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/

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SCHOLARLY PAPERS

21

DOWNLOADS
Rank 7,388

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Top 7,388

in Total Papers Downloads

5,052

CITATIONS

2

Scholarly Papers (21)

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 1,022 (16,257)

Abstract:

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 947 (17,320)
Citation 1

Abstract:

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 722 (27,455)

Abstract:

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 534 (40,806)

Abstract:

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 527 (41,436)

Abstract:

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 437 (52,723)

Abstract:

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 184 (118,334)

Abstract:

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 106 (179,541)

Abstract:

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 66 (232,563)

Abstract:

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

10.

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 65 (255,354)

Abstract:

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

11.

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 Australia Business School, School of Banking and Finance and Drexel University - Bennett S. LeBow College of Business
Downloads 41 (340,104)

Abstract:

CDS, Risk Premium, Great Recession, Quantitative Easing

12.

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 36 (346,326)

Abstract:

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

13.

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 28 (392,309)

Abstract:

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

14.

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 21 (384,494)

Abstract:

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

15.

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 (534,385)
Citation 1
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Abstract:

16.

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 (551,404)
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Abstract:

17.

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

SAFE Working Paper No. 172
Number of pages: 54 Posted: 14 Jun 2017 Last Revised: 22 Jun 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 0 (322,398)

Abstract:

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

18.

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 Institute of Information Technology (CIIT), Islamabad, University of Nottingham Malaysia Campus, University College Dublin (UCD) - Michael Smurfit Graduate School of Business and Montpellier Business School

Abstract:

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

19.

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
Downloads 0 (565,802)
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20.

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

Abstract:

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

21.

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 Khuong Nguyenc
Al-Imam Mohammad Ibn Saud Islamic University, Montpellier Business School, Pusan National University and IPAG Business School
Downloads 0 (565,802)
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Abstract: