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Against COVID-19 risks, this paper examines the hedging performance of alternative assets including some financial assets and commodities futures for the Chinese stock market in a multi-scale setting. Dynamic conditional correlations and optimal hedge ratios of the Shanghai stock exchange with Bitcoin, Dow Jones Industrial Average, Gold, WTI, Bonds and VIX returns are estimated before and during the pandemic crisis. In the short-term, the use of wavelet decomposition shows that Bitcoin provides the best hedge to the Shanghai stock market. In the long-term, commodities dominate. Whereas WTI offers the highest hedging effectiveness, Gold ranks second by a slight margin. These results allow investors to choose the highest returns and protecting tail risk during the current sanitary crisis. Our findings suggest particularly more pronounced economic benefit of diversification including alternative financial assets while commodities futures serve as good hedge assets especially during unpredictable crisis like the current sanitary crisis relating to the covid-19.
Salma Tarchella; Abderrazak Dhaoui. 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 2021, 58, 101499 .
AMA StyleSalma Tarchella, Abderrazak Dhaoui. 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. 2021; 58 ():101499.
Chicago/Turabian StyleSalma Tarchella; Abderrazak Dhaoui. 2021. "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 58, no. : 101499.
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 portfolio managers and investors to reduce their exposure to the risk in their portfolio construction.
Mohamed Yousfi; Abderrazak Dhaoui; Houssam Bouzgarrou. Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management. Journal of Risk and Financial Management 2021, 14, 222 .
AMA StyleMohamed Yousfi, Abderrazak Dhaoui, Houssam Bouzgarrou. Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management. Journal of Risk and Financial Management. 2021; 14 (5):222.
Chicago/Turabian StyleMohamed Yousfi; Abderrazak Dhaoui; Houssam Bouzgarrou. 2021. "Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management." Journal of Risk and Financial Management 14, no. 5: 222.
In this paper, we obtain explicit numerical formulas to price the defaultable bonds prices of firms. The possible default event of the firms happen in random time and not necessary in uniform time spread. For this purpose, we develop a Markov regime-switching Copula model that allows us to well-capture the economic behavior in some ASEAN region countries. The first regime represents the evidence that is used to support the standard economy. The second regime represents the crisis state. Based on various specifications, we obtain an explicit formula to evaluate the conditional Laplace transform of a regime switching Cox Ingersoll Ross model using the semi-affine property of this model. Our numerical results show strong evidence for increasing volatility parameter in crisis state, suggesting more possibility of contagion. Furthermore, statistically significant differences in terms of volatility of default across countries are reported. Indonesia and Malaysia exhibit particularly higher volatility than other markets, especially in the crisis state.
Ilyes Abid; Abderrazak Dhaoui; Stéphane Goutte; Khaled Guesmi. Contagion and bond pricing: The case of the ASEAN region. Research in International Business and Finance 2018, 47, 371 -385.
AMA StyleIlyes Abid, Abderrazak Dhaoui, Stéphane Goutte, Khaled Guesmi. Contagion and bond pricing: The case of the ASEAN region. Research in International Business and Finance. 2018; 47 ():371-385.
Chicago/Turabian StyleIlyes Abid; Abderrazak Dhaoui; Stéphane Goutte; Khaled Guesmi. 2018. "Contagion and bond pricing: The case of the ASEAN region." Research in International Business and Finance 47, no. : 371-385.
Khaled Guesmi; Abderrazak Dhaoui; Stéphane Goutte; Ilyes Abid. On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting. Journal of International Financial Markets, Institutions and Money 2018, 56, 233 -254.
AMA StyleKhaled Guesmi, Abderrazak Dhaoui, Stéphane Goutte, Ilyes Abid. On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting. Journal of International Financial Markets, Institutions and Money. 2018; 56 ():233-254.
Chicago/Turabian StyleKhaled Guesmi; Abderrazak Dhaoui; Stéphane Goutte; Ilyes Abid. 2018. "On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting." Journal of International Financial Markets, Institutions and Money 56, no. : 233-254.
Abderrazak Dhaoui; Stéphane Goutte; Khaled Guesmi. The Asymmetric Responses of Stock Markets. Journal of Economic Integration 2018, 33, 1096 -1140.
AMA StyleAbderrazak Dhaoui, Stéphane Goutte, Khaled Guesmi. The Asymmetric Responses of Stock Markets. Journal of Economic Integration. 2018; 33 (1):1096-1140.
Chicago/Turabian StyleAbderrazak Dhaoui; Stéphane Goutte; Khaled Guesmi. 2018. "The Asymmetric Responses of Stock Markets." Journal of Economic Integration 33, no. 1: 1096-1140.
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Abderrazak Dhaoui; Khaled Guesmi; Youssef Saidi; Saad Bourouis. Oil price shocks and OECD equity markets: distinguishing between supply and demand effects. International Journal of Global Energy Issues 2018, 41, 25 .
