Professor (HDR) Wael LOUHICHI - ESSCA
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Professor (HDR) Wael LOUHICHI
Main department: Finance, Accounting and Email: wael.louhichi@essca.fr
Management Control
RESEARCH INTERESTS
- Market Microstructure
- Financial Accounting
- International finance
- Corporate finance
- Financial Acouting
TEACHING DOMAINS
- Financial Markets
EDUCATION
Highest degree :
2012 Higher Doctorate, Business administration, Finance, Université de Rennes
1, France
2004 Doctorate/PhD, Management Science, Finance, Université de Perpignan,
France
2004 Doctorate/PhD, Management Science, Finance, Louvain School of
Management, Belgium
2001 Master of Research in Management Science, Université de Toulouse 1
Capitole, France
PROFESSIONAL EXPERIENCE
Academic experience
Since 2020 Head of Research Group Finance, Accounting and Management Control,
ESSCA School of Management, France
2016 - 2020 Head of research group Finance Risk Management, ESSCA School of
Management, France
Since 2014 Professor of Finance, ESSCA School of Management, France
2008 - 2013 Associate Professor of Finance, Université de Rennes 1, France
2006 - 2008 Assistant Professor of Finance, ESC Amiens, France
2001 - 2005 Research Assistant, Université de Perpignan, France
RESEARCH ACTIVITIES
07/01/2022 Wael LOUHICHI page 1/8Service to the academic discipline
Active participation in a research consortium
2016 - 2021 PANORisk, Conseil Régional des Pays de la Loire, France
Committee or board member of scientific associations/societies
Since 2018 Executive Member, Global Finance Association, United States of America
2007 - 2017 Member, European Financial Management Association (EFMA)
Participation in the scientific committee of a conference
2021 - 2021 PANORisk Research Day: Sustainable Finance, Climate Change & Energy
Risks: New Trends & Challenges, ESSCA School of Management, France
2021 - 2021 Scientific committee co-chair: Financial Economics Meeting Crisis
Challenges (FEM-2021), EDC Business School, ESSCA, Cergy Paris
Université, France
2019 - 2019 Organization: Research Day, CSR, Ethics & Financial Risks, PANORisk,
France
2017 - 2017 Organization: Conference on Measurement, Valuation and Modelling of
Finance Risks, PANORisk, France
2017 - 2017 Organization: 25th Conference, Global Finance Association, France
Scientific association professional affiliation
Since 2003 Professional affiliation, Association Française de Finance (AFFI)
Workshops
2017 - 2017 3rd International Workshop on “Financial Markets and Nonlinear
Dynamics” (FMND)
2015 - 2015 2nd International Workshop on “Financial Markets and Nonlinear
Dynamics” (FMND)
PhD thesis supervision
2016, novembre, PhD co-supervisor
Sélom Yaovi AGBETONYO, Dividend changes announcements through the financial crisis
of 2007-2009 : empirical evidence from the French Stock Market, Université de Rennes 1
2016, juin, PhD supervisor
Ousayna ZREIK, Three essays on risk disclosure, Université de Rennes 1
PhD jury
2018, décembre, PhD reviewer
Elena SUDYKO, Financial Dollarization in Russia, Université Paris-Saclay
2018, juillet, PhD reviewer
Ismahan Asma TALEB BENDIAB, thèse précédentethèse suivante
Évaluation de l’efficience, la performance et le risque des banques conventionnelles et
con-conventionnelles : essais empiriques, Université Paris-Saclay
INTELLECTUAL CONTRIBUTIONS
Peer-reviewed Articles
FTITI, Z., JAWADI, F., LOUHICHI, W. and MADANI, M.E.A. (2021). Are oil and gas futures
markets efficient? A multifractal analysis. Applied Economics, 2021/53(2), pp. 164-184.
BEN AMEUR, H. and LOUHICHI, W. (2021). The Brexit impact on European market co-
movements. Forthcoming Annals of Operations Research.
