Articles de journaux
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I. El Ouadghiri, J. Peillex Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français Article de journal Forthcoming Revue Economique, Forthcoming. Résumé | BibTeX @article{Ouadghiri2019,
title = {Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français},
author = {I. El Ouadghiri, J. Peillex},
year = {2019},
date = {2019-01-01},
journal = {Revue Economique},
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. },
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
} |
Imane El Ouadghiri; Jonathan Peillex Public attention to “Islamic terrorism” and stock market returns Article de journal Forthcoming Journal of Comparative Economics, Forthcoming. Résumé | Liens | BibTeX @article{Peillex2019g,
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},
year = {2018},
date = {2018-01-01},
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.},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
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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 | BibTeX @article{Uctum2016,
title = {Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets},
author = {Imane El Ouadghiri and Remzi Uctum},
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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pubstate = {published},
tppubtype = {article}
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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. |
I. El Ouadghiri, V. Mignon; N. 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 = {I. El Ouadghiri, V. Mignon and N. 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.},
keywords = {},
pubstate = {published},
tppubtype = {article}
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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. |
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