Fredj Jawadi
Refereed Journal Articles
« Are Islamic finance innovations enough for investors to escape from a financial downturn? Further evidence from portfolio simulations » (joint with Mohamed El Hedi Arouri, Hachmi BEN AMEUR, Nabila Jawadi and Wael Louhichi), Applied Economics, 2013 (forthcoming).
« Threshold Linkages between Volatility and Trading Volume: Evidence from Developed and Emerging Markets » (joint with Loredana Ureche-Rangau), Studies in Nonlinear Dynamics and Econometrics, 2013 (forthcoming).
« What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis? » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), Journal of Macroeconomics, 2013 (forthcoming).
« Arbitrage Costs and Nonlinear Stock Price Adjustment in the G7 Countries » (joint with Georges Prat), Applied Economics, vol. 44, n°12, pp. 1561-1582, 2012.
« Are hedge fund clones attractive financial products for investors » (joint with Sabrina Khanniche), Applied Economics Letters, vol. 19, n°8, pp. 739-743, 2012.
« Introduction to Time-Varying Modeling with Macroeconomic and Financial Data », Macroeconomic Dynamics, vol. 16, n°2, pp. 1-9, 2012.
« Modelling Hedge Fund Exposure to Risk Factors » (joint with Sabrina Khanniche), Economic Modelling, vol. 29, n°4, pp. 1003-1018, 2012.
« Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), Economic Modelling, vol. 29, n°3, pp. 884-892, 2012.
« Do on/off time series models reproduce emerging stock market comovements? » (joint with Mohamed El Hedi Arouri), Economics Bulletin, vol. 31, n°1, pp. 960-968, 2011.
« Modeling Nonlinear and Heterogeneous Dynamic Linkages in International Monetary Markets » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), Macroeconomic Dynamics, 2011 (forthcoming).
« Nonlinear Mean Reversion in Oil and Stock Markets » (joint with Mondher Bellalah), Review of Accounting and Finance, vol. 10, n°3, pp. 316-326, 2011.
« Nonlinear Stock Market Integration in Emerging Countries » (joint with Mohamed El Hedi Arouri), International Journal of Economics and Finance, vol. 2, n°5, pp. 79-90, 2011.
« Nonlinearity, Cyclicity and Persistence in Consumption and Income Relationships: Research in Honor of Melvin J. Hinich » (joint with Patrick Léoni), Macroeconomic Dynamics, vol. 16, n°3, 2011.
« European Microfinance Institutions and Information and Communication Technologies: An Empirical Qualitative Investigation in the French Context » (joint with Virginie Dechamp and Nabila Jawadi), Journal of Electronic Commerce in Organizations, vol. 8, n°3, pp. 38-48, 2010.
« Global Financial Crisis, Stock Markets and Efficiency of Central Banks Interventions » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), Applied Financial Economics, vol. 20, n°8, pp. 669-680, 2010.
« Nonlinear Linkages between Oil and Stock Markets in Developed and Emerging Countries » (joint with Mohamed El Hedi Arouri and Mondher Bellalah), International Journal of Business, vol. 15, n°1, pp. 19-31, 2010.
« On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM » (joint with Mohamed El Hedi Arouri), Economics Bulletin, vol. 30, n°2, pp. 1032-1043, 2010.
« Short and long-term links between oil prices and stock markets in Europe » (joint with Mohamed El Hedi Arouri), Economics Bulletin, vol. 30, n°1, pp. 817-818, 2010.
« Stock Market Integration in the EURO Area: Segmentation or Linear Modelling Misspecification? » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), International Journal of Business, vol. 15, n°3, pp. 307-317, 2010.
« The current international financial crisis in ten questions: some lessons » (joint with Mohamed El Hedi Arouri), Applied Economics Letters, 2010 (forthcoming).
« Threshold Stock Market Integration Dynamics » (joint with Mohamed El Hedi Arouri), International Journal of Economics, vol. 4, n°2, 2010.
« Essay in Dividend Modelling and Forecasting : Does Nonlinearity Help ? », Applied Financial Economics, vol. 19, n°16, pp. 1329-1343, 2009.
« Financial Crises, Bank Losses, Risk Management and Audit: What Happened? », Applied Economics Letters, vol. 17, n°10, pp. 1019-1022, 2009.
« International Stock Return Linkages: Evidence from Latin American Markets » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), European Journal of Economics, Finance and Administrative Sciences, vol. 11, pp. 57-65, 2009.
« Nonlinear Cointegration Relationships between Non-Life Insurance Premium and Financial Markets » (joint with Catherine Bruneau and Nadia Sghaier), Journal of Risk and Insurance, vol. 76, n°3, pp. 753-783, 2009.
« Stock Market Integration in Mexico and Argentina: Are Short and Long-term Considerations Different? » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), Applied Economics Letters, vol. 17, n°15, pp. 1503-1507, 2009.
