre l’octroi des stock-options et la taille de l’entreprise, ainsi qu’une relation negative entre les attributions des stock-options et la politique de dividende des firmes. Le deuxieme objectif vise par cette recherche est la verification de l’impact des nouvelles attributions des stock-options sur la performance subsequente de la firme. Dans un premier temps, le lien direct entre la part des stock-options dans la remuneration des dirigeants et la performance de la firme est analyse. Dans un deuxieme temps, la verification de l’effet incitatif des stock-options est faite a travers le lien entre la performance de l’entreprise et une variable traduisant l’incitation des dirigeants beneficiant des stock-options. Les deux methodes font aboutir a une relation positive et significative entre les stock-options en faveur des dirigeants et la performance subsequente de l’entreprise, mesuree par le Q de Tobin et le ROA. Ainsi, tous nos resultats semblent confirmer certaines predictions des theories de l’agence et de l’incitation, qui considerent les stock-options comme un outil d’alignement des interets des dirigeants sur ceux des actionnaires.
Social Science Research Network, 2018