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Publications
Working Papers

The Impact of Major Oil, Financial and Uncertainty Factors on Sovereign CDS Spreads: Evidence from GCC, Other Oil-Exporting Countries and Regional Markets

Nader Naifar, Syed Jawad Hussain Shahzad and Shawkat Hammoudeh

The aim of this paper is to investigate the impact of oil price volatility and major financial and uncertainty factors on sovereign credit default swap (CDS) spreads in the case ... read more


Publications
Working Papers

Capital Raising in the Arab World

Juan Jose Cortina Lorente, Soha Ismail and Sergio L. Schmukler

This paper provides a first documentation of how firms in Arab countries use equity, corporate bond, and syndicated loan markets to obtain finance. We compile a large dataset at the ... read more


Publications
Working Papers

Firm Financing and Growth in the Arab Region

Juan Jose Cortina Lorente, Soha Ismail and Sergio L. Schmukler

This paper provides a first analysis of the extent to which firms in the Arab region use capital markets to obtain financing and grow. It addresses two questions: First, how ... read more


Publications
Working Papers

The Impact of Institutional Blockholders on Voluntary Disclosure and Transparency: The Case of Egypt

Doaa El-Diftar, Eleri Jones and Mohamed Moustafa Soliman

Disclosure and transparency are crucial elements in the improvement of overall corporate governance.  Disclosure is a very important mean of communication between management and outside investors.  This study investigates how ... read more


Publications
Working Papers

Modelling Conditional Volatility and Downside Risk for Istanbul Stock Exchange

Amira Akl Ahmed and Doaa Akl Ahmed

We investigated the impact of alternative variance equation specifications and different densities on the forecasting of one-day-ahead value-at-risk for the Istanbul stock market. The three employed models are symmetric GARCH(1,1) ... read more


Publications
Working Papers

Momentum in Emerging Markets: Investigation of Overconfidence and Cognitive BIAS Factors

Hamadi Matoussi and Faten Zoghlami

ABSTRACT The purpose of this paper is to check if investors in emerging markets, especially in the Tunisian stock market, have the same psychological biases as those documented in developed markets. To achieve ... read more


Publications
Working Papers

The Effects of Bank Regulations, Competition and Financial Reforms on MENA Banks’ Profitability

Samy Bennaceur and Mohammed Omran

Abstract In this paper, we examine the influence of bank regulations, concentration, financial and institutional development on commercial bank margin and profitability across a broad menu of Middle East and North Africa (MENA) ... read more


Publications
Working Papers

Intertemporal Test of Beta Stationarity Performance of Islamic Sector Structured Mutual Funds

Mahmoud Haddad, Ghassem Homaifar, Said Elfakahani and Hikmat Ahmedov

Abstract The purpose of this research paper is to examine social Islamic mutual funds’ financial performance. Since Islamic mutual funds have only been around for the past two decades, most of the research ... read more


Publications
Working Papers

Shift-Contagion in Middle East and North Africa Stock Markets

Wajih Khallouli

Abstract This paper is an empirical study that seeks to determine whether any of the Middle East and North Africa (MENA) stock markets were vulnerable to financial contagion in the wake of the ... read more


Publications
Policy Research Reports

Some Aspects of Liquidity In Islamic Banks (ISBs): A Case Study of Selected Banks in The MENA Region

Badr-El-Din Ibrahim and K.C. Vijaykumar

In the international scene, there is greater focus on financial stability. Various research organizations and financial institutions like the IMF, Basel Committee, European Bank and Asian Development Bank as well ... read more


Publications
Policy Research Reports

Forecasting Asset Returns in some MENA Countries: Impact on Privatization

Ahmed Abutaleb and Fatma Lajeri

The road to a free market economy entails the selling of publicly owned enterprises. It has long been recognized that publicly owned companies suffer from poor management, poor efficiency, and ... read more


Publications
Working Papers

Privatization and Financial Market Development: A Comparison Between MENA Countries and Other Regions

Samy Bennaceur, Narjess Boubakri and Samir Ghazouani

Abstract This paper examines the impact of privatization on stock market size and liquidity in a multinational sample of 31 emerging markets. We find that the intensity of privatization and the use of ... read more


Publications
Working Papers

Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African (MENA) Stock Markets

Jung-Suk Yu and Kabir Hassan

Abstract Despite recent extreme fluctuations of Middle East and North African (MENA) stock markets, we do not find strong evidence of rational speculative bubbles from the perspective of both domestic and U.S-based investors. ... read more


Publications
Working Papers

Oil Price Risk Exposure and the Cross-section of Stock Returns: The Case of Net Exporting Countries

Riza Demirer, Shrikant Jategaonkar and Ahmed Khalifa

The main goal of this paper is to examine whether oil price risk is systematically priced in the cross-section of stock returns in net oil-exporting countries even after controlling for market and ... read more


Publications
Working Papers

An Investigation of the Month-Of-The-Year Effect for the Sudanese Stock Market

Suliman Zakaria

This paper investigates the month-of-the-year effect for the Sudanese stock market by using daily closing values of the market index over the period January 2, 2008, to December 30, 2014. ... read more


Publications
Working Papers

Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate

Walid Mensi, Shawkat Hammoudeh and Seong-Min Yoon

This paper investigates asymmetric volatility spillovers, forecasts and portfolio diversification between the USD/euro exchange market and each of the major spot petroleum markets of WTI, Europe Brent, kerosene, gasoline and ... read more