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Khaled Guesmi

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Professor of Finance
 

IPAG Business School
 

184 Boulevard Saint-Germain, 75006 Paris, France
                                       

Email:Khaled.guesmi@ipag.fr


Homepage:http://economix.fr/fr/membres/index.php?id=277

______________________________________________

Associate Researcher in Finance


EconomiX (UMR CNRS 7235)

University Paris West La Défense

200 avenue de la République 92001 Nanterre Cedex

 

EDUCATION

  • PhD. Finance, University of Paris West La Défense, 2011- Thesis title: Dynamics of Emerging Stock Markets Integration. Very Honorable with Jury's Congratulations.
  • MSc in Macroeconomics and quantitative analysis, University of Paris West La Défense, 2005
  • Graduate studies University of Paris 1 Panthéon-Sorbonne  - Money and Finance, 2004
  • Graduate studies University of Tunis – FSEG - Finance, 2002

PROFESSIONAL EXPERIENCE

·      Apr. 2012 – present: Professor of Finance IPAG Business School

·      Sept. 2012 – present: Associate Researcher – EconomiX (UMR CNRS 7235) University Paris West La Défense

·      Sept. 2007 – Dec. 2011: Lecturer of Economics Finance, University Paris West

·      Sept. 2007 – Sept 2008: Financial Analyst in Caisse de Dépôts et Consignation, department of risk control                   

·      Sept. 2005 – Aug. 2007: Lecturer of Economics & Finance, University Paris West  

·      Sept. 2003 – Sept. 2006: Research Manager in UNESCO, Paris

·      Jan. 2001-Sept. 2003: Quality controller in General Electric Money Bank, Paris

Other positions and fellowships

  • Associate Researcher Economic Research Forum, Foreign Non-Governmental Organization, Egypt 
  • Member, Organizing Committee: International Symposium on Energy and Finance Issues, March 2013-2014, Paris, France
  • Member, Organizing Committee: Innovations sociétales et entrepreuriales, Gouvernance territoriale autour de la Méditerranée: , Nice, July, 2012-2013, France
  • Member, Organizing Committee: Paris Financial Management Conference, December 2013-2014, Paris, France
  • Member, Organizing Committee: 1st Vietnam International Conference in Finance, 5-6 June 2014, Hanoi, Vietnam
  • Member, Organizing Committee of the Department of Culture and Information, UNESCO, Paris (2003-2009)

Research areas 

  • International Finance

  • Energy Finance and Economics
  • Emerging and developed stock markets
  • Stock markets integration versus segmentation
  • Portfolio diversification
  • Analysis of Financial Markets

Referee positions

Journal of banking and Finance, Economics Bulletin, Journal of Energy Resources Technology, Economic Modelling, Applied Economics, Journal of Applied Business Research, International Economics, Macroeconomic Dynamics, Revue Economique, Quantitative Finance, Journal of Accounting and Taxation, Empirical Economics... 

