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

Younes Boujelbene, Haifa Hammami and Aïda Kammoun

International Journal of Monetary Economics and Finance, 2010, vol. 3, issue 3, 227-247

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. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:3:y:2010:i:3:p:227-247

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