Kamel Naoui

• Professor of finance
• Dean at Ecole Supérieure de Commerce de Tunis

This paper documents the effect of herd behaviour on the US S%P100 and US DJIA stock market's stocks volatility. We investigated the presence and the change of herding behaviour in the US S%P100 and US DJIA stock markets during January 2000 to July 2012. Results provide strong and coherent evidence on the occurrence of herding at only daily frequen...

We investigate the asymmetric relationship between returns and implied volatility for 20 developed and emerging international markets. In particular we examine how the sign and size of return innovations affect the expectations of daily changes in volatility. Our empirical findings indicate that the conditional contemporaneous return-volatility rel...

This paper aims to investigate herding behavior and its impact on volatility under uncertainty. We apply a cross-sectional absolute deviation approach as well as Quantile Regression methods to capture the herding behavior in daily and monthly frequencies in US markets over several time-periods including the global financial crisis. In a novel attem...

We examine whether and how terrorist attacks influence the British and the French stock markets through investor sentiment. Using a quantile regression approach, our results indicate that terrorist attacks have adverse effects on the British and the French stock market returns under extreme market conditions. In terms of volatility, surprisingly, w...

We test the time‐varying stock return responses to both expected and unexpected market illiquidity. Using a Markov‐switching methodology on Tunisian market data, we find that expected and unexpected market illiquidity effects on Tunisian small‐cap returns are always negative and stable. But for large caps, unexpected market illiquidity (illiquidity...

Has the mean-variance framework become obsolete? In this paper, we replace traditional variance–covariance methods of portfolio optimisation with relative Tsallis entropy and mutual information measures. Its goal is to enhance risk management and diversification in complicated finance ecosystems. We utilize the S&P 500 and Bitwise 10 cryptocurrency...

Using aggregate data from DJIA since 1987, this paper attempts to address two potential co-directionalbehaviors of investors: Herding and positive feedback trading. These behavioral patterns bear interestingimplications for market price as they may lead to excess volatility and mispricing. To empirically test for herdingbehavior, we employ two econ...

The strong volatility that characterized financial markets all over the word, these last years, leaves to think the existence of a disparity between stock prices and their fundamental values, which gives us the presumption of a disconnection between the real sphere and the financial one (Binswanger ( 1999, 2000, 2004 )). The purpose of this paper,...

This paper uses a Dynamic Conditional Correlation Model to examine financial contagion phenomenon following the American subprime crisis. This model, which is developed by Engle (2001, 2002), Engle and Sheppard (2001) and Tse and Tsui (2002) as an original specification of multivariate models’ conditional correlations, allows tracking correlation e...

The aim of this paper is to test the presence of rational intrinsic bubbles in the S&P 500 index. To this effect, we used two econometric techniques. The first technique applies stationarity and cointegration tests to real prices and dividends series. The second technique consists in directly estimating intrinsic bubbles coefficients. Studying a sa...

Nowadays, the environmental dimension is an important factor in the managerial decisions of polluting firms. These firms are subject to regulations which are characterized by the adoption of norms and standards to ensure a minimally non-polluted environment. These norms have incited firms to adopt environmental management systems. In line with thes...

Cet article examine l’efficience des marchés de matières premières agricoles en utilisant la mesure ajustée d’inefficience des marchés (AMIM). À travers divers outils statistiques tels que les régressions MCO, Logit, et Tobit, ainsi que les tests GSADF et les tests des résidus récursifs, nous explorons la capacité de l’hypothèse du marché adaptatif...

Purpose-This paper examines the time-varying efficiency of nine major Middle East and North Africa (MENA) stock markets namely Egypt, Bahrain, UAE, Jordan, Saudi Arabia, Oman, Qatar, Morocco and Tunisia during times of COVID-19 pandemic outbreak and vaccines. Design/methodology/approach-The authors use two econometric approaches: (1) autocorrelatio...

