International Financial Markets Integration and Market Volatility

Products Report

• Project/Area Number: 18330069
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Wakayama University
• Principal Investigator: MAGHREBI Nabil Wakayama University, 経済学部, 教授 (20283947)
• Co-Investigator(Kenkyū-buntansha): NISHINA Kazuhiko 大阪大学, 大学院・経済学研究科, 教授 (30094311)
• Research Collaborator: HOLMES Mark j. Waikato Management School, Waikato University, NEW ZEALAND, Professor and Chairman ; KIM Moo sung College of Business Administration, Pusan National University, KOREA, Associate Professor
• Project Period (FY): 2006 – 2008

Research Products

• [Journal Article] Is there a connection between monetary unification and realeconomic integration? Evidence from regime-switching stationarity tests (2008)
  • Author(s): Mark J. Holmes and Nabil Maghrebi
  • Journal Title: Journal of International Money and Finance Volume: 27 Pages: 958-970
  • Peer Reviewed
• [Journal Article] The Bank of Japan monetary policy meetings and the behaviour of the Nikkei225 implied volatility index (2008)
  • Author(s): Nabil Maghrebi
  • Journal Title: Osaka Economic Papers Volume: 57 Pages: 84-99
• [Journal Article] The KOSPI200 implied volatility index : evidence of regime shifts in expected volatility (2007)
  • Author(s): Nabil Maghrebi, Moo-Sung Kim and Kazuhiko Nishina
  • Journal Title: Asia-Pacific Journal of Financial Studies Volume: 36 Pages: 163-187
  • Peer Reviewed
• [Journal Article] An introduction to the Nikkei 225 implied volatility index (2007)
  • Author(s): Nabil Maghrebi
  • Journal Title: The Wakayama Economic Review Issue: 336 Pages: 35-55
• [Journal Article] Are international real interest rate linkages characterized by asymmetric adjustments? (2006)
  • Author(s): Mark J. Holmes and Nabil Maghrebi
  • Journal Title: Journal of International Financial Markets, Institutions & Money Volume: 16 Pages: 384-396
  • Peer Reviewed
• [Journal Article] Are there asymmetries in the relationship between foreign exchange fluctuations and stock market volatility in Pacific Basincountries? (2006)
  • Author(s): Nabil Maghrebi, Mark J. Holmes and Eric Pentecost
  • Journal Title: Review of Pacific Basin Financial Markets and Policies Volume: 9 Pages: 229-256
  • Peer Reviewed
• [Presentation] Estimation of Japanese equity risk with the model-free Nikkei225 implied volatility index (2009)
  • Author(s): Nabil Maghrebi
  • Organizer: Applied Statistics Workshop, The University of Tokyo
  • Place of Presentation: Tokyo, Japan
  • Year and Date: 2009-01-23
• [Presentation] Market expectations of economic uncertainty around the Bank of Korea monetary policy meetings (2008)
  • Author(s): Nabil Maghrebi and MooSung Kim
  • Organizer: International Conference of Asia-Pacific Association of Derivatives
  • Place of Presentation: Pusan, Korea
  • Year and Date: 2008-06-26 – 2008-06-27
• [Presentation] The Nikkei225 implied volatility index and the behavior of volatility expectations in the Japanese stock market (2007)
  • Author(s): Nabil Maghrebi
  • Organizer: Center for the Study of Finance and Insurance CSFI Workshop 2007
  • Place of Presentation: CSFI Osaka University, Japan
  • Year and Date: 2007-12-01 – 2007-12-02
• [Presentation] The stochastic behaviour of the Nikkei225 implied volatility index (2007)
  • Author(s): Nabil Maghrebi, Kazuhiko Nishina and MooSung Kim
  • Organizer: The 15th Annual Meeting of Nippon Finance Association (Proceedings, pp. 218-227)
  • Place of Presentation: Keio University Tokyo, Japan
  • Year and Date: 2007-06-16 – 2007-06-17
• [Presentation] The KOSPI200 implied volatility index : evidence of regime shifts in expected volatility (2006)
  • Author(s): Nabil Maghrebi, MooSung Kim and Kazuhiko Nishina
  • Organizer: The First International Conference on Asia-Pacific Financial Markets
  • Place of Presentation: Seoul, Korea
  • Year and Date: 2006-12-08 – 2006-12-09