Shawkat M. Hammoudeh

Montpellier Business School

Affiliate

2300 Avenue des Moulins

Montpellier, 34080

France

Drexel University - Lebow College of Business

Professor

3141 Chestnut Street

Philadelphia, PA 19104

United States

http://faculty.lebow.drexel.edu/HammoudehS/

SCHOLARLY PAPERS

24

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CITATIONS
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26

Scholarly Papers (24)

1.

Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies

Number of pages: 33 Posted: 16 Sep 2009
Shawkat M. Hammoudeh, Yuan Yuan and Michael McAleer
Montpellier Business School, Drexel University - Bennett S. LeBow College of Business and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,062 (19,603)
Citation 1

Abstract:

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Multivariate GARCH, shocks, volatility, transmission, portfolio weights

2.

Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Number of pages: 41 Posted: 31 Oct 2009
Shawkat M. Hammoudeh, Yuan Yuan, Mark A. Thompson and Michael McAleer
Montpellier Business School, affiliation not provided to SSRN, Texas Tech University - Rawls College of Business and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,023 (20,725)
Citation 2

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Multivariate, shocks, volatility, correlation, dependency, interdependency, precious metals, exchange rates, hedging

3.

Asymmetric Adjustments in the Ethanol and Grains Markets

Number of pages: 39 Posted: 21 Dec 2010
Chia-Lin Chang, Li-Hsueh Chen, Shawkat M. Hammoudeh and Michael McAleer
National Chung Hsing University - Department of Applied Economics, Department of Finance, California State University, Los Angeles - College of Business & Economics, Montpellier Business School and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 740 (32,842)

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4.

Causality Between Market Liquidity and Depth for Energy and Grains

Number of pages: 43 Posted: 18 May 2011
Ramazan Sari, Shawkat M. Hammoudeh, Chia-Lin Chang and Michael McAleer
Middle East Technical University (METU), Montpellier Business School, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 559 (47,764)

Abstract:

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Causality, market liquidity, depth, energy, grains

5.

The Dynamics of Energy-Grain Prices with Open Interest

Number of pages: 35 Posted: 29 May 2011
Montpellier Business School, Drexel University - Bennett S. LeBow College of Business, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 549 (48,847)

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6.

Risk Spillovers in Oil-Related CDS, Stock and Credit Markets

Number of pages: 42 Posted: 29 May 2011
Shawkat M. Hammoudeh, Tengdong Liu, Chia-Lin Chang and Michael McAleer
Montpellier Business School, Drexel University - Bennett S. LeBow College of Business, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 447 (63,195)

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7.

The Dynamics of BRICS's Country Risk Ratings and Stock Markets, U.S. Stock Market and Oil Price

Number of pages: 40 Posted: 25 Jul 2011
Shawkat M. Hammoudeh, Ramazan Sari, Tengdong Liu and Mehmet Uzunkaya
Montpellier Business School, Middle East Technical University (METU), Drexel University - Bennett S. LeBow College of Business and TR Prime Ministry State Planning Organization
Downloads 229 (132,499)

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risk, economic risk, political risk, risk ratings, stock market, ARDL

8.

Market Regimes and Herding Behavior in Chinese A and B Shares

Number of pages: 41 Posted: 22 Sep 2012
Mehmet Balcilar, Riza Demirer and Shawkat M. Hammoudeh
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and Montpellier Business School
Downloads 160 (183,936)
Citation 1

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Herding Behavior, Chinese A- and B-Shares, Dispersion Shocks, Markov-Switching

9.

Investor Herds and Regime-Switching: Evidence from Gulf Arab Stock Markets

Number of pages: 40 Posted: 18 Sep 2012
Mehmet Balcilar, Riza Demirer and Shawkat M. Hammoudeh
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and Montpellier Business School
Downloads 118 (234,507)
Citation 1

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herding, GCC stock markets, dispersion shocks, Markov-Switching

10.

Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil

SAFE Working Paper No. 172
Number of pages: 56 Posted: 14 Jun 2017 Last Revised: 10 Nov 2017
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE and Montpellier Business School
Downloads 107 (251,408)

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Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies

11.

Do Global Shocks Drive Investor Herds in Oil-Rich Frontier Markets?

Number of pages: 40 Posted: 10 Jan 2013
Mehmet Balcilar, Riza Demirer, Shawkat M. Hammoudeh and Ahmed A.A. Khalifa
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance, Montpellier Business School and King Fahd University of Petroleum & Minerals (KFUPM)
Downloads 94 (274,245)
Citation 2

Abstract:

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Herding, Gulf Arab Stock Markets, Dispersion Shocks, Markov-Switching

12.

Financial Markets, Innovations and Cleaner Energy Production in OECD Countries

Energy Economics, Forthcoming
Number of pages: 55 Posted: 09 Apr 2016 Last Revised: 26 Apr 2018
Md Al Mamun, Kazi Sohag, Muhammad Shahbaz and Shawkat M. Hammoudeh
La Trobe University - Department of Economics and Finance, affiliation not provided to SSRN, Montpellier Business School- Energy and Sustainable Development and Montpellier Business School
Downloads 64 (343,133)

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Biomass and cleaner energy production, common correlated effects pooled (CCEP), credit and equity markets, global financial crisis, innovation.

13.

Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them?