Objectif : Cet article vise à appliquer le stress test microprudentiel inversé sur le risque de crédit de la Banque des Financements des Petites et Moyennes Entreprises (BFPME). Méthodologie : Elle repose sur des estimations économétriques effectuées sur un échantillon trimestriel de sept (07) variables sur la période 2006-2021, en intégrant l'app...

The aim of this paper is to detect the determinants of transfer pricing in the Tunisian economic context. This study uses secondary data from financial statments of listed firms on the Tunis Stock Exchange (BVMT), as well as the notes published in the official bulletins and annual reports provided by the Tunisian Financial Market Council (CMF).The...

Objectif : Cet article vise à appliquer le stress test micro-prudentiel inversé sur le risque de crédit de la Banque des Financements des Petites et Moyennes Entreprises (BFPME). Méthodologie : Elle repose sur des estimations économétriques effectuées sur un échantillon trimestriel de sept (07) variables sur la période 2006-2021, en intégrant l'app...

This chapter investigates the safe haven property and hedge of gold especially during GFC and COVID-19 for G7 stock markets by using DCC-GARCH and wavelet coherence analysis. The findings reveal that the dynamic conditional correlation between gold and each G7 stock market decreased significantly during extreme market conditions, especially during...

The global financial crisis highlighted the crucial role of stress tests in evaluating a bank’s resilience to severe economic shocks. Accordingly, the purpose of the study was to examine the contribution of stress tests to credit risk in terms of hedging banking opacity and improving financial resistance against negative shocks in MENA countries, o...

This paper examines time-varying market efficiency in the agricultural commodity futures markets using an advanced technique known as the Adjusted Market Inefficiency Measure (AMIM). Employing a range of statistical tools, including OLS, Logit, and Tobit regressions, as well as GSADF and recursive residuals tests, we explore whether the Adaptive Ma...

This paper examines the impact of macroeconomic factors, microstructure factors, uncertainty indexes, the investor sentiment, and global shock factors on the dynamic efficiency of G7 stock markets. We use a non-Bayesian Generalized least squares-based time-varying model by Ito et al. (Appl Econ 46(23):2744–2754, 2014; Appl Econ 48(7):621–635, 2016)...

Détails de la journée AQUER-QUARG 2023 du 1er Novembre 2023 sur : 🔝❗CHANGEMENTS CLIMATIQUES ET CRISE DE L’EAU : ENJEUX ET POLITIQUES D’ATTÉNUATION POUR LA TUNISIE🌅💧 Programme: ------------------- ✅8h30-9h : Inscription ✅9h-9h30 : Ouverture 📍Prof. Slim Ben Youssef, Université de la Manouba, Président de AQuER 📍Prof. Jouhaina Gherib, Présidente de l...

The purpose of this study is to review the empirical work applied to market efficiency, portfolio selection and asset valuation, focusing on the presentation of the comprehensive theoretical framework of Information Entropy Theory (IET). In addition, we examine how entropy addresses the shortcomings of traditional models for valuing financial asset...

Due to the complexity of the variable annuities products, we rely on numerical resolution to fairly price the guaranteed minimum withdrawal benefit (GMWB) rider. This policy, known as an embedded put option in the life insurance contracts, gives the contract owner the possibility to withdraw a fixed amount for a fixed period. We assume a single pre...

In this paper, we investigate empirically the time–frequency co-movement among the recent COVID-19 epidemic, the financial stock market indices in USA (S&P500), crude oil price (WTI), and cryptocurrency markets (Bitcoin) using both continuous wavelet transform and wavelet-based approach. In this study, we use continuous wavelet transforms (CWT) and...

This study investigates an important approach to assess the impact of the COVID-19 confirmed cases surprises and creation pronouncements used for the correlation among returns and volatilities of energy commodities and Bitcoin. To evaluate empirically the unanticipated factor of the COVID-19 confirmed cases surprises in China and in USA, we use the...

This study is aiming on investigating the relationship between the US stock, commodity, and virtual markets. Using a vector autoregressive model, we study the impulse response signal over the period going from December 02, 2019, to May 28, 2021, catching the time of the first appearance of the coronavirus pandemic. Our results outcomes that the com...

