Articles de journaux |
Imane El Ouadghiri, Khaled Guesmi, Jonathan Peillex, Andreas Ziegler Public Attention to Environmental Issues and Stock Market Returns Article de journal Ecological Economics, 180 (106836), 2021. Résumé | Liens | BibTeX @article{Ouadghiri2021,
title = {Public Attention to Environmental Issues and Stock Market Returns},
author = {Imane El Ouadghiri, Khaled Guesmi, Jonathan Peillex, Andreas Ziegler},
url = {https://www.sciencedirect.com/science/article/pii/S0921800919315617},
doi = {10.1016/j.ecolecon.2020.106836},
year = {2021},
date = {2021-02-01},
journal = {Ecological Economics},
volume = {180},
number = {106836},
abstract = {This paper empirically examines the effect of public attention to climate change and pollution on the weekly returns on US sustainability stock indices (i.e. the DJSI US and the FTSE4Good USA Index) in comparison to their conventional parent indices (i.e. the S&P 500 Index and the FTSE USA). In addition to unexpected global climate-related natural weather disasters, we consider two complementary measures of continuous public attention to these environmental issues: (i) US media attention to climate change and pollution and (ii) the US Google Search Volume Index for these two keywords. Robust to several sensitivity analyses, our econometric analysis for the period from 2004 to 2018 reveals that public attention to environmental issues has a significantly positive (negative) effect on the returns on US sustainability (conventional) stock indices. A possible explanation of this result is that high public attention to environmental issues may drive traditionally sustainable investors, neosustainable, and opportunistic self-interested investors to favor stocks of sustainable firms. The insights from our empirical study are important for private and institutional investors as well as public policy.},
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This paper empirically examines the effect of public attention to climate change and pollution on the weekly returns on US sustainability stock indices (i.e. the DJSI US and the FTSE4Good USA Index) in comparison to their conventional parent indices (i.e. the S&P 500 Index and the FTSE USA). In addition to unexpected global climate-related natural weather disasters, we consider two complementary measures of continuous public attention to these environmental issues: (i) US media attention to climate change and pollution and (ii) the US Google Search Volume Index for these two keywords. Robust to several sensitivity analyses, our econometric analysis for the period from 2004 to 2018 reveals that public attention to environmental issues has a significantly positive (negative) effect on the returns on US sustainability (conventional) stock indices. A possible explanation of this result is that high public attention to environmental issues may drive traditionally sustainable investors, neosustainable, and opportunistic self-interested investors to favor stocks of sustainable firms. The insights from our empirical study are important for private and institutional investors as well as public policy. |
Jonathan Peillex, Imane El Ouadghiri, Mathieu Gomes, Jamil Jaballah Extreme heat and stock market activity Article de journal Ecological Economics, 179 (106810), 2021. Résumé | Liens | BibTeX @article{Peillex2021,
title = {Extreme heat and stock market activity},
author = {Jonathan Peillex, Imane El Ouadghiri, Mathieu Gomes, Jamil Jaballah},
url = {https://www.sciencedirect.com/science/article/pii/S092180092030015X},
doi = {10.1016/j.ecolecon.2020.106810},
year = {2021},
date = {2021-01-01},
journal = {Ecological Economics},
volume = {179},
number = {106810},
abstract = {We aim to advance our understanding of the adverse effects of extreme temperatures by examining the extent to which high temperatures affect stock market activity. We address this question by analyzing the trading volumes on the French stock market on days when the weather in Paris is excessively hot over the period 1995–2019. Our empirical analyses show that, on average, trading volumes fall significantly (between 4% and 10%) when maximum daily temperatures exceed 30 °C (86 °F). The observed negative association is remarkably robust to a battery of alternative analyses such as bin tests, event studies, and time-series regressions controlling for any seasonal effects and financial market conditions. From a theoretical perspective, this study contributes to the literature on behavioral finance by demonstrating the existence of a “hot weather” effect on financial markets. It also offers important managerial and public policy implications.},
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We aim to advance our understanding of the adverse effects of extreme temperatures by examining the extent to which high temperatures affect stock market activity. We address this question by analyzing the trading volumes on the French stock market on days when the weather in Paris is excessively hot over the period 1995–2019. Our empirical analyses show that, on average, trading volumes fall significantly (between 4% and 10%) when maximum daily temperatures exceed 30 °C (86 °F). The observed negative association is remarkably robust to a battery of alternative analyses such as bin tests, event studies, and time-series regressions controlling for any seasonal effects and financial market conditions. From a theoretical perspective, this study contributes to the literature on behavioral finance by demonstrating the existence of a “hot weather” effect on financial markets. It also offers important managerial and public policy implications. |
Imane El Ouadghiri, Jonathan Peillex Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français Article de journal Revue Economique, 71 , p. 584-621, 2020. Résumé | Liens | BibTeX @article{Ouadghiri2019,
title = {Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français},
author = {Imane El Ouadghiri, Jonathan Peillex},
url = {https://www.cairn.info/revue-economique-2020-5-page-841.htm?contenu=resume},
