This paper presents empirical evidence of herding contagion between oil market and stock markets, during the oil shock and the US financial crisis period of 2008-2009, after controlling fundamentals-driven comovements. We estimate the forecasting errors of time-varying parameters using the...

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...