Abdelkader Derbali

Do Energy Consumption and Economic Growth Lead to Environmental Degradation? Evidence from Asian Economies

Abstract The main purpose of this study is to investigate empirically the impact of energy consumption and economic growth on the environmental degradation as measured by CO2 emissions. We utilize the cointegration test, the fully modified OLS, and the panel causality to examine the causality between environmental pollution and economic aggregates from a panel data of eight Asian countries during the period 1991–2013. We find that the cointegration tests confirm long run relationship among environmental degradation and energy consumption and economic growth along with financial development, trade openness, capital stocks, and urbanization as control variables. In addition, FMOLS results confirm that economic growth and energy consumption have a positive and significant impact on environmental degradation. Besides, panel causality through VECM verifies that bidirectional causal connection is found between energy consumption and economic growth and environmental degradation.

Measuring systemic risk of Greek banks: New approach by using the epidemic model “SEIR”

Abstract In the last decade of the financial crisis of 2007, the international financial system appeared to be on the brink of a major systemic crisis which leads to a failure of a systemically important European bank. This type of scenario highlights the need for identifying and measuring of the contribution of banks to systemic risk in the financial system. Then, the aim of this paper is to propose, for the first time, a new approach to measure systemic risk in the financial institutions. This approach is based on the epidemic model methodology. Then, we use the SEIR model with four compartments: Susceptible, Exposed, Infected, and Removed. We apply this model for a sample of 18 Greek banks listed in the Athens Exchange over the period from 2 January 2006 to 31 December 2012. Based on the empirical results, we find the existence of 12 times of default transmission during the study period and the transmission of default coincides with the number of Greek banks that have declared failure and then leaving the Athens Exchange. Also, we remark that the continuation of aid and recovery plans granted by international and national regulatory authorities did enough to save Greek banks.

Day-of-the-week effect on the Tunisian stock market return and volatility

Abstract In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and TGARCH (1,1)) to examine the presence of daily anomalies in the TUNINDEX returns and volatilities during the period from 31 December 1997 to 07 April 2014. The empirical results of GARCH (1,1), EGARCH (1,1), and TGARCH (1,1) model indicate the existence of a significance and positive effect for Thursdays and for the return at (t − 1) on the return and volatility of TUNINDEX in a threshold of 1%. Additionally, we find the presence of a significance and negative effect for Tuesday on the TUNINDEX return and volatility. Also, we can show the persistence of volatility in the case of Tunisian stock market index.

Corporate governance and corporate social responsibility

This paper seeks to explore the relationship between corporate governance and corporate social responsibility for a sample of 65 French companies listed on the SBF 120 index for the period 2010–2014. The result of our estimate shows that the performance of corporate social responsibility is positively influenced by the size of the board, the presence of institutional investors, and negatively by the proportion held by the majority shareholder. These results suggest that firms may improve social performance by adopting best practices of corporate governance that mitigate unethical behaviour.

Ponzi schemes and California pyramids Ponzi schemes and Home-Stake

In this paper, we investigate the cases of accounting and business fraud known as Ponzi schemes. These cases studies have been done several decades ago by Professor Tony Tinker. But, notwithstanding Tinkers warning, some corporations and some corporate executives still believe, they are above the law and are using accounting to mislead shareholders and mismanage the corporate finances. The case of Bernard Madoff, a CPA, is an example.

Do ownership structure and quality of financial information affect the cost of debt of Tunisian listing firms

The main objective of this paper is to investigate empirically the relationship between the boards with other internal governance mechanisms such as ownership structure, quality of financial information and the cost of debt. To do so, we use a sample of 28 Tunisian listing firms during the period from 2007-2015. The empirical results show that the ownership structure and the quality of financial information have an important role in determining the characteristics of the cost of debt. The results also indicate that the cost of debt is related positively with factors from the boards of directors, to the size of the listing firms and negatively to the institutional participation on the capital of firm.

A dynamic conditional correlation between commodities and the Islamic stock market

Following the outbreak of the financial crisis and falling prices in the financial markets, we noticed the existence of several recent studies on the relationships between commodity and stock markets. More specifically, our paper is most closely related to those documenting the importance of the links between Islamic capital markets and commodities. To this end, we focus on the dynamics of the correlations between commodities and Islamic indexes. From a methodological viewpoint, we start this paper by examining the approaches of EC-GARCH and DCC-GARCH, which allow us to assess, respectively, the causality and how the correlations between commodity and stock returns evolve over time. To test our models empirically, we build a daily data set, consisting of commodity and stock prices. The sample period used in this paper is May 19, 2010 – February 14, 2014. Our empirical evidence supports the view that volatilities of commodity returns are strongly correlated to those of Islamic indexes. In fact, correlations between commodity and Islamic stock markets are time-varying and highly volatile. Our paper contributes importantly to the empirical literature dealing with the links between commodity and stock markets and the literature supporting the financialization of commodity markets.

Global systemic risk ranking of Chinese financial institutions

Abstract The purpose of this paper is to analyze the systemic risk of the Chinese financial institutions following the financial crisis of 2007. We estimate the systemic risk of a sample composed by 70 Chinese financial institutions through the period beginning on 02 January 2008 to 30 June 2015. We utilize the SRISK as a measure of systemic risk. This measure aims to capture financial institutions activity stress and its potential to become systemic. The proposed measures capture not only individual financial institutions vulnerability, but also the stress dependency structure between them and the Chinese financial system. In addition, these measures can be quite useful for identifying systematically important banks. Furthermore, the empirical results show that the level of systemic risk supported by the Chinese financial institutions is very elevated. The contribution of each institution in the risk of the financial system in the China is very important. The decomposition of systemic risk indicates that the institution has the higher level of debt, contributes positively and extremely to systemic risk.

Athen's game of chicken or the conditional dependence between the Greek banks

In this paper, we investigate empirically evidence to examine the conditional dependence between the Grecian banks. Then, we use, first, the methodology GARCH-DCC based on the dynamic process of dependence and, second, we use the methodology GARCH-DECO based on the constant process of dependence. The two methodologies DCC and DECO proposed, respectively, by Engle (2002), and Engle and Kelly (2009) are improved from a sample composed by 18 Grecian banks listed in the Athens Exchange over the period 2nd January 2006 from 31st December 2012. The results show the effect of time varying variance and dynamic correlations on the assets returns of all banks listed in the stock market of Greece. These results show that asset returns of banks are highly correlated positively, especially, after the outbreak of the financial crisis of 2007.

The Impact of Full Convertibility of the Dinar on the Macro- Economic Situation in Tunisia

Convertibility is an important factor in international trade where instruments valued in different currencies will be exchanged. Convertibility can be either total manner or a partial manner. However, whatever the type of convertibility, there will be advantages and disadvantages to the economy of a country of which has made a convertibility of its national currency. Convertibility was studied by means of the causal relationship between the exchange rate and the level of domestic inflation. Our research is devoted to the study of the impact of full convertibility on the macro-economic situation in Tunisia. In this study a VAR model is used to test the dynamic relationship between the nominal effective exchange rate and the inflation rate. The present study is based on monthly data for a period of 13 years (2000-2012). Three endogenous variables and three exogenous variables are used. The results indicated that the existence of a bidirectional relationship between the nominal effective exchange rate and the inflation rate. This relationship reflects the impact of the convertibility of the Dinar on the macro-economic situation in Tunisia.