Volatility Transmission Between Dow Jones Stock Index And Emerging Islamic Stock Index: Case Of Subprime Financial Crises

In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the transmission of volatility between the Dow Jones stock index and the Dow Jones emerging Islamic stock indiex. In this study we have divided the period into three, periods, before, during and after this crisis to demonstrate the resilience of the Islamic market index in response to the global financial crisis. Another aim of this study is to provide a new guide line for investors in emerging stock market before making investment decisions. The data are daily, going from 02/01/2005 until 31/12/2012. To measure the transmission we used bivariate BEKK-GARCH and DCC-GARCH model. The result shows that there is a transmission mainly during the crisis period which means that the crisis affects all the financial assets whether Islamic or not. The same result also shows the preference to invest in both Islamic and classical stock indexes since they are less risky

The long run Phillips curve and the role of downward nominal wage rigidity in Tunisia

The long run Phillips curve has been a controversial topic for many economists such as Friedman (1968) and Lucas (1972) among others since the 70's. Many new studies concerning the impact of downward nominal wage resistance hypothesis on the long run Phillips curve have enriched the empirical literature. However, the essential idea of this study is to examine the evidence of this hypothesis and its impact on the long run Phillips curve in Tunisia. Relying on annual data covering the period 1962-2004, we estimate two models of the Phillips curve: one is standard and the other with downward nominal wage rigidity in which we are inspired by the works of Akerlof, Dickens and Perry (1996). We adopt two estimation methods: the Ordinary Least Square and the Non Linear Least Square. Our results suggest a possibility of a long run unemployment inflation trade off incorporating the downward nominal wage rigidity hypothesis.

Les réseaux de neurones un outil de sélection de variables : Le cas des facteurs de risque de la maladie du cancer du sein

Ce papier utilise les réseaux de neurones avec un algorithme incrémental comme outil de sélection des facteurs de risques les plus pertinents dans la maladie du cancer du sein. Les résultats témoignent de la pertinence de l’approche neuronale avec un algorithme incrémentale dans ce domaine de recherche. A partir d’un échantillon de 248 patientes atteintes par cette maladie, il nous a été possible de déterminer la combinaison optimale des facteurs permettant d’atteindre une bonne performance prédictive du type de tumeur maligne et bénigne

Exploring the Relationship between Democracy, Corruption and Economic Growth in MENA countries

The objective of this paper is to estimate an econometric model for analyzing the interrelationship among democracy, corruption and economic growth in 12 MENA countries by using simultaneous-equation models over the period 1998–2011. Our empirical results show that there is bi-directional causal relationship between democracy and economic growth, as well as corruption and economic growth, and there is unidirectional causal relationship running from democracy to corruption for the region as a whole

Volatility transmission between Dow Jones Stock Index and Emerging Bond Index

In this paper, we use a bivariate GARCH model to estimate simultaneously of the mean and the conditional variance between the Dow Jones stock index and some emerging bond indices. We used the DCC-GARCH model to graphically demonstrate the peaks of the volatility transmission. We examined this transmission using daily returns between July, 30, 2009 and January, 18, 2011 extracted from Datastream. Our results demonstrate that there is a significant transmission of shocks and volatility between the Dow Jones stock index and bond indices of the emerging countries. The results also confirm the idea that the crisis was transmitted from the United States to the emerging countries due to foreign investment made in these countries

Explanatory Factors of X-Efficiency In The Tunisian Banks: A Stochastic Frontier Approach

