School of Economics

Education

BA Economics - University of Baghdad 1969
MA Economics minor Political Science - University of Kansas 1974
Ph.D. Economics and Minor Mathematics - University of Kansas 1980

Selected Works

Articles

Hammoudeh, Shawkat , Otrano, E and Khalifa, A . “Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets” Economic Modeling . (forthcoming)

Hammoudeh, Shawkat and Nguyen, D. K . “Energy prices and CO2 emission allowance prices: A quantile regression approach” Energy Policy . (forthcoming)

Hammoudeh, Shawkat , Mensi, Walid , Reboredo, J.C. and Nguyen, D. K . “Do Global Factors Impact BRICS Stock Markets? A Quantile Regression Approach.” EMERGING MARKETS REVIEW . (forthcoming)

Hammoudeh, Shawkat , Gupta, Rangan and Kim, Won Joong . “Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty” NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE . (forthcoming)

Hammoudeh, Shawkat , Balcilar, Mehmet and Demirer, Riza . “What Drives Herding in Oil-Rich, Developing Stock Markets? Relative Roles of Own Volatility and Global Factors” NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE . (forthcoming)

Hammoudeh, Shawkat , Mensi, Walid and Nguyen, D. K . “Dynamic Spillovers Among Major Energy and Cereal Commodity Prices Dynamic Spillovers Among Major Energy and Cereal Commodity Prices.” ENERGY ECONOMICS . (Apr 2014):225-243

Hammoudeh, Shawkat . “Downside Risk and Portfolio Diversification in the Euro-zone Equity Markets with Special Consideration of the Crisis Period” JOURNAL OF INTERNATIONAL MONEY AND FINANCE 44. (Mar 2014) 47-68

Hammoudeh, Shawkat , Aloui, Riadh , Nguyen, D. K and Aisa, M. S . “Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management” ENERGY ECONOMICS 42. (Mar 2014):332-342

Hammoudeh, Shawkat , Mensi, Walid and Yoon, Seong-Min . “How do OPEC News and Structural Breaks Impact Returns and Volatility in Crude Oil Markets? Further Evidence from a Long Memory Process” ENERGY ECONOMICS 42. (Mar 2014):342-354

Hammoudeh, Shawkat , Mensi, Walid and Yoon, Seong-Min . “Structural Breaks and Long Memory in Modeling and Forecasting Volatility of Foreign Exchange Markets of Oil Exporters: The importance of Scheduled and Unscheduled News Announcements” INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE 30. (Jan 2014):101-119

Hammoudeh, Shawkat , Chkili, W. and Nguyen, D. K . “Volatility Forecasting and Risk Management for Commodity Markets in the Presence of Asymmetry and Long Memory” ENERGY ECONOMICS 41.1-18 (Jan 2014)

Hammoudeh, Shawkat , Ajmi, A. N. , Nguyen, D. K and Sarafrazi, S. . “How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests” JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 28. (Jan 2014):213-227

Hammoudeh, Shawkat , Khalifa, A and Otrano, E . “Patterns of volatility transmissions within regime switching across GCC and global market” INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE 29. (Jan 2014):512-524

Hammoudeh, Shawkat . “High Quantiles Estimation with Quasi-PORT and DPOT: An Application to Value-at-Risk for Financial Variables.” NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 26.C (Dec 2013):487-496

Hammoudeh, Shawkat , Santos, P. A. and Al-Hassan, A. . “Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks” NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 25.C (Aug 2013):109-115

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 94. (Aug 2013)277–294

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 25.c (Apr 2013):318-334

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 , Liu, Tengdong and Bhar, Ramprasand . “CDS Spreads and other Gauges of Risk: Did the Great Recession Change Them” 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” 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 and McAleer, Michael . “Risk management and financial derivatives: An overview ” NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 25.C (Aug 2013)109-115

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” 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” 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,” 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” 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 AMERICAN 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 . “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, . :20

Hammoudeh, Shawkat , Sari, Ramazan and Soytas, Ugur . “Forcing Variables in the Dynamics of Risk Spillovers in Oil-Related CDS Sectors, Equity, Bond and Oil Markets and Volatility Market Risks” Recent Developments In Exchange Rate Economics, Ed. Mark P. Taylor and Meher Manzur. Cheltenham :Recent Developments In Exchange Rate Economics, , Nov 2013. :20

Hammoudeh, Shawkat , Sari, Ramazan and Soytas, Ugur . “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 , Nov 2013. :1-8

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

Professional Experience

Other -Kuwait Institute for Scientific Research (KISR) Associate Research Scientist Kuait City Jul 1981 - Jul 1983
Other -Organization of Arab Petroleum Exporting Countries Senior Economist Kuwiat City Aug 1983 - Jul 1988
Academic-Drexel University Professor Philadelphia PA Sep 1990 - Oct 2009

Awards

2012-2011 Best Paper Award in the Finance section given by the the sixth international conference Corporate Strategies and Government Policies: Challenges & Issues in the 21st Century. (Global Academy of Business & Economic Research )
2012 2013 Best Paper Award in Finance (Economic Reserch Forum for Arab Countries, Iran and Turkey)

WWW Resources

http://faculty.lebow.drexel.edu/HammoudehS

Areas of Expertise

  • Agricultural and Natural Resource Economics
  • Applied Econometrics
  • Financial Economics
  • International Economics
  • Natural Resource Economics
  • natural resources and environmental economics

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