Publications

  1.  Return and volatility transmission between oil prices and Oil-exporting and Oil-importing Countries Economic Modelling » (en collaboration avec Salma Fattoum),Economic Modelling, vol. 38, pp. 305-310, 2014.
  2. « Motivations et enjeux de l’essaimage dans les grands groupes français » (en collaboration avec Salma Fattoum et Sophie Vallet), La Revue des Sciences de Gestion, 2014 (à paraître).
  3. « Integration versus Segmentation in Middle East North Africa Equity market: Time Variations and Currency Risk » (en collaboration avec Jean-Yves Moisseron et Frederic Teulon), Journal of International Financial Markets, Institutions and Money, vol. 28, pp. 204-212, 2014.
  4. « International CAPM and Regional Integration Factors: Evidence from Some European Emerging Countries » (en collaboration avec Duc Khuong Nguyen), Applied Economics, vol. 46, n°11, pp. 1279-1290, 2014.
  5. « Oil price and financial markets in the main OPEC countries » (en collaboration avecAnna Creti et Zied Ftiti), Energy Studies Review, vol. 20, n°3, pp. 18-35, 2014.
  6. « Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis » (en collaboration avec Anna Creti et Zied Ftiti), Energy Policy, vol. 73, pp. 245-258, 2014.
  7. « Commodity Price Correlation And Time Varying Hedge Ratios » (en collaboration avec Amine Lahiani), Journal of Applied Business Research, vol. 30, n°4, pp. 1053-1062, 2014.
  8. « Regional Stock Market Integration of Singapore: A Multivariate Analysis » (en collaboration avec Selim Mankai et Frederic Teulon), Economic Modelling, 2014 (à paraître).
  9. « Stock Market Integration and Risk Premium: Empirical Evidence for Emerging Economies of South Asia » (en collaboration avec Ilyes Abid et Olfa Kaabia), Economic Modelling, vol. 37, pp. 408-416, 2014.
  10. « Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis » (en collaboration avec Amel Belanes, Zied Ftiti et Aviral Tiwari),Computational Economics, 2014 (à paraître).
  11. « The determinants of regional stock market integration in Middle East: A Conditional ICAPM Approach » (en collaboration avec Frederic Teulon), International Economics, vol. 137, pp. 22-31, 2014.
  12. « The Evolution of Risk premium as a measure for intra-Regional Equity Market Integration » (en collaboration avec Ahmed Taneem Muzaffar et Frederic Teulon),International Review of Financial Analysis, 2014 (à paraître).
  13. « The Relationship between Oil Price and OECD Stock Markets: A Multivariate Approach» (en collaboration avec Salma Fattoum), Economics Bulletin, vol. 34, n°1, pp. 510-519, 2014.
  14. « Does Bayesian Shrinkage Help to Better Reflect What Happened During the Subprime Crisis? » (en collaboration avec Ilyes Abid et Olfa Kaabia), Economic Modelling, vol. 31, pp. 423-432, 2013.
  15. « Further evidence on the determinants of regional stock market integration in Latin America » (en collaboration avec Nguyen Duc et Frederic Teulon), European Journal of Comparative Economics, vol. 10, n°3, pp. 297-313, 2013.
  16. « Greece’s stock market integration into Southeast Europe » (en collaboration avecIlyes Abid et Zied Ftiti), Journal of Economic Integration, vol. 28, n°4, pp. 375-392, 2013.
  17. « Jump Dynamics And Volatility Components For OECD Stock Returns » (en collaboration avec Farhan Akbar, Walid Chkili et Irfan Akbar Kazi), Journal of Applied Business Research, vol. 29, n°3, pp. 777-888, 2013.
  18. « On the Determinants of Equity International Risk Premium: Are Emerging Zones Differents? » (en collaboration avec Ilyes Abid, Mohamed El Hedi Arouri et Frederic Teulon), Economics Bulletin, vol. 33, n°1, pp. 597-611, 2013.
  19. « Integration In Middle East Stock Markets: Determinants, Effects And Evolutions » (en collaboration avec Mohamed El Hedi Arouri, Jean-Yves Moisseron et Frederic Teulon),Journal of Applied Business Research, vol. 29, n°5, pp. 1-16, 2013.
  20. « Characterizing South-East Asian Stock Market Integration through Time »,International Journal of Business, vol. 17, n°1, pp. 100-112, 2012.
  21. « "Measuring stock market volatility in oecd economy » (en collaboration avec Farhan Akbar et Irfan Akbar Kazi), Economics Bulletin, vol. 31, n°4, 2011.
  22. « How strong is the global integration of emerging market regions? An empirical assessment » (en collaboration avec Nguyen Duc), Economic Modelling, vol. 28, n°6, pp. 2517-2527, 2011.
  23. « Time varying regional integration in emerging stock market », Economics Bulletin, vol. 31, n°2, pp. 1082-1094, 2011.
  24. « What Drives the Regional Integration of Emerging Stock Markets? », Economics Bulletin, vol. 31, n°3, pp. 2603-2619, 2011.
  25. « L’intégration des marchés émergents : une analyse régionale » (en collaboration avec Nguyen Duc), Economie Appliquée, vol. 64, n°2, pp. 143-180, 2011.

Chapters in edited books

  • “Management Applications in Excel Visual Basic” (Sabine Bruaux), in Les Contraintes Temporelles: A Handbook, edited by Bruno-Laurent. Moschetto and Riva F, Economica, 2013.
  • Comovements and Volatility Spillovers Between Oil Prices and Stock Markets: Further Evidence for Oil-Exporting and Oil-Importing Countries”, in Emerging Markets and the Global Economy: A Handbook, edited by M. H Arouri, D. K. Nguyen and S. Boubakri, Elsevier, 2013.

     Professional Articles

  • Le patrimoine immatériel dans les pays d’Afrique du NordDocument de travail pour La Conférence Générale de l'Organisation des Nations Unies pour l'éducation, la Science et la Culture (UNESCO), Sept. 2007

      Working Papers

·      Khaled Guesmi & Frédéric Teulon, 2014. "The determinants of regional stock market integration in Middle East: A Conditional ICAPM Approach," Working Papers2014-214, Department of Research, Ipag Business School.

·      Frederic Teulon & Khaled Guesmi & Salma Fattoum, 2014. "Is there a difference between domestic and foreign risk premium? The case of China Stock Market,"Working Papers 2014-089, Department of Research, Ipag Business School.

·      Aymen Belgacem & Anna Creti & Khaled Guesmi & Amine Lahiani, 2014. "Volatility spillovers and macroeconomic announcements evidence from crude oil markets,"Working Papers 2014-050, Department of Research, Ipag Business School.