The 1st Conference of the Association for Quantitative Economic Research "AQuER-Conf'22" aims to provide a forum for researchers, academicians and scientists to exchange ideas related to quantitative methods during recent times. The conference aims to provide a common platform to discuss researches within the scope of the conference. Authors are in...

The objective of this research is to investigate the relationship between illiquidity and stock prices on the Tunisian stock exchange. While previous researches tended to focus on one form of illiquidity to examine this relationship, our study unifies three forms of illiquidity at the same time. Indeed, we simultaneously consider illiquidity as sys...

This study presents an important view to the predictive capacity of COVID-19 for the correlation between Chinese stock market and 9 international stock market in Asia, Europe, and North America regions. In this paper, we try to investigate the spillover impacts of China’s stock market on the selected stock markets using an econometric methodology b...

Purpose The purpose of this paper is to examine empirically the impact of COVID-19 pandemic news in USA and in China on the dynamic conditional correlation between Bitcoin and Gold. Design/methodology/approach This paper offers a crucial viewpoint to the predictive capacity of COVID-19 surprises and production pronouncements for the dynamic condit...

The purpose of this paper is to investigate the risk-return tradeoff allowing for the presence of noise traders, i.e., a subset of investors who either base their trading strategies on sentiment or hold unjustified optimistic/pessimistic views regarding market prospects. We measure noise traders’ sentiment relying on two sets of indices, namely the...

Les divergences non discrétionnaires entre le résultat comptable et le résultat fiscal vers un "Effet Impôt" : cas des entreprises Tunisiennes. The non discretionary book to tax differences to an "Effect Tax": case of Tunisian companies. Résumé : La différence entre le résultat comptable et le résultat fiscal persiste avec une divergence entre les...

We are happy to present our special issue on: "Accounting, auditing, finance, and accountability in period of COFID-19 crisis" in the Journal of Governance and Regulation. Guest Editors Dr. Abdelkader Derbali, derbaliabdelkader@outlook.fr Dr. Kamel Naoui, kamelnaoui@gmail.com Dr. Neila Boulila, neila_boulila@yahoo.fr EXPECTED DATE OF ISSUE PUBLICA...

This article investigates the multivariate dependence between oil prices, equity markets, and exchange rates in certain oil-importing and oil-exporting countries by applying the vine copulas approach which offers a greater flexibility and permits the modelling of complex dependency patterns for high-dimensional distributions. Our results show that...

This study examines the impact of the tax reform on corporate effective tax rate (ETR) and firm-specifics in Tunisia for the post tax reform period (after the fiscal year 2014). The corporate effective tax rate is a component by major firm-specific characteristics, especially firm size, capital structure (leverage), inventory intensity, capital int...

This paper investigates the effect of managerial optimism on firm value. Using Stochastic Frontier Analysis approach, we prove that managerial optimism can largely explain corporate inefficiency among NYSE firms between 1999-2011. We also find evidence that suggests that ownership structure and corporate governance can mitigate the effect of man...

This paper investigates the impact of takeovers on the short- and long-run stock market performance of a sample of 87 mergers and acquisitions transactions undertaken between 2008–2012 by French financial and real estate industry. For the short horizon event studies, document short-run non-significant abnormal returns of acquiring companies. Furthe...

This paper investigates the impact of takeovers on the short- and long-run stock market performance of a sample of 87 mergers and acquisitions transactions undertaken between 2008–2012 by French financial and real estate industry. For the short horizon event studies, document short-run non-significant abnormal returns of acquiring companies. Furthe...

This paper examines the contribution of stress tests to reducing banking opacity and ensuring the financial resilience of liquidity risk in the face of adverse shocks. To this end, we survey a sample of conventional and Islamic banks operating in Middle East and North Africa (MENA) countries and observed between 2005 and 2015. The scope of this stu...

