The purpose of this paper is to shed light on the impact of the rising terrorist threat on the performance of a small capitalization market – the Tunisian stock market-. Using an event study methodology as well as conditional volatility, we investigate the impact of recent terrorist attacks in Tunisia on the general index TUNINDEX and sector indices. Our main findings are as follows. First, we find that terrorist attacks negatively affect the Tunisian stock market. However, the decline – considerable in certain cases- is short-lived: the market recovers from terrorist shocks in one day. Second, Oil and Gas, Insurance and Telecommunications, are the most affected sectors. Third, different terrorist tactics have varied effects on the stock market that leads us to conclude that attack type, weapon type, target type, and severity of the attack may determine the market’s reactions.

The purpose of this paper was to comprehend what are the characteristics that allow companies to be more resilient to cope with the crisis caused by the COVID-19 pandemic. More specifically, we explore the relationship between families’ involvement in corporate ownership and leadership and financial performance. Using a sample of 226 French-listed firms during the period from January 24 to April 27, 2020, we found that firms controlled by family shareholders showed higher stock market performance than their non-family in the pandemic period. This finding is stronger in the case of the first family firms’ generation where the founder still holds the position of executive chef, president or general manager. Contrary to our expectations, family firms perform better when led by a professional chief executive officer (CEO). Overall, our results add to previous research by illustrating how family ties influence a firm’s response to external shocks.

The purpose of this paper is to identify and study the most relevant factors that explain the debt-equity choices of firms in emerging markets. Using data from 4,735 non-financial listed firms from 18 emerging markets over the "special" period 1990-2007, results indicate that asset tangibility, firm size, private credit to GDP, and the creditor protection index are associated with higher leverage ratios, while profitability, growth opportunities, the shareholder protection index, stock market size, the legality index, GDP growth rate, and inflation rate are associated with lower leverage ratios. Using the panel data approach, results also indicate that the tangibility of assets and the shareholder rights index are the most prominent determinants of capital structure. Furthermore, the research suggests that the debt-equity choice decisions of firms differ according to geographical origin, legal origin, and financial system development. Differences also exist at the sectoral level. Results finally show that the Asian financial crisis had effects on capital structure determinants. We detect significant upward trends in four different leverage ratios before and during the eruption of the financial and banking crisis. After the crisis, asset tangibility, profitability, and the creditor rights index influence the firm’s capital structure determinants differently.

In this study, we examine the relevance of the coexistence of structural change and long memory to model and forecast the volatility of Tunisian stock returns and to deliver a more accurate measure of risk along the lines of VaR and expected shortfall. To this end, we propose three time-series models that incorporate long-term dependence on the level and volatility of returns. In addition, we introduce structural change points using the iterated cumulative sums of squares (ICSS) and the modified ICSS algorithms, synonymous with stock market turbulence, into the conditional variance equations of the models studied. We choose a conditional innovation density function other than the normal distribution, that is, a Student distribution, to account for excess kurtosis. The empirical results show that the inclusion of structural breakpoints in the conditional variance equation and Dual LM provides better short- and long-term predictability. Within such a framework, the ICSS-ARFIMA-HYGARCH model with Student’s t distribution was able to account for the long-term dependence in the level and volatility of TUNINDEX index returns, excess kurtosis, and structural changes, delivering an accurate estimator of VaR and expected shortfall.