doi = {10.3917/reco.715.0841},
year = {2020},
date = {2020-01-01},
journal = {Revue Economique},
volume = {71},
pages = {584-621},
abstract = {@article{Peillex2019e,
title = {Attention des investisseurs institutionnels et liquidité des titres boursiers français},
author = {I. El Ouadghiri; J. Peillex},
year = {2019},
date = {2019-12-26},
journal = {Revue Economique},
abstract = {Cet article est le premier qui propose d’examiner l’influence journalière de l’Attention des Investisseurs Institutionnels (AII) sur le degré de liquidité boursière. Pour ce faire, un échantillon composé de 87 titres français de 2010 à 2018 est mobilisé. De manière originale, l’AII est estimée à partir du nombre de fois que les utilisateurs du terminal Bloomberg, qui sont pour la majorité des investisseurs institutionnels, réalisent des recherches sur un titre donné et lisent des articles d'actualité sur une entreprise spécifique. Les résultats empiriques indiquent que l’AII exerce un effet fortement positif sur le degré de liquidité des actions françaises. },
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@article{Peillex2019e,
title = {Attention des investisseurs institutionnels et liquidité des titres boursiers français},
author = {I. El Ouadghiri; J. Peillex},
year = {2019},
date = {2019-12-26},
journal = {Revue Economique},
abstract = {Cet article est le premier qui propose d’examiner l’influence journalière de l’Attention des Investisseurs Institutionnels (AII) sur le degré de liquidité boursière. Pour ce faire, un échantillon composé de 87 titres français de 2010 à 2018 est mobilisé. De manière originale, l’AII est estimée à partir du nombre de fois que les utilisateurs du terminal Bloomberg, qui sont pour la majorité des investisseurs institutionnels, réalisent des recherches sur un titre donné et lisent des articles d'actualité sur une entreprise spécifique. Les résultats empiriques indiquent que l’AII exerce un effet fortement positif sur le degré de liquidité des actions françaises. },
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pubstate = {forthcoming},
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Imane El Ouadghiri, Remzi Uctum Macroeconomic Expectations and Time Varying Heterogeneity: Evidence from Individual Survey Data Article de journal Applied Economics, 52 , p. 2443-2459, 2019. Résumé | Liens | BibTeX @article{Ouadghiri2019b,
title = {Macroeconomic Expectations and Time Varying Heterogeneity: Evidence from Individual Survey Data},
author = {Imane El Ouadghiri, Remzi Uctum},
url = {https://www.tandfonline.com/doi/full/10.1080/00036846.2019.1691713},
doi = {10.1080/00036846.2019.1691713},
year = {2019},
date = {2019-01-01},
journal = {Applied Economics},
volume = {52},
pages = {2443-2459},
abstract = {The goal of this paper is to investigate forecast heterogeneity and time variability
in the formation of expectations using disaggregated monthly survey data on macroeconomic
indicators provided by Bloomberg from June 1998 to August 2017. We show
that our panel of forecasters are not rational and are moderately heterogeneous and
thus confirm that previously well-established results on asset prices hold for macroeconomic
indicators. The estimation of our flexible hybrid forecast model – defined at
any time as a combination of the extrapolative, regressive, adaptive and interactive
heuristics – using the Bai and Perron (1998) methodology reveals a significant timedependence
in the structural model with some inertia in extrapolative and adaptive
profiles. Changes in the formation of expectations are triggered mostly by financial
shocks, and uncertainty is dealt with by using complex processes in which the fundamentalist
component overweighs chartist activity. Forecasters whose models combine
different relevant rules and display high temporal flexibility provide the most accurate
forecasts. Authorities can then stabilize the domestic markets by encouraging
fundamentalists’ forecasts through increased transparency policy.},
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pubstate = {published},
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The goal of this paper is to investigate forecast heterogeneity and time variability
in the formation of expectations using disaggregated monthly survey data on macroeconomic
indicators provided by Bloomberg from June 1998 to August 2017. We show
that our panel of forecasters are not rational and are moderately heterogeneous and
thus confirm that previously well-established results on asset prices hold for macroeconomic
indicators. The estimation of our flexible hybrid forecast model – defined at
any time as a combination of the extrapolative, regressive, adaptive and interactive
heuristics – using the Bai and Perron (1998) methodology reveals a significant timedependence
in the structural model with some inertia in extrapolative and adaptive
profiles. Changes in the formation of expectations are triggered mostly by financial
shocks, and uncertainty is dealt with by using complex processes in which the fundamentalist
component overweighs chartist activity. Forecasters whose models combine
different relevant rules and display high temporal flexibility provide the most accurate
forecasts. Authorities can then stabilize the domestic markets by encouraging
fundamentalists’ forecasts through increased transparency policy. |
Imane El Ouadghiri, Jonathan Peillex Public attention to “Islamic terrorism” and stock market returns Article de journal Journal of Comparative Economics, 46 (4), p. 936-946, 2018. Liens | BibTeX @article{Ouadghiri0101,
title = {Public attention to “Islamic terrorism” and stock market returns},
author = {Imane El Ouadghiri, Jonathan Peillex},
url = {https://www.sciencedirect.com/science/article/pii/S0147596718302506},
doi = {10.1016/j.jce.2018.07.014},
year = {2018},
date = {2018-12-28},
journal = {Journal of Comparative Economics},
volume = {46},
number = {4},
pages = {936-946},
keywords = {},
pubstate = {published},
tppubtype = {article}