·      Salma Fattoum & Khaled Guesmi & Bruno-Laurent Moschetto, 2014. "The Evolution of Risk Premiums in Emerging Stock Markets: The Case of Latin America and Asia Region," Working Papers 2014-132, Department of Research, Ipag Business School.

·      Frederic Teulon & Zied Ftiti & Khaled Guesmi, 2014. "The crisis of the sovereign debts in the Eurozone: an overview," Working Papers 2014-168, Department of Research, Ipag Business School.

·      Khaled Guesmi & Frédéric Teulon, 2014. "Determinants of Foreign Direct Investments in the South Asian Association for Regional Cooperation," Working Papers2014-213, Department of Research, Ipag Business School.

·      Khaled Guesmi & Frederic Teulon & Amine Lahiani, 2014. "Australia’s integration into the ASEAN- 5 Region," Working Papers 2014-207, Department of Research, Ipag Business School.

·      Khaled Guesmi & Salma Fattoum, 2014. "Measuring contagion effects between crude oil and OECD stock markets," Working Papers 2014-090, Department of Research, Ipag Business School.

·      Khaled Guesmi & Duc Khuong Nguyen, 2014. "L’intégration financière des marchés d’actions émergents : une analyse au niveau régional," Working Papers 2014-220, Department of Research, Ipag Business School.

·      Khaled Guesmi & Frédéric Teulon, 2014. "Equity Market Integration and Currency Risk: Empirical Evidence for Indonesia," Working Papers 2014-096, Department of Research, Ipag Business School.

·      Anna Creti & Zied Ftiti & Khaled Guesmi, 2014. "Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis," Working Papers 2014-121, Department of Research, Ipag Business School.

·      Anna Creti & Khaled Guesmi & Ilyes Abid, 2014. "Conditional Correlations and Volatility Spillovers between Oil Price and OECD Stock index: a Multivariate Analysis,"Working Papers 2014-065, Department of Research, Ipag Business School.

·      Khaled Guesmi & Duc Khuong Nguyen, 2014. "L’intégration intra-régionale des marchés boursiers de l’Europe du sudest : une analyse multivariée," Working Papers2014-219, Department of Research, Ipag Business School.

·      Khaled Guesmi & Saoussen Jebri & Abdelkarim Jabri & Frédéric Teulon, 2014. "Are hedge funds uncorrelated with financial markets? An empirical assessment,"Working Papers 2014-103, Department of Research, Ipag Business School.

·      Zied Ftiti & Khaled Guesmi & Frédéric Teulon, 2014. "Oil Shocks and Economic Growth in OPEC countries," Working Papers 2014-064, Department of Research, Ipag Business School.

·      Zied Ftiti & Duc Khuong Nguyen & Khaled Guesmi & Frédéric Teulon, 2014. "Modelling Inflation Shifts and Persistence in Tunisia: Perspective from an Evolutionary spectral approach," Working Papers 2014-124, Department of Research, Ipag Business School.

·      Sophie Vallet & Salma Fattoum & Khaled Guesmi, 2014. "Motivations et enjeux de l’essaimage dans les grands groupes français," Working Papers 2014-205, Department of Research, Ipag Business School.

·      Amine Lahiani & Khaled Guesmi, 2014. "Commodity Price Correlation and Time varying Hedge Ratios," Working Papers 2014-142, Department of Research, Ipag Business School.

·      Anna Créti & Zied Ftiti & Khaleb Guesmi, 2013. "Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries," Working Papers hal-00822070, HAL.

·      Khaled Guesmi & Frédéric Teulon & Zied Ftiti, 2013. "Sudden Changes in Volatility in European Stock Markets," Working Papers 2013-032, Department of Research, Ipag Business School.

·      Khaled Guesmi & Frédéric Teulon, 2013. "Regional Equity Risk Premium Convergence: The case of Japan," Working Papers 2013-006, Department of Research, Ipag Business School.

·      Khaled Guesmi & Duc Khuong Nguyen, 2013. "Regional integration of stock markets in Southeast Europe," Working Papers 2013-022, Department of Research, Ipag Business School.

·      Khaled Guesmi & Frédéric Teulon, 2013. "Regional Stock Market Integration in Singapore: A Multivariate Analysis," Working Papers 2013-038, Department of Research, Ipag Business School.

·      Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012. "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," EconomiX Working Papers 2012-46, University of Paris West - Nanterre la Défense, EconomiX.

·       Kazi, Irfan Akbar & Guesmi, Khaled & Kaabia, Olfa, 2011. "Contagion effect of financial crisis on OECD stock markets," Economics Discussion Papers 2011-15, Kiel Institute for the World Economy.

·      Khaled Guesmi & Duc Khuong Nguyen, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," EconomiX Working Papers 2011-9, University of Paris West - Nanterre la Défense, EconomiX.