« Stock market integration in the Latin American markets: further evidence from nonlinear modeling » (joint with Mohamed El Hedi Arouri and Nicolas Million), Economics Bulletin, vol. 29, n°1, pp. 162-168, 2009.
« Threshold Stock Price Adjustment », Advances in Econometrics, vol. 24, pp. 183-198, 2009.
« Are American and French Stock Markets Integrated? » (joint with Mohamed El Hedi Arouri), International Journal of Business and Finance Research, vol. 2, n°2, 2008.
« Does Nonlinear Econometrics Confirm the Macroeconomic Models of Consumption? », Economics Bulletin, vol. 5, n°17, pp. 1-11, 2008.
« Estimating the S&P Fundamental Value Using STAR Models », Global Journal of Business Research, vol. 1, n°2, 2008.
« Co-mouvements des marchés boursiers : intégration ou contagion ? » (joint with Mohamed El Hedi Arouri), Brussels Economic Review / Cahiers Economiques de Bruxelles, vol. 50, n°3, pp. 315-333, 2007.
« Coûts de transaction et dynamique non-linéaire des prix des actifs financiers » (joint with Slim Chaouachi), Euro-Mediterranean Economics and Finance Review, vol. 1, n°5, pp. 161-176, 2006.
« Dynamique d'ajustement à seuil des rentabilités boursières des pays G7 : Application des modèles STECM » (joint with Yosra Koubbaa), Euro-Mediterranean Economics and Finance Review, vol. 1, n°2, pp. 151-163, 2006.
Refereed Journal Articles (french)
« Sources d’inefficience et ajustement asymétrique des cours boursiers » (joint with Mohamed El Hedi Arouri), Revue Sciences de Gestion, 2013 (forthcoming).
« Evolution of the US Stock Market Risk Premium in Periods of Crisis » (joint with Mohamed El Hedi Arouri), Bankers, Markets & Investors (ex-Banque et Marchés), 2012 (forthcoming).
« La finance islamique est-elle à l'abri de la crise financière globalisée? », Revue Sciences de Gestion, n°255-256, 2012 (forthcoming).
« The Speculative Efficiency of the Aluminum Market: A Nonlinear Investigation » (joint with Mohamed El Hedi Arouri and Porsper Mouak), Economie Internationale, vol. 2, n°127, 2011.
« Efficiency and Threshold Stock Price Adjustment: The American Stock Market Case » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), Bankers, Markets & Investors (ex-Banque et Marchés), vol. 105, pp. 39-46, 2010.
« Impact de la crise sur le coût du capital : une comparaison internationale de l’évolution de la prime de risque » (joint with Mohamed El Hedi Arouri and Philippe Foulquier), Gestion 2000, vol. 6, pp. 51-64, 2009.
« Dynamique non-linéaire des marchés boursiers du G7 : Une application des modèles STAR » (joint with Yosra Koubbaa), Finance, vol. 28, n°1, pp. 29-74, 2007.
Books
« Intégration Internationale et Evaluation des Actifs Financiers » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), Hermès Science Publishing, Collection Finance, 259 pages, 2010.
« The Dynamics of Emerging Stock Markets: Empirical Assessments and Implications » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), Springer, 205 pages, 2010.
« Inefficience et dynamique des marchés financiers » (joint with Jean-Michel Sahut), L'Harmattan, 218 pages, 2009.
Book chapters
« Nonlinear Stock Market Links between Mexico and the World » (joint with Mohamed El Hedi Arouri), in International Symposia in Economic Theory and Econometrics : Nonlinear Modeling of Economic and Financial Time-Series, edited by William BARNETT and Fredj JAWADI, Emerald Publishing, 2011 (forthcoming).
« Oil Prices and Exchange Rates: Some New Evidence using Linear and Nonlinear Models » (joint with Mohamed El Hedi Arouri), in International Symposia in Economic Theory and Econometrics : Nonlinear Modeling of Economic and Financial Time-Series, edited by William BARNETT and Fredj JAWADI, Emerald Publishing, Winner of the 2010 Outstanding Paper Award from the Emerald Literati Network, 2011.
« Can Information and Communication Technologies Improve the Performance of Microfinance Programs? Further Evidence from Developing and Emerging Financial Markets » (joint with Nabila Jawadi and Ydriss Ziane), in Advanced Technologies for Microfinance, edited by Arvind Ashta, IGI Global, 2010 (forthcoming).
« Emerging Stock Markets and the Current Financial Crisis: Emergence of a New Puzzle » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), in Handbook of Financial Crises, edited by G.N Gregoriou, Chapman Hall / Francis and Taylor London, 2010 (forthcoming).
