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Browsing Articles by Discipline "Economics"

Now showing 1 - 3 of 3
  • Publication
    DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS
    (2018)
    Ben Ayed, Mariam 
    ;
    Karaa, Adel
    ;
    Prigent, Jean‐Luc
    We introduce a specific duration model to analyze the prediction of the credit rating migration. We consider hazard rate processes based on multi‐state autoregressive conditional duration models. To take account of the economic context, we model the conditional mean of the duration between two ratings by means of a latent process. To this purpose, a dynamic‐ordered probit model is developed to describe the directions taken by the ratings in the presence of multiple states. As an illustration, we study the migration of credit rating during periods before and after the financial crisis. ( JEL C14, C41, G24)
      3Scopus© Citations 2
  • Publication
    I’m no casual: exploring the consumer behaviour of Fantasy Premier League hardcore international managers
    (2023)
    Ahmed, Amar 
    The internet has caused a worldwide exponential increase in the number of fantasy sports consumers in general, and Fantasy Premier League (FPL) in particular. This paper investigates the overall experiences of hardcore ‘managers’. Using interviews and applying Grounded Theory, this study offers a description regarding managers’ 1) perceptions of what makes a hardcore manager as against a casual one; 2) motivations to participate in FPL at hardcore levels; 3) media usage; 4) the impact FPL has on their consumption of the sport and its products; and 5) the marketability of specific players. Subsequently, we develop an understanding of international FPL hardcore managers’ consumption behaviour. This understanding helps teams, marketers, and sponsors both directly and indirectly to establish a more effective reach to this growing psychographic group. Moreover, it contributes to the body of knowledge of cultural consumer research.
      45  1
  • Publication
    New evidence on time-varying financial integration within Gulf Cooperation Council stock markets
    (2023)
    Boubakri, Salem 
    ;
    Guillaumin, Cyriac
    The aim of this study is to investigate the dynamics of regional financial integration among Gulf Cooperation Council (GCC) countries by pricing the local stock market return based on different risk premia related to the regional stock market and exchange market. Our approach is based on the international capital asset pricing model (ICAPM), which accounts for the degree of financial integration in the pricing of market risk premia. We also construct a regional currency basket, named Khaleeji, in order to obtain a reference currency in this area and to prospect the twin objective: a lesser peg to the US dollar and the emergence of regional monetary cooperation. Our main findings show that GCC stock markets are impacted by both regional and local financial shocks and crises. Analysis of the long-term dynamics highlights that the regional risk premium is not negligible for GCC countries, and better cooperation can enhance regional risk-sharing. The results also indicate that the degree of regional financial integration varies from country to country, leaning toward a partial integration level of GCC countries within their region. The increasing importance of regional risk premia and financial integration could encourage further financial cooperation among GCC countries, ultimately leading to better economic integration.
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