Economics and International Business Department

Selected Works

Articles

Hammoudeh, Shawkat , Santos, P. A. and Al-Hassan, A. . “Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks” NORTH AMERICA JOURNAL OF ECONOMICS AND FINANCE . (forthcoming)

Hammoudeh, Shawkat and McAleer, Michael . “Risk management and financial derivatives: An overview ” The North American Journal of Economics and Financ . (forthcoming)

Hammoudeh, Shawkat , Sari, R. , Uzunkaya, M. and Liu, T. . “The Dynamics of BRICS’s Country Risk Ratings and Domestic Stock Markets, U.S. Stock Market and Oil Price” Mathematics and Computers in Simulation . (forthcoming)

Hammoudeh, Shawkat , Kim, Won Joong and Aleisa, E. . “Synchronization of Economic Shocks between the GCC and U.S., Europe, Japan and oil market and the Choice of Exchange Regime” CONTEMPORARY ECONOMIC POLICY . (forthcoming)

Hammoudeh, Shawkat , Sari, Ramazan and Uzunkaya, Mehmet . “The Relationship between Disaggregated Country Risk Ratings and Stock Market Movements: An ARDL Approach” Emerging Markets Finance and Trade 49.1 (Mar 2013):5-17

Hammoudeh, Shawkat , Liu, Tengdong , Chang, C-L and McAleer, Michael . “Risk Spillovers in Oil-Related CDS, Stock and Credit Markets” ENERGY ECONOMICS 36.1 (Mar 2013)526–535

Hammoudeh, Shawkat . “CDS Spreads and other Gauges of Risk: Did the Great Recession Change Them” The Financial Review 48.1 (Feb 2013)151–178

Hammoudeh, Shawkat , Balcilar, Mehmet and Demirer, Riza . “Investor Herds and Regime-Switching: Evidence from Gulf Arab Stock Markets” Journal of International Financial Markets, Instit 23.C (Feb 2013):295-321

Hammoudeh, Shawkat , Bhar, R. and Liu, T. . “Relationships between Financial Sectors’ CDS Spreads and other Gauges of Risk: Did the Great Recession Change Them” The Financial Review 48.1 (Jul 2012)151–178

Hammoudeh, Shawkat , Chang, C-L , Chen, L-H and McAleer, Michael . “Asymmetric Adjustments in the Ethanol and Grains Markets” ENERGY ECONOMICS 34.6 (Nov 2012):1990-2002

Hammoudeh, Shawkat , Sari, R. , Chang, C-L and McAleer, M. . “Causality between Market Liquidity and Depth for Energy and Grains” ENERGY ECONOMICS 34.5 (Sep 2012):1683-1692

Hammoudeh, Shawkat , Arouri, M. E-H , Lahiani, A. and Nguyen, D. K. . “Long memory and structural breaks in modeling the return and volatility dynamics of precious metals” QUARTERLY REVIEW OF ECONOMICS AND FINANCE 52.2 (May 2012):207-218

Hammoudeh, Shawkat and Chen, L-H . “Asymmetric Convergence and Risk Shift in the TED Spread” NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 22.3 (Fall 2011):277-291

Hammoudeh, Shawkat . “Financial CDS, Stock Market and Interest Rates: Which Drives Which” NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 22.3 (Fall 2011):257-276

Hammoudeh, Shawkat , Malik, Farooq and MeAleer, Michael . “Risk Management in Precious Metals” QUARTERLY REVIEW OF ECONOMICS AND BUSINESS 51.4 (Jul 2011):435-441

Hammoudeh, Shawkat and Bhar, Ramaprasad . “Commodities and Financial Variables: Analyzing Relationships in a Changing Regime Environment” INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 20.4 (Oct 2010):469-484

Hammoudeh, Shawkat , Nandha, Mohan and Yuan, Yuan . “Dynamics of CDS Index Spreads of U.S. Financial Sectors ” APPLIED ECONOMICS 45. (Winter 2013)213-223.