« Essay in Nonlinear Financial Integration Modeling: The Philippine Stock Market Case » (joint with Mohamed El Hedi Arouri), in Financial Econometrics Handbook, edited by G.N. Gregoriou and R. Pascalau (Eds.), Palgrave Macmillan , 2010.
« Nonlinear Cointegration and Nonlinear Error Correction Models: Theory and Empirical Applications for Oil and Stock Markets » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), in Financial Econometrics Handbook, edited by Chapman Hall / Francis and Taylor London United Kingdom, G.N. Gregoriou and R. Pascalau (Eds.), 2010 (forthcoming).
« Nonlinear Shift Contagion Modeling: Further Evidence from High Frequency Stock Data » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), in Financial Econometrics Handbook, edited by Chapman Hall / Francis and Taylor London United Kingdom, in G.N. Gregoriou and R. Pascalau (Eds.), coécrit avec W. Louhichi, 2010 (forthcoming).
« Technical Analysis in Turbulent Financial Markets: Does Nonlinearity Assist » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), in Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets, edited by G.N. Gregoriou, McGraw-Hill, USA, 2010 (forthcoming).
« Threshold Mean Reversion in Stock Prices », in RISK MANAGEMENT AND VALUE Valuation and Asset Pricing, edited by Jean Luc Prigent et al., World Scientific, World Scientific Studies in International Economics, 2008.
Edited collection of essays and guest-edited journal special issues
Edition of collective books
Edition (joint with William Barnett) of « Nonlinear Modeling of Economic and Financial Time-series », Emerald Group Publishing Limited , International Symposia in Economic Theory & Econometrics, 2011 (forthcoming).
Edition (joint with William Barnett, Makram Bellalah and Gabriel Talmain) of « International Journal of Economics and Finance », Canadian Center of Science and Education, ISSN 1916-9728, http://www.ccsenet.org/journal/index.php/ijef/in, 2010.
Journal Articles (Non-refereed)
« Informatique et innovation financière », Finance Grandes Ecoles, n°19, 2010.
Conferences
Conferences with proceedings
« Nonlinear Stock Price Adjustment in the G7 Countries » (joint with Georges Prat) Proceedings of the Conférence internationale de l'AFFI, Brest, 13-15 Mai, 2009.
« Nonlinear Stock Price Adjustment in the G7 Countries » (joint with Georges Prat) Proceedings of the 21th Australian conference in Banking and Finance, Sydney, December 16-18, 2008.
Conferences
« Arbitrage Costs and Nonlinear Adjsutment in the G7 Stock Markets » (joint with Georges Prat), First International Symposium in Computational Economics and Finance, Sousse (Tunisia), Feb 25-27, 2010
http://www.iscef.com.
« Equity Risk Premium and International Integration: Theory and Empirical Evidence » (joint with Mohamed El Hedi Arouri and Philippe Foulquier), 1st International Symposium in Computational Economics and Finance , Sousse, February, 25-27, 2010.
« Essays in Nonlinear Interest Rate Dynamic Modeling » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), 1st International Symposium in Computational Economics and Finance , Sousse, February, 25-27, 2010.
« Essays in Nonlinear Interest Rate Dynamic Modeling » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), 27èmes Journées d’Économie Monétaire et Bancaire , Bordeaux, 17 et 18 juin 2010, 2010.
« European Microfinance Institutions and Information and Communication Technologies: An Empirical Qualitative Investigation in the French Context » (joint with Virginie Dechamp and Nabila Jawadi), First International Symposium in Computational Economics and Finance, Sousse (Tunisia), Feb 25-27, 2010
http://www.iscef.com.
« Global Financial Crisis, Liquidity Pressure in Stock Markets and Efficiency of Central Bank Interventions » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), Journées de l’AFSE, Orléans, 3 et 4 Juin, 2010.
« Oil Prices and Exchange Rates » (joint with Mohamed El Hedi Arouri), 1st International Symposium in Computational Economics and Finance , Sousse, February, 25-27, 2010.
« The international financial crisis: questions for some lessons » (joint with Mohamed El Hedi Arouri and Nabila Jawadi), VIe COLLOQUE INTERNATIONAL Stratégies de développement : Quel chemin parcouru ? Quelles réponses face aux nouvelles contraintes Économiques et climatiques ?, Hammamet, 21-23 juin , 2010.
« Did Financial Crisis Increase Central Bank Synchronization » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), 68th International Atlantic Economic Conference, Boston, Massachusetts, USA, 8-11 October, 2009.
« Did the Current International Financial Crisis Increase Central Bank Synchronization? » (joint with Mohamed El Hedi Arouri and Duc Khuong Nguyen), Annual London Conference On “Money, Economy and Management”, Londres, 9-10 July, 2009.
« Stock Market Integration in Emerging Countries: Further Evidence from the Philippines and Mexico » (joint with Mohamed El Hedi Arouri), 2nd International Financial Research Forum, Paris, Mars, 2009.
