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Houssam Bouzgarrou was born in Monastir, Tunisia. He gratuated with Ph.D from IGR-IAE, University of Rennes 1, France. He is currently an Associate Professor of finance at the University of Sousse (Tunisia). He is the Director of the Higher Institute of Finance and Taxation. He was previously an Assistant Professor at Rennes 1 University (France). His research interests are M&A, corporate governance, markets efficiency and Financial institutions. He is a member of the Tunisian Society for the Financial Studies (TSFS) and he is a co-organiser of an annual international conference in finance.
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.
This paper examines the impact of the ECB’s monetary policy on corporate borrowing costs. We use an event study method to assess and compare the effects of both conventional and unconventional monetary policy on Germany and French corporate bond market (credit spreads). The sample of our research consists of daily data collected during the period from 04 January 1999 to 27 February 2015. This period spans the pre-crisis which begins when the ECB has launched the Economic and Monetary Union (EMU) and became responsible for the monetary policy in the euro area. We find significantly negative relation between conventional surprise and corporate credit spreads. Moreover, we find that a raise in German non-financial credit spreads and French credit spreads domestic in response to the SMP announcement. The OMT lowers the German non-financial credit spreads, while it raises German bank credit spreads and French corporate credit spreads both domestic and bund for two sectors. Finally, the LTROs are associated with a raise in corporate credit spreads. Our findings are confirmed in robustness checks by changing the non-standard monetary policy announcements with monetary policy event dummies used as one variable.
Houssam Bouzgarrou; Siwar Ben Afia; Abdelkader Derbali. The impact of the ECB’s monetary policy on corporate borrowing costs. International Journal of Financial Engineering 2021, 1 .
AMA StyleHoussam Bouzgarrou, Siwar Ben Afia, Abdelkader Derbali. The impact of the ECB’s monetary policy on corporate borrowing costs. International Journal of Financial Engineering. 2021; ():1.
Chicago/Turabian StyleHoussam Bouzgarrou; Siwar Ben Afia; Abdelkader Derbali. 2021. "The impact of the ECB’s monetary policy on corporate borrowing costs." International Journal of Financial Engineering , no. : 1.
This paper makes the first comparative assessment of the impacts of the first and second waves of the ongoing COVID-19 pandemic for the US stock market and its uncertainty. To this end, we investigate the dynamic conditional correlation and the asymmetric impacts of shocks on the correlation between the US and Chinese stock markets before and during the COVID-19 crisis. Furthermore, we analyze and compare the relationship between the COVID-19 pandemic and US returns and uncertainty during the first and second waves of the pandemic. First, we find that the dynamic correlation approach supports the presence of volatility spillovers (contagion effects) between the two stock markets, especially during the rapid spread phase of COVID-19 in the US. Second, the analysis of news impact correlation surfaces shows that the shocks to the US and Chinese markets have asymmetric effects on the correlation between the two markets. Finally, we find a persistent link between US returns, uncertainty, and the COVID-19 pandemic during the first and second waves of the outbreak. Our results prove that the pandemic has shown harmful consequences for financial markets in general and the US economy in particular.
Mohamed Yousfi; Younes Ben Zaied; Nidhaleddine Ben Cheikh; Béchir Ben Lahouel; Houssem Bouzgarrou. Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves. Technological Forecasting and Social Change 2021, 167, 120710 .
AMA StyleMohamed Yousfi, Younes Ben Zaied, Nidhaleddine Ben Cheikh, Béchir Ben Lahouel, Houssem Bouzgarrou. Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves. Technological Forecasting and Social Change. 2021; 167 ():120710.
Chicago/Turabian StyleMohamed Yousfi; Younes Ben Zaied; Nidhaleddine Ben Cheikh; Béchir Ben Lahouel; Houssem Bouzgarrou. 2021. "Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves." Technological Forecasting and Social Change 167, no. : 120710.
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.
Houssam Bouzgarrou; Sameh Jouida; Waël Louhichi. Bank profitability during and before the financial crisis: Domestic versus foreign banks. Research in International Business and Finance 2018, 44, 26 -39.
AMA StyleHoussam Bouzgarrou, Sameh Jouida, Waël Louhichi. Bank profitability during and before the financial crisis: Domestic versus foreign banks. Research in International Business and Finance. 2018; 44 ():26-39.