Hammoudeh, Shawkat , Bhar, Ramaprasad and Thompson, Mark . “Re-Examining the Dynamic Causal Oil-Macroeconomy Relationship” INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 19.4 (Fall 2010):298-305

Hammoudeh, Shawkat , Chen, L-H and Fattouh, Bassam . “Asymmetric Adjustments in Oil and Metals Markets” THE ENERGY JOURNAL 31.4 (Summer 2010):187-203

Hammoudeh, Shawkat , Yuan, Yuan , McAleer, Michael and Thompson, Mark . “Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies” INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 20. (Fall 2010):633-647

Hammoudeh, Shawkat , Yuan, Yuan , Chiang, Thomas C and Nandha, Mohan . “Symmetric and Asymmetric US Sector Return Volatilities in Presence of Oil, Financial and Economic Risks” Energy Policy 38.8 (Aug 2010):3922-3932

Hammoudeh, Shawkat and Choi, Kyongwook . “Volatility Behavior of Oil, Industrial, Commodity and Stock Markets in a Regime-Switching Environment” Energy Policy 38. (May 2010):4388-4399

Hammoudeh, Shawkat . “The New Normal in Dubi Now: Survival and Consolidation” Middle East Economic Survey (MEES) 53.49 (Dec 2009):23-24

Hammoudeh, Shawkat , Sari, Ramazan and Soytas, Ugur . “Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate: Are There Relationships” ENERGY ECONOMICS 32.2 (Aug 2009)351-362

Hammoudeh, Shawkat , Sari, Ramazan and Soytas, Ugur . “The oil prices, Precious Metal Prices and Macroeconomy in Turkey” Energy Policy 37.12 (Summer 2009):5557-5566

Hammoudeh, Shawkat , Yuan, Yuan and McAleer, Michael . “Shocks and Volatility Spillovers among Equity Sectors of the Gulf Arab Stock Markets” QUARTERLY REVIEW OF ECONOMICS AND FINANCE 49.2 (Spring 2009):829-842

Hammoudeh, Shawkat , Sari, Ramazan and Ewing, Bradley . “Relationships among Strategic Commodities and with Financial Variables: A New Look” CONTEMPORARY ECONOMIC POLICY 27.2 (Apr 2009):251-264

Hammoudeh, Shawkat and Choi, Kyongwook . “Long Memory in Oil and Refined Products Markets” THE ENERGY JOURNAL 30.2 (Apr 2009):57-76

Hammoudeh, Shawkat , Bhar, Ram and Thompson, Mark . “Component Structure for Nonstationary Time Series: Application to Benchmark Oil Prices” INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 17.5 (Dec 2008):971-983

Hammoudeh, Shawkat , Thompson, M and Ewing, B. . “Threshold Cointegration Analysis of Crude Oil Benchmarks,” THE ENERGY JOURNAL 29.4 (Oct 2008):79-95

Hammoudeh, Shawkat . “Noncompliance, Shocks and Optimal Policy in OPEC’s Decision Making” GEOPOLITICS OF ENERGY 30.5 (Aug 2008):1-20

Hammoudeh, Shawkat and Choi, Kyongwook . “Characteristic of Permanent and Transitory Returns in Oil-Sensitive Emerging Stock Markets: the Case of the GCC Countries” JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 17.3 (Summer 2007):231-245

Hammoudeh, Shawkat and Yuan, Yuan . “Metal Volatility in Presence of Oil and Interest Rate Shocks” ENERGY ECONOMICS 30.2 (Winter 2008) 606-620

Hammoudeh, Shawkat and Li, Huimin . “Sudden Changes in Volatility in Emerging” INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 17.1 (Winter 2008):47-63

Hammoudeh, Shawkat and Malik, F . “Shock and Volatility Transmission in the Oil, US and Gulf Equity Markets” INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE 16.3 (Oct 2007):357-368

Hammoudeh, Shawkat and Nandha, Mohan . “Systematic Risk, and Oil Price and Exchange Rate Sensitivities in Asia-Pacific Stock Markets” RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 21.2 (Spring 2007):326-341

Hammoudeh, Shawkat and AlGudhea, Salim . “Return, Risk and Global Factors in Saudi Equity Sectors” JOURNAL OF EMERGING MARKETS 10.3 (Fall 2006):55-64

Hammoudeh, Shawkat , Thompson, Mark and Ewing, Bradley . “Examining Asymmetric Behavior in US Petroleum Futures and Spot Prices” The Energy Journal 27.3 (Oct 2006):9-23

Hammoudeh, Shawkat and Choi, K . “Behavior of GCC Stock Markets and Impacts of US Oil and Financial Markets” RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 20.1 (Winter 2006):22-24