« Stock Market Integration in the Latin American Markets: Further Evidence from Nonlinear Modeling. » (joint with Mohamed El Hedi Arouri and Nicolas Million), Oxford Business & Economics Conference, Oxford, 24-26 juin, 2009.
« Coûts de Transaction, Contagion, Mimétisme et Dynamiques Asymétriques des Cours Boursiers » (joint with Mohamed El Hedi Arouri), GDR Luxembourg, Luxembourg, 19 juin, 2008.
« Stock Market Integration in the Emerging countries » (joint with Mohamed El Hedi Arouri), 2nd Global Conference on Business and Finance, Costa-Rica, May, 28-31, 2008.
« Stock market integration in the Latin American markets: further evidence from nonlinear modeling » (joint with Mohamed El Hedi Arouri and Nicolas Million), Journée de l'Econométrie, Nanterre, Novembre, 2008.
« Essay in Dividend Modeling and Forecasting », 24èmes journées Internationales d’Economie Monétaire : Convergence et divergence en Europe (Monnaie, Banque et Finance), Rennes, June 14-15, 2007.
« Nonlinear Cointegration between Non Life Insurance Premium and Interest Rates » (joint with Catherine Bruneau and Nadia Sghaier), International Conference of Finance, IFC4,, Hammamet, March 15-17, 2007.
« Nonlinear Cointegration Relationships between Non Life Insurance Premiums and » (joint with Catherine Bruneau and Nadia Sghaier), The SCOR-Journal of Risk and Insurance Conference on, Paris, September 20-21, 2007.
« Nonlinear Stock Prices Dividends Forecasting », 13th International Conference Computing in Economics and Finance, Montréal, June 14-16, 2007.
« Prévisions non-linéaire des dividendes des indices boursiers », International Conference of Finance, IFC4, Hammamet, March 15-17 2007, 2007.
« Threshold Stock Prices Adjustment », International Conference : MEASUREMENT ERROR Econometrics and Practice, Birmingham, July 9-11, 2007.
« Threshold Stock Prices Adjustment », 56 ème congrès de l'AFSE, Paris, September 20-21, 2007.
« Ajustements non-linéaires des cours boursiers des pays du G 7 : Essai de modélisation », 55ème Congrés de l’AFSE, Paris, March 14-15, 2006.
« Modelling the Standard Poor's Fundamental Value Using STAR Models », Forecasting Financial Markets and Economic Decision-making, FindEcon 2005, Lodz, Institute of Econometrics and Statistics, University of Lodz, may 12-14, 2005.
« Nonlinear Adjustment toward Fundamental Value : the US Stock Market Case », 3rd International Finance Conference, IFC3, Hammamet, March 3-5, 2005.
« Ajustement non-linéaire vers le cours boursier d'équilibre : Estimation d'un modèle ESTAR », 84ème Colloque International de l’AEA (Association d’Econométrie Appliquée), Valeurs Boursières, Paris, April 1-2, 2004.
« Ajustements non linéaires vers la valeur fondamentale », Conférence Internationale de Finance, AFFI, Cergy-Pontoise, June 24-26, 2004.
« Modélisation non linéaire des rentabilités boursières », 1er Forum de JMF, Université de Paris Dauphine, Paris, 16-17 mars, 2004.
« Threshold Adjustment towards equilibrium Value », International Conference on Stochastic Finance, Lisbon, September 26-30, 2004.
Invited Lecture
« Moélisation STAR des séries de rentabilités boursières », Séminaire de Recherche de l'ESC Amiens, Amiens, 18 janvier, 2007.
« Ajustements non-linéaires des cours boursiers », Séminaire de recherche EconomiX, Nanterre, 20 Septembre, 2006.
« A New Estimate of Stock Market Fundamental Value », 2nd EIF Job Market Forum, ESCP-EAP, Paris, 06 avril, 2005.
« Une mesure non linéaire du dynamisme boursier des nouveaux et anciens pays de l'Union Européenne », Journée du Citoyen G.E.A, IUT de Reims, Reims, 08 février, 2005.
Working Papers
« Nonlinear Stock Price Adjustment in the G7 Countries » (joint with Georges Prat) Document de travail EconomiX, n°21, 2009.
« Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : Une note théorique » (joint with Slim Chaouachi) EconomiX WP, n°20, 2006.
« Modelling the Standard Poor's Fundamental Value Using STAR Models » MODEM WP, n°20, 2005.
« Une nouvelle estimation non linéaire de la valeur fondamentale des actions » MODEM WP, n°11, 2005.
« Fondements théoriques et manifestations empiriques de la non linéarité » MODEM WP, n°9, 2004.
« Une mesure non linéaire de l’ajustement des cours boursiers à l’équilibre : Estimation d’un modèle ESTECM » MODEM WP, n°10, 2004.