AMA StyleAbderrazak Dhaoui, Khaled Guesmi, Youssef Saidi, Saad Bourouis. Oil price shocks and OECD equity markets: distinguishing between supply and demand effects. International Journal of Global Energy Issues. 2018; 41 (1/2/3/4):25.
Chicago/Turabian StyleAbderrazak Dhaoui; Khaled Guesmi; Youssef Saidi; Saad Bourouis. 2018. "Oil price shocks and OECD equity markets: distinguishing between supply and demand effects." International Journal of Global Energy Issues 41, no. 1/2/3/4: 25.
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).
Abderrazak Dhaoui; Khaled Guesmi; Youssef Saidi; Saad Bourouis. Oil price shocks and OECD equity markets: distinguishing between supply and demand effects. International Journal of Global Energy Issues 2018, 41, 25 .
AMA StyleAbderrazak Dhaoui, Khaled Guesmi, Youssef Saidi, Saad Bourouis. Oil price shocks and OECD equity markets: distinguishing between supply and demand effects. International Journal of Global Energy Issues. 2018; 41 (1/2/3/4):25.
Chicago/Turabian StyleAbderrazak Dhaoui; Khaled Guesmi; Youssef Saidi; Saad Bourouis. 2018. "Oil price shocks and OECD equity markets: distinguishing between supply and demand effects." International Journal of Global Energy Issues 41, no. 1/2/3/4: 25.
Abderezzak Dhaoui; Habib Sekrafi; Mohamed Ghandri. 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, 7, 1 .
AMA StyleAbderezzak Dhaoui, Habib Sekrafi, Mohamed Ghandri. 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; 7 (1):1.
Chicago/Turabian StyleAbderezzak Dhaoui; Habib Sekrafi; Mohamed Ghandri. 2017. "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 7, no. 1: 1.
Abderrazak Dhaoui; Sami Bacha. Investor emotional biases and trading volume’s asymmetric response: A non-linear ARDL approach tested in S&P500 stock market. Cogent Economics & Finance 2017, 5, 1 .
AMA StyleAbderrazak Dhaoui, Sami Bacha. Investor emotional biases and trading volume’s asymmetric response: A non-linear ARDL approach tested in S&P500 stock market. Cogent Economics & Finance. 2017; 5 (1):1.
Chicago/Turabian StyleAbderrazak Dhaoui; Sami Bacha. 2017. "Investor emotional biases and trading volume’s asymmetric response: A non-linear ARDL approach tested in S&P500 stock market." Cogent Economics & Finance 5, no. 1: 1.
Abderrazak Dhaoui; Nesrine Bensalah. Asset valuation impact of investor sentiment: A revised Fama–French five-factor model. Journal of Asset Management 2016, 18, 16 -28.
AMA StyleAbderrazak Dhaoui, Nesrine Bensalah. Asset valuation impact of investor sentiment: A revised Fama–French five-factor model. Journal of Asset Management. 2016; 18 (1):16-28.
Chicago/Turabian StyleAbderrazak Dhaoui; Nesrine Bensalah. 2016. "Asset valuation impact of investor sentiment: A revised Fama–French five-factor model." Journal of Asset Management 18, no. 1: 16-28.
This paper provides the first evidence for empirical tests of the impact of rational expectations as well as behavioral biases, including among other animal spirits such as defined by Akerlof and Shiller on the variability of trading. Using a daily data for five international capital markets in developed countries, strong evidence is found. The hypothesis of rationality fails to determine the investors’ trading behavior. The economy is, however, driven by behavioral biases, including more especially animal spirits summarized in investors’ sentiments and beliefs
Abderrazak Dhaoui. What Does Matter in Economy Today: When Human Psychology Drives Financial Markets. Arab Economic and Business Journal 2015, 10, 39 -47.
AMA StyleAbderrazak Dhaoui. What Does Matter in Economy Today: When Human Psychology Drives Financial Markets. Arab Economic and Business Journal. 2015; 10 (1):39-47.
Chicago/Turabian StyleAbderrazak Dhaoui. 2015. "What Does Matter in Economy Today: When Human Psychology Drives Financial Markets." Arab Economic and Business Journal 10, no. 1: 39-47.
Abderrazak Dhaoui. Empirical Linkages between Trading Volume and Stock Markets Shocks: When Sentiments Drive Investors’ Behavior. Journal of Economic and Social Studies 2015, 5, 1 .
AMA StyleAbderrazak Dhaoui. Empirical Linkages between Trading Volume and Stock Markets Shocks: When Sentiments Drive Investors’ Behavior. Journal of Economic and Social Studies. 2015; 5 (2):1.
Chicago/Turabian StyleAbderrazak Dhaoui. 2015. "Empirical Linkages between Trading Volume and Stock Markets Shocks: When Sentiments Drive Investors’ Behavior." Journal of Economic and Social Studies 5, no. 2: 1.