Hammoudeh, Shawkat and Li, Huimin . “Oil Sensitivity and Systematic Risk in Oil-Sensitive Stock Markets” JOURNAL OF ECONOMICS AND BUSINESS 57. (Nov -1):1-21

Covarrabias, G. , Ewing, B. and Hammoudeh, Shawkat . “Volatility of the UK Basis: Persistence and Sudden Changes” FINANCE LETTERS . (Nov -1)

Hammoudeh, Shawkat and Li, Huimin . “Risk Return Relationships in Oil-Sensitive Stock Markets” FINANCE LETTERS . (Nov -1)

Eleisa, E. and Hammoudeh, Shawkat . “Dynamic Relationships Among GCC Stock Markets and NYMEX Oil Futures” CONTEMPORARY ECONOMIC POLICY 22.2 (Nov -1):250-269

Aleisa, E. , Dibooglu, S. and Hammoudeh, Shawkat . “Relationships Among US Oil Prices and Oil Industry Equity Indices” INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE 13.3 (Fall 2004):427-453

Hammoudeh, Shawkat and Li, Huimin . “The Impact of the Asian Crisis on the Behavior of US and International Petroleum Prices” ENERGY ECONOMICS 26.1 (Nov -1):135-160

Hammoudeh, Shawkat , Jeon, Bang Nam and Li, Huimin . “Causality and Volatility Spillovers Among Petroleum Prices of WTI, Gasoline and Heating Oil in Different Locations” NORTH AMERICA JOURNAL OF ECONOMICS AND FINANCE 14.1 (Nov -1):89-114

Hammoudeh, Shawkat and Tang, Linghui . “An Empirical Exploration of World Oil Price Under the Target Zone Model” ENERGY ECONOMICS 24.6 (Nov -1):525-649

Hammoudeh, Shawkat . “Oil Target Zones, Mean Reversion and Zone Readjustments” SOUTHERN ECONOMIC JOURNAL 62.2 (Nov -1)

Hammoudeh, Shawkat and Madan, Vibhas . “Escaping the Tolerance Trap: Implications of Rigidity in OPECs Quantity Adjustment Mechanism” ENERGY ECONOMICS 16.1 (Nov -1):3-8

Hammoudeh, Shawkat and Madan, Vibhas . “The Dynamic Stability of OPECs Oil Pricing Mechanism” ENERGY ECONOMICS 14.1 (Nov -1):66-71

Ayyash, Salman and Hammoudeh, Shawkat . “Optimal Allocation of Pure Photovoltaic and Conventional Electricity Supplied to a Constant Demand Load” ENERGY JOURNAL 10.3 (Nov -1)

Ayyash, Salman and Hammoudeh, Shawkat . “Economic Analysis for Energy Management for Cooling Systems in Kuwait” ENERGY 10.6 (Nov -1)

Books

Krass, I. and New York: Academic Press, S. . The Theory of Positional Games with Application in Economics :New York: Academic Press, Sep 1981

Chapters

Hammoudeh, Shawkat . “Dynamics of Oil Price, Precious Metal Prices and Exchange Rate” Recent Developments in Exchange Rate Economics Ed. Mark P. Taylor and Meher Manzur . London:Edward Elgar , . :1-8

Hammoudeh, Shawkat . “Forcing Variables in the Dynamics of Risk Spillovers in Oil-Related CDS Sectors, Equity, Bond and Oil Markets and Volatility Market Risks” Energy Economics Ed. Helena Veiga. New York:Springer, Jan 2012. :20

Monographs

Hammoudeh, Shawkat . Energy Economics Germany:Springer, Mar 2012

Presentations

Hammoudeh, Shawkat , Liu, Tengdong and Sari, Ramazan . The dynamics of BRICS’s country risk ratings and domestic stock markets, U.S. stock market and oil price 2011 Risk Modeling and Management : Madrid, Spain, Sp Jun 2011

Hammoudeh, Shawkat , McAleer, Michael and Yuan, Yuan . Industrial Commodity and Exchange Rate Volatility Transmissions, Asymmetries and Hedging Strategies Middle East Economic Association (MEEA) : Denver, Co Jan 2010

Hammoudeh, Shawkat , Smimou, Kama and Yuan, Yuan . Cycles, Contagion and Volatility in the Stock Markets in Middle East and North Africa Allied Social Science Associations : San Francisco, CA Jan 2009