07/01/2022 Wael LOUHICHI page 2/8FTITI, Z., BEN AMEUR, H. and LOUHICHI, W. (2021). Does non-fundamental news related to COVID-19 matter for stock returns? Evidence from Shanghai stock market. Economic Modelling, 99. FALL, M., LOUHICHI, W. and VIVIANI, J.L. (2021). Forecasting the intra-day effective bid ask spread by combining density forecasts. Applied Economics, 53(50), pp. 5772-5792. JERIJI, M. and LOUHICHI, W. (2021). The relationship between poor CSR performance and hard, negative CSR information disclosures. Sustainability Accounting, Management and Policy Journal, 12(2), pp. 410-436. BEN AMEUR, H., FTITI, Z. and LOUHICHI, W. (2021). Intraday spillover between commodity markets. Resources Policy, 74(102278). LOUHICHI, W., FTITI, Z. and BEN AMEUR, H. (2021). Measuring the global economic impact of the coronavirus outbreak: Evidence from the main cluster countries. Technological Forecasting and Social Change, 167. FARZA, K., FTITI, Z., HLIOUI, Z., LOUHICHI, W. and OMRI, A. (2021). Does it pay to go green? The environmental innovation effect on corporate financial performance. Journal of Environmental Management, 300, pp. 113695. LOUHICHI, W., JERIJI , M. and FTITI, Z. (2021). Le reporting sociétal : mythe ou réalité ? Question(s) de Management, 36(6), pp. 101-111. JAWADI, F., FTITI, Z. and LOUHICHI, W. (2020). Forecasting Energy Futures Volatility with Threshold Augmented Heterogeneous Autoregressive Jump Models. Econometric Reviews, 39(1), pp. 54-70. AUBERT, F. and LOUHICHI, W. (2020). Why Do Firms Release Profit Warnings? Economics Bulletin, 40(2), pp. 1056-1067. LOUHICHI, W., BEN AMEUR, H. and FTITI, Z. (2020). New Outlook for Oil Market in the New Post-Coronavirus World. IAEE Energy Forum, Special Covid-19 Edition, pp. 30-32. LOUHICHI, W., FOURATI, A. and JERIJI , M. (2020). L’impact de la RSE sur la relation entre la gestion de résultat et la qualité du reporting financier et extra-financier: Le cas français. Recherches en Sciences de Gestion, 2020/2(137), pp. 115-142. BEN AMEUR, H., FTITI, Z., JAWADI, F. and LOUHICHI, W. (2020). Measuring extreme risk dependence between the oil and gas markets. Annals of Operations Research. ARBI MADANI, M., FITI, Z., LOUHICHI, W. and BEN AMEUR, H. (2020). Intraday hedging and the safe-haven role of Bitcoin. Bankers, Markets & Investors, 163. BRIK, H., EL OUAKDI, J., FTITI, Z. and LOUHICHI, W. (2020). The predictive power of country governance for economic and financial vulnerabilities occurrence. Gestion 2000, 37(5), pp. 105-119. JAWADI, F., LOUHICHI, W., CHEFFOU, K. and BEN AMEUR, H. (2019). Modeling time- varying beta in a sustainable stock market with a three-regime threshold GARCH model. Annals of Operations Research, 281(1-2), pp. 275–29. LOUHICHI, W., FALL, M. and VIVIANI, J.L. (2019). Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach. Economic Modelling, 80, pp. 75-86. 07/01/2022 Wael LOUHICHI page 3/8
FTITI, Z., JAWADI, F., LOUHICHI, W. and MADANI, M.A. (2019). On the relationship between energy returns and trading volume: a multifractal analysis. Applied Economics, 51(29), pp. 3122-3136. LOUHICHI, W. and RAIS, H. (2019). Refinement of the hedging ratio using copula- GARCH models. Journal of Asset Management, 20(5), pp. 403-411. LOUHICHI, W., BOUZGARROU, H. and CHEBBI, T. (2019). News and Sovereign CDS Spillovers: The Case of the Euro Area Markets. Bankers, Markets & Investors, 158. JAWADI , F., LOUHICHI, W., BEN AMEUR, H. and FTITI, Z. (2019). Do Jumps and Co- jumps Improve Volatility Forecasting of Oil and Currency Markets? Energy Journal, 40(Special Issue). BEN AMEUR, H., JAWADI, F., IDDI CHEFFOU, A.K. and LOUHICHI, W. (2018). Measurement Errors in Stock Markets. Annals of Operations Research, 262(2), pp. 287–306. LOUHICHI, W., BEN AMEUR, H. and JAWADI, F. (2018). Modeling International stock Price co-movements with high frequency data. Macroeconomic Dynamics, 22(7), pp. 1875-1903. BOUZGARROU, H., JOUIDA, S. and