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|
Imane El Ouadghiri; Jonathan Peillex Public attention to “Islamic terrorism” and stock market returns Article de journal Journal of Comparative Economics, 2017. Résumé | Liens | BibTeX @article{Peillex2019g,
title = {Public attention to “Islamic terrorism” and stock market returns},
author = {Imane El Ouadghiri and Jonathan Peillex},
url = {https://www.sciencedirect.com/science/article/pii/S0147596718302506},
year = {2017},
date = {2017-01-01},
journal = {Journal of Comparative Economics},
abstract = {Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products.},
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Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products. |
Imane El Ouadghiri, Remzi Uctum Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets Article de journal Economic Modelling, 54 , p. 218-234, 2016, ISBN: 0264-9993. Résumé | Liens | BibTeX @article{Uctum2016,
title = {Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets},
author = {Imane El Ouadghiri, Remzi Uctum},
url = {https://www.sciencedirect.com/science/article/pii/S0264999315004216},
doi = {10.1016/j.econmod.2015.12.025},
isbn = {0264-9993},
year = {2016},
date = {2016-04-01},
journal = {Economic Modelling},
volume = {54},
pages = {218-234},
abstract = {In this paper we examine the intraday effects of surprises from scheduled macroeconomic announcements and unscheduled event news on six major exchange rate excess returns (jumps) using a Tobit model with conditionally heteroskedastic errors that we extend so as to account for asymmetries. Besides this novel model, our approach embodies several important features: we perform Lee and Mykland's (2012) non-parametric test procedure to filter out microstructure noise from observed exchange rates and extract jumps as the significant “equilibrium” returns; various categories of information news from different geographical regions are exploited; the hypothesis of a leverage effect on foreign exchange jumps due to asymmetric volatility shocks is examined. We found that the most influential scheduled macroeconomic news are globally related to the US job markets, output growth indicators and public debt, whereas significant event news include announcements of bank failures and government rescue plans. Surprises impact Forex jumps for about one third as a result of rather pessimistic forecasts due to the crisis period analyzed. For most of the currencies the hypothesis that negative volatility shocks have a greater impact on volatility than positive shocks of the same magnitude is validated, reflecting markets' concern about the costs implied by central bank's stabilization policies. Our findings provide evidence that the major foreign exchange markets are not efficient.},
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In this paper we examine the intraday effects of surprises from scheduled macroeconomic announcements and unscheduled event news on six major exchange rate excess returns (jumps) using a Tobit model with conditionally heteroskedastic errors that we extend so as to account for asymmetries. Besides this novel model, our approach embodies several important features: we perform Lee and Mykland's (2012) non-parametric test procedure to filter out microstructure noise from observed exchange rates and extract jumps as the significant “equilibrium” returns; various categories of information news from different geographical regions are exploited; the hypothesis of a leverage effect on foreign exchange jumps due to asymmetric volatility shocks is examined. We found that the most influential scheduled macroeconomic news are globally related to the US job markets, output growth indicators and public debt, whereas significant event news include announcements of bank failures and government rescue plans. Surprises impact Forex jumps for about one third as a result of rather pessimistic forecasts due to the crisis period analyzed. For most of the currencies the hypothesis that negative volatility shocks have a greater impact on volatility than positive shocks of the same magnitude is validated, reflecting markets' concern about the costs implied by central bank's stabilization policies. Our findings provide evidence that the major foreign exchange markets are not efficient. |
Imane El Ouadghiri, Valérie Mignon; Nicolas Boitout On the Impact of Macroeconomic News Surprises on Treasury-Bond Yields Article de journal Annals of Finance, 12 (1), p. 29-53, 2016. Résumé | Liens | BibTeX @article{Ouadghiri2016b,
title = {On the Impact of Macroeconomic News Surprises on Treasury-Bond Yields},
author = {Imane El Ouadghiri, Valérie Mignon and Nicolas Boitout},
url = {https://www.springerprofessional.de/on-the-impact-of-macroeconomic-news-surprises-on-treasury-bond-r/10846474},
year = {2016},
date = {2016-01-01},
journal = {Annals of Finance},
volume = {12},
number = {1},
pages = {29-53},
abstract = {This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond returns, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (1) the main bond market movers are based on economic activity and inflation indicators, (2) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (3) the bond market is more sensitive to negative surprises than to positive ones. Finally, we find evidence of an empirical monotonic relationship between the surprises’ impact and their corresponding news’ publication date and/or their sign.},
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This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond returns, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (1) the main bond market movers are based on economic activity and inflation indicators, (2) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (3) the bond market is more sensitive to negative surprises than to positive ones. Finally, we find evidence of an empirical monotonic relationship between the surprises’ impact and their corresponding news’ publication date and/or their sign. |