Hammoudeh, Shawkat and Bhar, Ramaprasad . Commodity and Relevant Macro-Financial Variables: Empirical Analysis of Dynamic Causal Relationship in a Regime Switching Environment 84th Western Economic Association International : Honolulu, HA Jul 2008

Hammoudeh, Shawkat , Ewing, Bradley and Thompson, Mark . Threshold Cointegration Analysis of Crude Oil Benchmarks 84th Western Economic Association International : Honolulu, HA Jul 2008

Hammoudeh, Shawkat , Ewing, Bradley and Thompson, Mark . Do GCC Countries Finance US Current Account Deficit? Allied Social Science Associations : New Orleans, LA Jan 2008

Hammoudeh, Shawkat and Choi, Kyongwook . Characteristic of Permanent and Transitory Returns in Oil-Sensitive Emerging Stock Markets: the Case of the GCC Countries The Allied Social SciencesMiddle East Economic Association conference : Philadelphia, PA Jan 2005

Hammoudeh, Shawkat and Malik, F . Volatility Transmission in the Oil, US and GCC Equity Markets The Allied Social SciencesMiddle East Economic Association conference : San Diego, CA Jan 2004

Hammoudeh, Shawkat . Impacts of NYMEX Oil futures, Dow Jones, US T-Bill Rate on GCC Stock Markets The Western Economic Association International Conference : , Jun 2003

Proceedings

Hammoudeh, Shawkat . Pricing Risk, Oil and Financial Factors in Saudi Sector Index Returns Middle East Economic Association-ASSA Jun 2006 http://www.luc.edu/orgs/meea/volume8/meea8.html:Oct 2006

Conferences

7th International Finance Conference , Organizer Mar 07, 2013 - Mar 09, 2013

Economic Research Forum for the Arab Countries, Iran and Turkey, Speaker Mar 03, 2013 - Mar 06, 2013

Economic Research Forum for Arab Countries, Iran and Turkey, Other Mar 03, 2013 - Mar 06, 2013

Middle East Economic Association Chapter-ASSA, Other Jan 02, 2013 - Jan 06, 2013

Middle East Economic Association Chapter-ASSA, Chair Jan 02, 2013 - Jan 06, 2013

Middle East Economic Association Chapter-ASSA , Speaker Jan 02, 2013 - Jan 06, 2013

Western Economic Association International (WEAI), Sesssion Chair Jun 28, 2012 - Jul 03, 2012

Western Economic Association International (WEAI), Discussant Jun 28, 2012 - Jul 03, 2012

Western Economic Association International (WEAI), Speaker Jun 28, 2012 - Jul 03, 2012

Understanding and Avoiding the Oil Curse in the Arab World”. , Discussant Jan 15, 2012 - Jan 16, 2012

Middle East Economic Association Chapter-ASSA, Speaker Jan 05, 2012 - Jan 08, 2012

Middle East Economic Association (MEEA), Speaker Jan 02, 2011 - Jan 06, 2011

Middle East Economic Association, Discussant Jan 02, 2011 - Jan 06, 2011

Middle Economic Conference, 2011, Speaker Jan 02, 2011 - Jan 06, 2011

84th Western Economic Association International, Organizer Jun 29, 2009 - Jul 03, 2009

84th Western Economic Association International Meeting, Speaker Jun 29, 2009 - Jul 03, 2009

84th Western Economic Association Meeting, Sesssion Chair Jun 29, 2009 - Jul 03, 2009

84th Weastern Economic Association Internationl Meeting, Speaker Jun 29, 2009 - Jul 03, 2009

84th Western Economic Association International Meeting, Discussant Jun 29, 2009 - Jul 03, 2009

Allied Social Science Associations, Discussant Jan 03, 2009 - Jan 06, 2009

83rd Western Economic Association International, Chair Jun 30, 2008 - Jul 03, 2008

83rd Western Economic Association, Organizer Jun 30, 2008 - Jul 03, 2008

83rd Western Economic Association International, Speaker Jun 30, 2008 - Jul 03, 2008

83rd Weastern Economic Association International, Speaker Jun 30, 2008 - Jul 03, 2008

Allied Social Science Association, Discussant Jan 03, 2008 - Jan 06, 2008

82nd Western Economic Association International, Organizer Jun 29, 2007 - Jul 03, 2007

82nd Western Economic Association International, Chair Jun 29, 2007 - Jul 03, 2007