Chicago/Turabian StyleHoussam Bouzgarrou; Sameh Jouida; Waël Louhichi. 2018. "Bank profitability during and before the financial crisis: Domestic versus foreign banks." Research in International Business and Finance 44, no. : 26-39.
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.
This paper investigates the impact of family control on domestic and international acquisition’s payment. This effect is important to understand since it will underpin all the future financial flexibility of the merged firms in a context of accelerating international market integration. We find that the percentage of cash payment in acquisitions is positively associated with family voting rights, but we highlight that family wedge is negatively associated with cash payment, which indicates the important role of control-enhancing mechanisms. Dilution risk is crucial at an intermediate level of control, since this relationship is nonlinear. Moreover, we show that both unused debt capacity and the increase in debt capacity are used by family firms to finance the relevant deals, but that these firms become overleveraged after merging, losing some financial flexibility in exchange for equity control purposes.
Houssam Bouzgarrou; Patrick Navatte. Family Firms and the Choice of Payment Method in Domestic and International Acquisitions. Management international 2014, 18, 107 -124.
AMA StyleHoussam Bouzgarrou, Patrick Navatte. Family Firms and the Choice of Payment Method in Domestic and International Acquisitions. Management international. 2014; 18 (4):107-124.
Chicago/Turabian StyleHoussam Bouzgarrou; Patrick Navatte. 2014. "Family Firms and the Choice of Payment Method in Domestic and International Acquisitions." Management international 18, no. 4: 107-124.
Few studies distinguish between the method of payment and the means of financing in mergers and acquisitions. This paper aims to test if the financing means has incremental information beyond that contained in the payment means. To answer this question, we consider a sample of 265 deals undertaken by French listed acquires between January 1997 and December 2008. We decompose our sample according to the method of payment (cash, stock or mixed payment). The difference of means test shows that the impact of the three methods of payment is not statistically significant. In order to take the analysis further, we then broke our sample down according to both the method of payment and the means of financing (debt, equity or internal funds). The difference of means test, the event study methodology and OLS regressions reveal that takeovers financed by debt outperform those financed by other means of financing. These findings confirm the monitoring role of debt and support the pecking order preferences. Finally, our OLS regressions highlight that market reaction depends also on legal environment (common law vs. non common law) on acquisition characteristics such as deal size and on acquirer specific factors such as size and growth opportunities.
Houssam Bouzgarrou; Wael Louhichi. Does The Financing Decision Help To Understand Market Reaction Around Mergers And Acquisitions? Journal of Applied Business Research (JABR) 2014, 30, 465 -478.
AMA StyleHoussam Bouzgarrou, Wael Louhichi. Does The Financing Decision Help To Understand Market Reaction Around Mergers And Acquisitions? Journal of Applied Business Research (JABR). 2014; 30 (2):465-478.
Chicago/Turabian StyleHoussam Bouzgarrou; Wael Louhichi. 2014. "Does The Financing Decision Help To Understand Market Reaction Around Mergers And Acquisitions?" Journal of Applied Business Research (JABR) 30, no. 2: 465-478.
International audienceThis paper investigates the impact of family control on French acquirers' performance.We consider a sample of 239 acquisitions undertaken by French listed companies between January 1997 and December 2006. Comparing both, short-termand long-termperformance,we find that family-controlled firms outperformnon-family firms. We find that the relationship depends on the control level. The higher operating performance of family firms is statistically significant for an intermediate level of control. Around the announcement date, family firms with a high level of control outperform non-family firms. Using the calendar time approach, we find that long-term stock performance of family firms is positive and statistically significant. Robustness tests showthat our findings seem to not be driven by the endogeneity problem. Finally, we find that family wedge, due to the use of the pyramidal structure and the double voting rules, has no statistical significant effect
Houssam Bouzgarrou; Patrick Navatte. Ownership structure and acquirers performance: Family vs. non-family firms. International Review of Financial Analysis 2013, 27, 123 -134.
AMA StyleHoussam Bouzgarrou, Patrick Navatte. Ownership structure and acquirers performance: Family vs. non-family firms. International Review of Financial Analysis. 2013; 27 ():123-134.
Chicago/Turabian StyleHoussam Bouzgarrou; Patrick Navatte. 2013. "Ownership structure and acquirers performance: Family vs. non-family firms." International Review of Financial Analysis 27, no. : 123-134.
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.