The Tunisian banks currently operate in a very competitive environment. Long-term viability of this sector depends on its degree of efficiency. Therefore a study relating to the determinants of X-Efficiency in Tunisian banks is of major interest. For that purpose, we made recourse to an extension of the stochastic frontier approach called " Improved SFA " which assumes a parameter of truncation specific to each bank. The empirical results reveal differences in efficiency pronounced according to the size and the structure of property of the banks. The average efficiency of the small and average sizes banks is significantly more significant than that of large banks. Moreover, the public banks are relatively more efficient than the private banks. Thereafter, we analyze the internal determinants of the level of the efficiency of the Tunisian banks. Within this framework, three results deserve to be underlined. Firstly, the improvement of the level of the efficiency of the Tunisian banks is related to the managerial capacity rather than with the size of the banks. Moreover, preponderance of the activity of credit, compared to other outputs represents a source of efficiency. Secondly, there is a negative relation between the ratio equity on total asset and the efficiency of banks, which seems to indicate that those are too committed in risk activities. Thirdly, the share of the non performants loans represents a source of inefficiency, insofar as it cost of a bank increases with these types of loans, especially for the banks of large sizes.X-Efficiency, Stochastic Frontier Approach" SFA ", Trade banks, Translog Model, internal determinants

Volatility Transmission between Bond and Stock Markets: Case of Emerging Financial Markets

This paper attempts to investigate the transmission of market volatility between the emerging stock and bond markets. To examine this relation between the bond and stock market, we use the BEKK GARCH model; a decomposition approach of the multivariate GARCH (1, 1) model. The outcome of this study displays a significant relation between bond and stock index and the incidence of the interest rate in this transmission. Besides, there is a transmission of volatility between the bond and stock index demonstrated by the DCC GARCH graph.&nbsp

Bank credit risk : evidence from Tunisia using Bayesian networks

In this article, a problem of measurement of credit risk in bank is studied. The approach suggested to solve it uses a Bayesian networks. After the data-gathering characterizing of the customers requiring of the loans, this approach consists initially with the samples collected, then the setting in works about it of various network architectures and combinations of functions of activation and training and comparison between the results got and the results of the current methods used. To address this problem we will try to create a graph that will be used to develop our credit scoring using Bayesian networks as a method. After, we will bring out the variables that affect the credit worthiness of the beneficiaries of credit. Therefore this article will be divided so the first part is the theoretical side of the key variables that affect the rate of reimbursement and the second part a description of the variables, the research methodology and the main results. The findings of this paper serve to provide an effective decision support system for banks to detect and alleviate the rate of bad borrowers through the use of a Bayesian Network model. This paper contributes to the existing literature on customers’ default payment and risk associated to allocating loans.peer-reviewe

Volatility transmission between Dow Jones stock index and emerging Islamic stock index : case of subprime financial crises / Amir Saadaouia and Younes Boujelbene

In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the transmission of volatility between the Dow Jones stock index and the Dow Jones emerging Islamic stock indiex. In this study we have divided the period into three, periods, before, during and after this crisis to demonstrate the resilience of the Islamic market index in response to the global financial crisis. Another aim of this study is to provide a new guide line for investors in emerging stock market before making investment decisions. The data are daily, going from 02/01/2005 until 31/12/2012. To measure the transmission we used bivariate BEKK-GARCH and DCC-GARCH model. The result shows that there is a transmission mainly during the crisis period which means that the crisis affects all the financial assets whether Islamic or not. The same result also shows the preference to invest in both Islamic and classical stock indexes since they are less risky. Keywords: Volatility transmission, DJ Index, Islamic DJ Emerging Index, Subprime crisis

Risk of refunding default in micro-finance institution by Bayesian networks : case of Tunisia

The objective of this paper is twofold: measuring credit of institution microstructure and studying Enda inter-arab Tunisia by bayesian networks. After the data gathering characterizing of the customers requiring of the micro loans, this approach consists initially with the samples collected, then the setting in works about it of various network architectures and combinations of functions of activation and training and comparison between the results got and the results of the current methods used. To address this problem we will try to create a graph that will be used to develop our credit scoring using Bayesian networks as a method. After, we will bring out the variables that affect the credit worthiness of the beneficiaries of microcredit. Therefore this article will be divided so the first part is the theoretical side of the key variables that affect the rate of reimbursement and the second part a description of the variables, the research methodology and the main results.peer-reviewe