My Ph.D. Thesis

The main focus of my doctoral research was on Financial Market Integration. I specifically studied the dynamics of regional financial integration and its determinants in the context of an ICAPM accounting for the deviations from PPP as well as temporal variations in both regional and local sources of risk.

Keywords: exchange risk premium, international financial integration, emerging markets, Conditional International Capital Asset Pricing Model (ICAPM), Switching Model, GARCH Model

Title

Dynamique D'intégration des Marchés Boursiers Emergents (2006 - 2011)

Supervisor

(Directeurs de Thèse): Georges Prat & Abdelwahed OMRI

Jury members

Raphaëlle BELLANDO, University of Orléans, Marjene GANA, IHEC Tunisia, Virginie COUDERT, Banque de France, Georges PRAT, CNRS, Abdelwahed OMRI, ISG Tunisia

Published thesis chapters

  • Characterizing South-East Asian Stock Market Integration through Time, International Journal of Business, 17 (1) : 100-112.
  • What Drive The Regional Integration of Emerging Stock Markets? Economics Bulletin, 31 (3): 2603-19.
  • How strong is the global integration of emerging market regions? An empirical assessment”, Economic Modelling, 28 (6) : 2517-27.
  • L’intégration des marchés émergents: une analyse régionale, Economie Appliquée, 64 (2) : 143-80.
  • Time varying regional integration in emerging stock market”, Economics Bulletin, 31 (2): 1082-94.
  • Contagion Effect of Financial Crisis on OECD Stock Markets”, Economics e-Journal Working Paper, No. 2011-15, 2011,
  • Evaluation de la prime de risque de change dans un contexte régional: une analyse multi-variée du MEDAFI » EconomiX Working Paper, n°45, 2009
  • Are Domestic Asian Markets integrated with the regional one?”, SSRN Working Paper, n°1752963, 2011.
  • “How strong is the global integration of emerging market regions? EconomiX Working Paper, n°09, 2011.
  • “Measuring Stock Market Volatility in OECD Economy, SSRN Working Paper, n°1971260, 2011