Title: Detecting and estimating stock market crises: evidence from the Tunisian stock market

Authors: Younes Boujelbene, Haifa Hammami, Aida Kammoun Abdelmoula

Addresses: Faculty of Economics and Management of Sfax, Department of Applied Economy, Higher Institute of Business Administration of Sfax, Road of Aerodrome Km 4, 1013-3018 Sfax, Tunisia. ' Faculty of Economics and Management of Sfax, Department of Financial and Accounting Methods, Road of Menzel Chaker Km 4.5, 1013-3013 Sfax, Tunisia. ' Department of Finance, Higher Institute of Business Administration of Sfax, Road of Aerodrome Km 4, 1013-3018 Sfax, Tunisia

Abstract: In this paper we identify stock market crises in Tunisia since 1992 using the CMAX method. Our empirical evidence shows that the monetary and financial indicators are considered as explanatory factors signalling the occurrence of these crises. The analysis also highlights some mechanisms that have played a significant role in explaining the occurrence of Tunisian stock market crises.

Keywords: stock market crises; investor behaviour; credit; inflation volatility; Tunisian stock market; Tunisia; stock markets; monetary indicators; financial indicators.

DOI: 10.1504/IJMEF.2010.033455

International Journal of Monetary Economics and Finance, 2010 Vol.3 No.3, pp.227 - 247

Published online: 02 Jun 2010 *

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