This paper uses the Vector Autoregressive (VAR) model to investigate the impact of a stock market crash shock on the real economy in Tunisia. Analysis reveals that the real investment growth rate negatively reacted to a stock market crash shock of 2003. The impact of stock market crash shock...

In this study, we test for the presence of investor herding behavior in the Tunisian stock market. Further, we explore the explanatory factors of the occurrence of the probability of stock market booms and busts by combining herding behavior of investors and economic and financial fundamentals....

In this paper an attempt is made to examine whether the monetary and financial indicators and behaviour of investors increase the occurrence probability of stock market boom and bust in Tunisia. To this end, we employ the ordered logit model on quarterly data during the period from 1999 Q2 to...

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...