Number of pages: 47 Posted: 08 Sep 2011
Shawkat M. Hammoudeh, Ramaprasad Bhar and Tengdong Liu
Montpellier Business School, UNSW Business School, Risk and Actuarial Studies and Drexel University - Bennett S. LeBow College of Business
Downloads 50 (385,852)

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CDS, Risk Premium, Great Recession, Quantitative Easing

14.

Global and Domestic Shocks on Inflation and Economic Growth and Membership Expansion in the GCC Bloc

Number of pages: 42 Posted: 15 Sep 2012
Won Joong Kim and Shawkat M. Hammoudeh
Konkuk University - Department of Economics and Montpellier Business School
Downloads 47 (396,103)

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GCC membership, structural VAR, block exogeneity, exchange rate, China, export prices, oil price, pass-through, inflation, economic growth

15.

Regional and Global Spillovers and Diversification Opportunities in the GCC-Wide Equity Sectors Across Market Regimes

Number of pages: 45 Posted: 28 May 2014
Mehmet Balcilar, Riza Demirer and Shawkat M. Hammoudeh
Eastern Mediterranean University, Southern Illinois University Edwardsville - Department of Economics & Finance and Montpellier Business School
Downloads 40 (421,750)

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GCC-wide equity sectors, Multivariate regime-switching, Time-varying correlations, Financial integration, International portfolio diversification

16.

Asymmetry and Uncertainty Across Energy and FX Markets

Number of pages: 33 Posted: 11 Nov 2014
Ahmed A.A. Khalifa, Massimiliano Caporin and Shawkat M. Hammoudeh
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences and Montpellier Business School
Downloads 39 (425,703)

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Asymmetry, Interdependence, Uncertainty, Business cycle, Energy, FX

17.

Relationships Among Strategic Commodities and with Financial Variables: A New Look

Contemporary Economic Policy, Vol. 27, No. 2, pp. 251-264, April 2009
Number of pages: 14 Posted: 16 Jun 2009
Shawkat M. Hammoudeh, Ramazan Sari and Bradley T. Ewing
Montpellier Business School, Middle East Technical University (METU) and Baylor University - Department of Economics
Downloads 3 (625,461)
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18.

Synchronization of Economic Shocks between Gulf Cooperation Council and United States, Europe, Japan, and Oil Market: Choice of Exchange Rate Regime

Contemporary Economic Policy, Vol. 30, Issue 4, pp. 584-602, 2012
Number of pages: 19 Posted: 06 Oct 2012
Won Joong Kim, Shawkat M. Hammoudeh and Eisa Aleisa
Konkuk University - Department of Economics, Montpellier Business School and Government of the Kingdom of Saudi Arabia - Saudi Arabian Monetary Agency (SAMA)
Downloads 1 (647,983)
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19.

Importance of Oil Shocks and the GCC Macroeconomy: A Structural VAR Analysis

Resources Policy, Vol. 61,166-179 (2019)
Posted: 02 May 2019
Leeds Beckett University - Leeds Business School, Independent, Montpellier Business School- Energy and Sustainable Development and Montpellier Business School

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GCC, Natural Resources, Oil Price Shocks,Trade Balance, Inflation, GDP, SVAR Model

20.

Women on Indian Boards and Market Performance: A Role-Congruity Theory Perspective

Asian Business & Management, Vol. 17, Issue 1, 2018
Number of pages: 33 Posted: 24 Apr 2018
Comsats University Islamabad, Comsats University Islamabad, Montpellier Business School and Comsats University Islamabad
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Women on corporate boards, Role-congruity theory, High-tech sector, Emerging economies

21.

The CO2-Growth Nexus Revisited: A Nonparametric Analysis for G7 Economies over Nearly Two Centuries

Energy Economics, Vol. 65, pp. 183-193, 2017
Posted: 19 May 2017
Comsats University Islamabad, University of Nottingham Malaysia Campus, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and Montpellier Business School

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G7 Countries; Economic Growth; CO2 Emissions; EKC Hypothesis; Nonparametric Econometrics

22.

Dynamic Global Linkages of the BRICS Stock Markets with the United States and Europe Under External Crisis Shocks: Implications for Portfolio Risk Forecasting

The World Economy, Vol. 39, Issue 11, pp. 1703-1727, 2016
Number of pages: 25 Posted: 10 Nov 2016
Shawkat M. Hammoudeh, Sang Hoon Kang and Duc Khuong Nguyen
Montpellier Business School, Pusan National University and IPAG Business School
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23.

Multivariate Dependence Risk and Portfolio Optimization: An Application to Mining Stock Portfolios

Resources Policy 46 (2015) 1–11
Posted: 30 May 2016
European University Institute - Economics Department (ECO), Tecnologico de Monterrey (ITESM), Montpellier Business School and IPAG Business School

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Mining stocks, Vine copulas, Risk measures, Tail dependence, Portfolio optimization

24.

Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models

Review of International Economics, Vol. 24, Issue 1, pp. 1-19, 2016
Number of pages: 19 Posted: 20 Jan 2016
Walid Mensi, Shawkat M. Hammoudeh, Seong-Min Yoon and Duc Nguyenc
Al-Imam Muhammad Ibn Saud Islamic University, Montpellier Business School, Department of Economics, Pusan National University and IPAG Business School
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