Title: Boom-bust cycles and their fundamental determinants: an empirical evidence of the Tunisian stock market

Authors: Haifa Hammami; Younes Boujelbene

Addresses: Department of Applied Economics, Faculty of Economics and Management of Sfax, Road of Menzel Chaker Km 4.5, 3013 Sfax, Tunisia. ' Department of Applied Economics, Faculty of Economics and Management of Sfax, Road of Menzel Chaker Km 4.5, 3013 Sfax, Tunisia

Abstract: The occurrence of boom-bust cycles in emerging and developed markets has brought new attention to the linkages between macroeconomic environment and stock market cycles. This paper has identified stock market boom-bust cycles in Tunisia since 1992. Our main objective is to investigate the determinants of stock market booms and busts occurrence using the ordered logit model. Empirical evidence from quarterly data on the real BVMT index shows that the monetary and financial indicators and behaviour of investors have played a key role in explaining Tunisian stock market boom-bust cycles.

Keywords: stock markets; boom and bust cycles; monetary indicators; financial indicators; investor behaviour; Tunisia; determinants.

DOI: 10.1504/IJADS.2012.046507

International Journal of Applied Decision Sciences, 2012 Vol.5 No.2, pp.182 - 197

Available online: 10 Apr 2012 *

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