Aymen Ben Rejeb

The relationship between financial liberalization and stock market volatility: the mediating role of financial crises

This paper aims at comparing the effects of financial liberalization on emerging stock markets’ volatility at normal times to the ones in periods of financial crises. To this purpose, a treatment effects model for 13 emerging economies is estimated over January 1986 to December 2008. Three types of financial crises are considered, i.e. banking, currency and twin crises. It has been found that financial liberalization does not lead to excessive volatility in emerging markets and that volatility decreases gradually along with financial liberalization effect on the probability of crises. Moreover, volatility reduction has been found to depend necessarily on several internal characteristics.

Financial crises and emerging stock markets volatility: do internal factors matter?

This paper has two central aims. The first one is to deal empirically with the effects of financial crises on emerging stock markets volatility. The second objective consists in testing if the level of stock market development affects this relationship. For this purpose, we estimate a static panel data model for a sample of nine emerging economies from January 1990 to December 2006. We consider three types of financial crises, i.e. banking, currency and twin crises. Our empirical results suggest that the onset of financial crises strongly increased stock market volatility. In addition, we find that the biggest impact is exerted by twin crises. When dealing with the second objective, our results show that the market size and the liquidity level can attenuate the effects of banking and currency crises, but not the one associated to twin crises. Nevertheless, the degree of stock market integration seems to reduce the effects of banking, currency and twin crises on stock market volatility.This paper has two central aims. The first one is to deal empirically with the effects of financial crises on emerging stock markets volatility. The second objective consists in testing if the level of stock market development affects this relationship. For this purpose, we estimate a static panel data model for a sample of nine emerging economies from January 1990 to December 2006. We consider three types of financial crises, i.e. banking, currency and twin crises. Our empirical results suggest that the onset of financial crises strongly increased stock market volatility. In addition, we find that the biggest impact is exerted by twin crises. When dealing with the second objective, our results show that the market size and the liquidity level can attenuate the effects of banking and currency crises, but not the one associated to twin crises. Nevertheless, the degree of stock market integration seems to reduce the effects of banking, currency and twin crises on stock market volatility.

Oil, gold, US dollar and stock market interdependencies: a global analytical insight

This paper takes a global perspective in examining relationships among oil, gold, US dollar and stock prices, using simultaneous equations system to identify direct and indirect linkages for the period spanning from January 1995 to October 2015. Results show significant interactions between the all parties. Indeed, we found negative relation between oil and stock prices but oil price is significantly and positively affected by stock markets, gold and USD. Oil price is also affected by oil future prices and by Chinese oil gross imports. Gold price is concerned by changes in oil, USD and stock market prices but slightly depend on US oil imports and corporate default premium. The US dollar is negatively affected by stock market and significantly by oil and gold prices and also by US consumer price index. Indirect effects always exist which confirm the presence of global interdependencies and involve the financialization process of commodity markets.

Return Dynamics and Volatility Spillovers Between FOREX and Stock Markets in MENA Countries: What to Remember for Portfolio Choice?

Abstract This article investigates the interdependence of stock-forex markets in MENA (Middle East and North Africa) countries for the February 26, 1999 to June 30, 2014 period. The analysis has been performed through three competing models: the VAR-CCC-GARCH model of Bollerslev [1990]; the VAR-BEKK-GARCH model of Engle and Kroner [1995]; and the VAR-DCC-GARCH model of Engle [2002]. Our findings confirm that both markets are interdependent and corroborate the stock and flow oriented approaches. We also find that, comparing to optimal weights, hedge ratios are typically low, denoting that hedging efficiency is quite good. Our estimation of hedging efficiency suggests that incorporating foreign exchange in a full stock, unhedged portfolio increases the risk-adjusted return while reducing its variance. (We note here that the forex market is overweighted for both portfolio allocations and hedging strategies.) Moreover, this conclusion holds for all countries in all three models.

Financial liberalization and emerging stock market efficiency: an empirical analysis of structural changes

This article aims to determine the impact of financial liberalization on the informational efficiency in emerging stock markets. For this purpose, we estimate a time-varying parameter model combined with structural change technique for 13 emerging economies from January 1986 to December 2008. Empirical results show a greater efficiency in recent years. They also show that the structural breaks detected in the emerging market predictability indices coincide with the official liberalization dates, and with their alternative events. These findings corroborate those of the related literature regarding how emerging markets react to the adoption of the financial liberalization process.