In this paper, we will offer some evidence indicating that investor sentiment plays a central role in explaining trading intensity and market trend changes. Based on both econometric and fuzzy logic approaches, the empirical findings show that pessimistic sentiment has a particularly significant impact on the French financial market trend. Moreover, the results suggest that the impact of pessimism on asset returns exceeds that of optimism as a direct indicator of investor's beliefs. Indirect indicators of agent sentiment present more smoothed effects on these two market components. Our results indicate that incorporating psychological factors in macro-financial models leads to better supervision and control of the main drivers of the markets
Abderrazak Dhaoui; Naceur Khraief. Sensitivity of trading intensity to optimistic and pessimistic beliefs: Evidence from the French stock market. Arab Economic and Business Journal 2014, 9, 115 -132.
AMA StyleAbderrazak Dhaoui, Naceur Khraief. Sensitivity of trading intensity to optimistic and pessimistic beliefs: Evidence from the French stock market. Arab Economic and Business Journal. 2014; 9 (2):115-132.
Chicago/Turabian StyleAbderrazak Dhaoui; Naceur Khraief. 2014. "Sensitivity of trading intensity to optimistic and pessimistic beliefs: Evidence from the French stock market." Arab Economic and Business Journal 9, no. 2: 115-132.
Abderrazak Dhaoui. Animal Spirits and Trading Volume in International Financial Markets between 2002 and 2011. Journal of Economic and Social Studies 2013, 3, 163 -185.
AMA StyleAbderrazak Dhaoui. Animal Spirits and Trading Volume in International Financial Markets between 2002 and 2011. Journal of Economic and Social Studies. 2013; 3 (1):163-185.
Chicago/Turabian StyleAbderrazak Dhaoui. 2013. "Animal Spirits and Trading Volume in International Financial Markets between 2002 and 2011." Journal of Economic and Social Studies 3, no. 1: 163-185.
Abderrazak Dhaoui; Ramzi Farhani; Riadh Garfatta. Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market. Journal of Economic and Social Studies 2011, 1, 51 -68.
AMA StyleAbderrazak Dhaoui, Ramzi Farhani, Riadh Garfatta. Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market. Journal of Economic and Social Studies. 2011; 1 (1):51-68.
Chicago/Turabian StyleAbderrazak Dhaoui; Ramzi Farhani; Riadh Garfatta. 2011. "Stock Return and Trading Volume Distribution across the Day-of-the-week: Evidence from the Japanese Stock Market." Journal of Economic and Social Studies 1, no. 1: 51-68.
Abderrazak Dhaoui; Fathi Jouini. R&D Investment, Governance and Management Entrenchment in French Companies Listed in SBF250. Journal of Economic and Social Studies 2011, 1, 5 -32.
AMA StyleAbderrazak Dhaoui, Fathi Jouini. R&D Investment, Governance and Management Entrenchment in French Companies Listed in SBF250. Journal of Economic and Social Studies. 2011; 1 (1):5-32.
Chicago/Turabian StyleAbderrazak Dhaoui; Fathi Jouini. 2011. "R&D Investment, Governance and Management Entrenchment in French Companies Listed in SBF250." Journal of Economic and Social Studies 1, no. 1: 5-32.
Abderrazak Dhaoui; Fathi Jouini. R&D Investment, Corporate Governance and Management Entrenchment (In French). SSRN Electronic Journal 2010, 1 .
AMA StyleAbderrazak Dhaoui, Fathi Jouini. R&D Investment, Corporate Governance and Management Entrenchment (In French). SSRN Electronic Journal. 2010; ():1.
Chicago/Turabian StyleAbderrazak Dhaoui; Fathi Jouini. 2010. "R&D Investment, Corporate Governance and Management Entrenchment (In French)." SSRN Electronic Journal , no. : 1.
This paper examines the impact of the R&D geographic diversification on the shareholders’ wealth (as measured appreciatively by the firm's market value) and on the earnings management as a mechanism of manager's entrainment. Using a sample of 460 firm‐year observations for multinational firms over the 2002–2006 period, we find that the R&D decentralization may enhance the shareholders’ wealth and increase the managers’ one. The results show that the R&D geographic diversification increases the informational asymmetry and support the emergence of the favourable conditions for the earnings management and the managers’ entrainment. It may increase the managers’ autonomy which likely allows them to manage the result in order to increase their own wealth and destruct the shareholder's one.
Abderrazak Dhaoui. R&D DIVERSIFICATION IN MNCS: BETWEEN EARNINGS MANAGEMENT AND SHAREHOLDERS INCREASING WEALTH. Journal of Business Economics and Management 2008, 9, 199 -205.
AMA StyleAbderrazak Dhaoui. R&D DIVERSIFICATION IN MNCS: BETWEEN EARNINGS MANAGEMENT AND SHAREHOLDERS INCREASING WEALTH. Journal of Business Economics and Management. 2008; 9 (3):199-205.
Chicago/Turabian StyleAbderrazak Dhaoui. 2008. "R&D DIVERSIFICATION IN MNCS: BETWEEN EARNINGS MANAGEMENT AND SHAREHOLDERS INCREASING WEALTH." Journal of Business Economics and Management 9, no. 3: 199-205.