LOUHICHI, W. (2018). Bank profitability during and before the financial crisis : domestic vs foreign banks. Research in International Business and Finance, 44, pp. 26-39. VIVIANI, J.L., LAI, A.N. and LOUHICHI, W. (2018). The impact of asymmetric ambiguity on investment and financing decisions. Economic Modelling, 69, pp. 169-180. BRIK, H., EL OUAKDI, J., FTITI, Z. and LOUHICHI, W. (2018). Determinants of Equity Returns Correlations. Bankers. Bankers, Markets & Investors, (154-155), pp. 1-10. LOUHICHI, W. and ZREIK (2017). Risk sentiment and Firms' liquidity in the French market. Research in International Business and Finance, 39, pp. 809-823. LOUHICHI, W. and GEBRAN HARB, E. (2017). Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula. Research in International Business and Finance, 39, pp. 963-975. LOUHICHI, W. (2017). Modelling the Relationship between Future Energy Intraday Volatility and Trading Volume with Wavelet. Applied Economics, 49(20), pp. 1981-1993. JAWADI, F., JAWADI, N., IDI CHEFFOU, A., BEN AMEUR, H. and LOUHICHI, W. (2017). Modelling the Effect of the Geographical Environment on Islamic Banking Performance : a panel Quantile regression analysis. Economic Modelling, 2017(67), pp. 300-306. LOUHICHI, W. and ZREIK, O. (2017). Risk Disclosure and company unsystematic, systematic, and total Risks. Economics Bulletin, 37(1), pp. 448-467. VERYZHENKO, I., HARB, E., LOUHICHI, W. and ORIOL, N. (2017). The impact of the french financial transaction tax on HFT activities and market quality. Economic Modelling, 2017(67), pp. 307-315. BEN CHEIKH, N. and LOUHICHI, W. (2016). Revisiting the role of inflation environment in exchange rate pass-through: A panel threshold approach. Economic Modelling, 52(2016), pp. 233-238. 07/01/2022 Wael LOUHICHI page 4/8
LOUHICHI, W., JAWADI, F., IDI CHEFFOU, A. and RANDRIANARIVONY, R. (2016). Intraday jumps and trading volume: a nonlinear Tobit specification. Review of Quantitative Finance and Accounting, 47(4), pp. 1167-1186. JAWADI, F., LOUHICHI, W., BEN AMEUR, H. and IDI CHEFFOU, A. (2016). On oil-US exchange rate volatility relationships: An intraday analysis. Economic Modelling, 59, pp. 329-334. JAWADI, F., CHEFFOU, A.I., JAWADI, N. and LOUHICHI, W. (2016). On the Reputation of Islamic Banks: a Panel Data Qualitative Econometrics Analysis. Open Economies Review, 27(5), pp. 987–998. LOUHICHI, W., BEN AMEUR, H., IDI CHEFFOU, A., JAWADI, F. and HDIA, M. (2015). Assessing for time variation in oil risk premia : an adcc-garch-capm investigation. Energy Studies Review, 21(2), pp. 13-22. LOUHICHI, W., JAWADI, F. and CHEFFOUR, K. (2015). Intraday bidirectional volatility spillover across international stock markets: does the global financial crisis matter? Applied Economics, 47(34-35), pp. 3633-3650. LOUHICHI, W. and AUBERT, F. (2015). Analyst earnings forecast revision activity around profit warnings across four European countries. Journal of Applied Accounting Research, 16(1), pp. 58-87. LOUHICHI, W. and ZREIK, O. (2015). Corporate Risk Reporting: A study of The Impact of Risk Disclosure on Firms reputation. Economics Bulletin, 35(4), pp. 2395-2408. LOUHICHI, W., JAWADI, F. and CHEFFOU IDI, A. (2015). Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach. Journal of Financial Markets, 26, pp. 64-84. LOUHICHI, W. and JAWADI, F. (2014). Is Islamic Conventional and Islamic stock price performance: An empirical investigation. International Economics May, pp. 73-87. LOUHICHI, W. and BOUZGARROU, H. (2014). Does The Financing Decision Help To Understand Market Reaction Around Mergers And Acquisitions? Journal of Applied Business Research, 30(2), pp. 465-478. LOUHICHI, W. and BOUZGARROU, H. (2013). Ratio cible d’endettement et financement des opérations d’acquisitions : Le cas français. Recherches en Sciences de Gestion, 97, pp. 47-67. LOUHICHI, W., JAWADI, F. and AMEUR, H. (2013). Do the US trends drive the UK–French market linkages?: empirical evidence from a threshold