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Products Report

International Financial Markets Integration and Market Volatility

Research Project

Project/Area Number 18330069
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionWakayama 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

    (11 results)

All 2009 2008 2007 2006

All Journal Article (6 results) (of which Peer Reviewed: 4 results) Presentation (5 results)

  • [Journal Article] Is there a connection between monetary unification and realeconomic integration? Evidence from regime-switching stationarity tests2008

    • 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 index2008

    • 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 volatility2007

    • 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 index2007

    • 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 index2009

    • 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 meetings2008

    • 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 market2007

    • 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 index2007

    • 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 volatility2006

    • 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

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Published: 2016-04-26   Modified: 2016-09-09  

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