The aim of our paper is to study the importance of the bank’s role in corporate governance. For this purpose, we investigate motivations behind banks’ shareholding of French SMEs and their impact on firm performance. A sample of 108 SMEs listed on the French mid and small stock market over the period 2008–2014 is empirically tested using Tobit and...

We propose an alternative approach to capture the asymmetric risk-return relationship in financial markets using affective cognitive analysis. Implied volatility is employed as a robust gauge of risk perception. Markets exhibit a dramatic increase in fear sentiment when extreme upper-quantile losses hit investors while conditional positive returns...

This paper uses recently developed sequential ADF tests to distinguish between rational speculative bubbles and explosive fundamentals in the US Stock market. The sequential ADF tests are shown to be more sensitive than the conventional ADF test. Results also suggest the more refined GSADF test may deliver more consistent results compared to the SA...

This paper investigates the variables driving the demand for life insurance in Tunisia based on annual macroeconomic data spanning the period from 1990 to 2014 and collected from the Swiss Reinsurance company and the World Bank's databases. We provide a characterization of the Tunisian life insurance sector and a comparison to some emerging markets...

The aim of this chapter is to assess the real exchange rate misalignments. A smooth transition autoregressive model (STAR) is used for Tunisian exchange market. This model allows us to see whether these differences are temporary or persistent over the period 1975-2012. We start by defining the exchange rate's fundamental determinants to provide the...

This paper examines the relationship between oil prices and the US dollar exchange rate using a copula approach and the DCC-MGARCH model. In order to identify a possible impact and interdependence between oil prices and exchange rates during the global financial crisis, we divided the study period into sub-periods, pre-crisis, crisis and post-crisi...

This paper examines the effect of overconfidence behaviour on dynamic market volatility in global financial markets. Using daily data from 27 countries spanning over 2000-2012, we find that the overconfidence is more pronounced for the advanced markets relatively to the emerging ones. With the exception of some Asian and Latin American markets over...

This paper complements several recent studies on the contagion in the euro area after the historic tensions on the debt market. We consider the popular approach of dynamic conditional correlation (DCC) as introduced by Engle (2002) for sovereign CDS spreads associated with selected euro area countries. Additionally, we extend prior results by expla...

The aim of this paper is to examine current evolution of information efficiency of the Tunindex over the Tunisian financial market. The conducted empirical study uses a new technique borrowed from physical statistics suggested by Shannon (1948) 1. We also used the symbolic time series analysis to detect dynamics of the processes under investigation...

The purpose of this article is to provide a survey of the presence of speculative bubbles. The empirical study uses a new technique borrowed from statistical physics suggested by Pincus (1991). We use approximate entropy to test the presence of bubbles in the Tunisian and French markets. To this end, weekly data of primary stock markets of the coun...

The purpose of this paper is to identify the contribution of behavioural finance to explain excessive volatility of stock prices, volatility described by Shiller [2000] of irrational exuberance. The empirical study focuses on two samples of companies listed on Tunis stock exchange; the first sample includes 12 firms, observed over the period 1997-2...

Our purpose in this paper is to examine financial contagion using the DCC GARCH (1, 1) technique and a correlation test. Our sample includes stock returns of 10 emerging markets from 1 January 2005 to 01 July 2010. The DCC GARCH (1, 1) results indicate a significant conditional correlation between emerging markets returns (Argentina, Brazil, Korea,...

This paper examines the investment-cash-flow sensitivity in a sample of 150 American firms over the period 1995-2004. Investment-cash-flow sensitivities can be attributed either to overinvestment resulting from the abuse of managerial discretion (Jensen [1986] and Stulz [1990]), or to underinvestment due to information problems (Myers et Majluf [19...

Dans leurs études portant sur les déterminants de la fourchette des prix sur le marché américain, Atkins et Dyle [1997] et Glosten et Harris [1988] utilisent la volatilité des rendements comme variable proxy du risque de sélection adverse auquel le teneur de marché est exposé. Ils admettent la significativité de la relation entre la fourchette de p...