79 citations · 94 across the 6 of their papers we have counts for
6 papers
La prime de risque dans un cadre international : le risque de change est-il apprécié ?
Mohamed El Hedi Arouri
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions…
Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
Mohamed El Hedi Arouri
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process…
Stock market integration in the Latin American markets: further evidence from nonlinear modeling
Fredj Jawadi, Nicolas Million, Mohamed El Hedi Arouri
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques…
Structural Breaks in the Mexico's Integration into the World Stock Market
Mohamed El Hedi Arouri, Jamel Jouini
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration usin…
A la Recherche des Facteurs Déterminants de l'Intégration Internationale des Marchés Boursiers : une Analyse sur Données de Panel
Mohamed El Hedi Arouri
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration.…
On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
Mohamed El Hedi Arouri, Julien Fouquau
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susc…