·      Khaled Guesmi, 2009. "Évaluation de la prime de risque de change dans un contexte régional : une analyse multi-variée du MEDAFI," EconomiX Working Papers2009-45, University of Paris West - Nanterre la Défense, EconomiX.

  

   Conferences

  • « Contagion Effects on OECD Equity Markets » (en collaboration avec Ilyes Abid et Nguyen Duc) Proceedings of the 1st Vietnam International Conference in Finance , Hanoi, 5-6 June, 2014 http://vicif.sciencesconf.org/.
  • « Contagion Effects on OECD Equity Markets » (en collaboration avec Ilyes Abid et Nguyen Duc) Actes de la conférence 5th International Research Meeting in Business and Management, Nice, 7-8 Juillet, 2014 http://ipag-irm.sciencesconf.org/.
  • « Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries » (en collaboration avec Anna Creti et Zied Ftiti) Proceedings of the 1st International Symposium on Finance and Energy Issues , Paris, 1er Mars, 2013 http://economix.fr/fr/activites/colloques/?id=166.
  • « Oil Shocks and Economic Growth in OPEC countries » (en collaboration avec Zied Ftiti et Frederic Teulon) Proceedings of the 4ème Journée - Innovation, entrepreneuriat et gouvernance territoriale autour de la Méditerranée, Nice, 5 Juillet, 2013 http://ipag-irm.sciencesconf.org.
  • « Regional integration of stock markets in Southeast Europe » (en collaboration avec Duc Khuong Nguyen) Proceedings of the 7th International Finance Conference (IFC7), Paris, 7-8 March, 2013 http://ifc7.sciencesconf.org/.
  • « Does Bayesian Shrinkage Help to Better Reflect What Happened During the Subprime Crisis? » (en collaboration avec Ilyes Abid et Olfa Kaabia) Proceedings of the CEE Annual Conference, Istanbul, 17-18 December , 2012 http://www.cee.boun.edu.tr/index.php/2012-cee-annual-conference.
  • « Stock Market Liberalization. Integration and Risk in Emerging Economies of Middle East – An ICAPM Approach » (en collaboration avec Mohamed El Hedi Arouri) Actes de la conférence 3rd Conference, Innovations sociétales et entrepreneuriales, Gouvernance territoriale autour de la Méditerranée, Nice, July, 2012.
  • « Contagion effect on Financial Crisis on OCDE Stock Markets » (en collaboration avec Olfa Kaabia et Irfan Akbar Kazi) Proceedings of the International conference on Applied Financial Economics, Samos Island Greece, 30 JUIN, 2011.
  • « How strong is the global integration of emerging market regions? An empirical assessment» Proceedings of the 9th INFINITI Conference on International Finance , Dublin, 13-14 June, 2011.
  • « Évaluation de la prime de risque de change dans un contexte regional » Proceedings of the 1st International Symposium in Computational Economics and Finance, Sousse, February, 25-27, 2010, 2010 http://www.iscef.com.
  • « Evaluation de la prime de risque de change dans un contexte régional: une analyse multivariée du MEDAFI » Proceedings of the Développements récents de l’économétrie appliquée à la finance, Nanterre, 26 Novembre, 2009.
  • « Intégration régionale de marchés boursiers émergents : évaluation du prix de risque dans le MEDAFI » Proceedings of the Conférence Internationale de l’Association Française de Finance, AFFI 2009, Brest, May 13-14-15, 2009
  • http://www.affi2009-brest.com.
  • « Le processus de la dynamique d'intégration des marchés boursiers » Proceedings of the5th International Finance Conference IFC5, Hammamet, March 12-13-14, 2009 http://www.ifc5.com/.
  • « Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis? » (en collaboration avec Ilyes Abid et Olfa Kaabia), 11ème Journée d'Économétrie Développements Récents de l'Econométrie Appliquée à la Finance, Paris, 21 Novembre, 2012 http://economix.fr/fr/activites/colloques/?id=154.
  • « Contagion Effect of Financial Crisis on OECD Stock Markets » (en collaboration avec Olfa Kaabia et Irfan Akbar Kazi), Journée d’Econométrie : développements récents de l’économétrie appliquée à la finance, Paris, 23 novembre , 2011.
  • « How strong is the global integration of emerging market regions? » (en collaboration avec Nguyen Duc), Journée d’Econométrie : développements récents de l’économétrie appliquée à la finance, Paris, 23 novembre 2011, 2011.
  • « On the Time Varying Relationship between Oil Price and G7 Equity index: a Multivariate Approach » (en collaboration avec Ilyes Abid et Gazi Sullaheddin), 2nd International Symposium on Finance and Energy Issues, Paris, 28 Mars, 2014.       

DATABASE

      

 

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