intraday analysis. Applied Economics Letters, pp. 499-503. LOUHICHI, W., AROURI, F., JAWADI, N. and AMEUR, H. (2013). Is Islamic finance enough for investors to escape from a financial downturn? Applied Economics, 45(24), pp. 3412-3420. LOUHICHI, W., BENKRAIEM, R. and LE ROY, F. (2012). Football et Bourse. Recherches en Sciences de Gestion, (91), pp. 85-106. LOUHICHI, W. (2012). Does trading activity contain information to predict stock returns? Evidence from Euronext Paris. Applied Financial Economics, 22(8), pp. 625- 632. LOUHICHI, W. (2012). L’asymétrie informationnelle autour des annonces publiques. La Revue des Sciences de Gestion, 254, pp. 49-57. 07/01/2022 Wael LOUHICHI page 5/8
LOUHICHI, W., BENKRAIEM, R. and LE ROY, F. (2011). Sporting performances and the volatility of listed English football clubs. International Journal of Sport Finance (FIT), pp. 283-297. LOUHICHI, W. and AUBERT, F. (2011). L’impact informationnel de l’alerte aux résultats sur l’annonce du résultat annuel. Comptabilité, Contrôle, Audit, 17(2), pp. 11-36. LOUHICHI, W. (2011). What drives the volume-volatility relationship on Euronext Paris? International Review of Financial Analysis, 20(4), pp. 200-206. LOUHICHI, W. and CELLIER, A. (2011). Intraday relationship between information flow and market activity. Journal of Applied Business Research, 27(3), pp. 55-70. LOUHICHI, W. (2010). Which trades move stock prices on Euronext Paris? Journal of Asset Management, 10(6), pp. 382-391. LOUHICHI, W., BENKRAIEM, R. and MARQUES, P. (2009). Market reaction to sporting results: The case of European listed football clubs. Management Decision, 47(1), pp. 100-109. LOUHICHI, W. (2008). Price adjustment to annual earnings announcements: Evidence from Euronext Paris. Review of Accounting and Finance, 7(1), pp. 102-115. LOUHICHI, W. (2007). Le comportement des différentes catégories d’investisseurs autour des annonces publiques. Revue Banque, pp. 28-40. Books and Book Editor FTITI, Z., BEN AMEUR, H. and LOUHICHI, W. (2021). Financial and Economic Systems: Transformations and New Challenges. World Scientific Publishing Co Pte Ltd, 608 pages. LOUHICHI, W., DUFRENOT, G. and JAWADI, F. (2014). Market Microstructure and NonLinear Dynamics – Keeping Financial Crisis in Context. New York: Springer International Publishing. Chapters in book LOUHICHI, W. and BEN CHEIKH, N. (2015). Pass-Through of Exchanges Rate Shocks to Prices in the Euro Area : evidence from Pricing Chain Model. In: W Barnett and F Jawadi (ed.). International Symposia in Economic Theory and Econometrics. 1st ed. Londres: EmeraldGroup Publishing, pp. 113-162. LOUHICHI, W., TOUMI, K. and VIVIANI, J. (2012). Alternative Financial Decision Principles: Theoretical Foundations of Islamic Banks Capital Structure. In: W. Barnett et F. Jawadi (ed.). Recent Developments in Alternative Finance Empirical Assessments and Economic. 1st ed. EmeraldGroup Publishing. LOUHICHI, W., AROURI, M., JAWADI, F. and NGUYEN, D. (2011). Nonlinear Shift Contagion Modelling: Further Evidence from High Frequency Stock Data. In: G.N. Gregoriou et R. Pascalau (ed.). Financial Econometrics Handbook. 1st ed. Basingstoke: Palgrave Macmillan, pp. 143-160. Presentation at a conference with proceedings PRIGENT, J.L., BEN AMEUR, H., FTITI, Z. and LOUHICHI, W. (2021). Insurance Portfolio Strategies with Time Varying Multiples Based on Good and Bad Volatility Dynamics. In: 37th International Conference of the French Finance Association (AFFI). Audencia, Nantes: 07/01/2022 Wael LOUHICHI page 6/8
LOUHICHI, W., ZOUHOUR, M., HAMZA, T. and FTITI, Z. (2021). International Evidence from the ICO success and the project starting-up. In: 3rd Digital, Innovation, Entrepreneurship & Financing (DIF) Conference. INSEEC U, Lyon: LOUHICHI, W., FALL, M. and VIVIANI, J.L. (2020). Forecasting the intra-day effective bid ask spread by combining density forecasts. In: 6th International Symposium in Computational Economics and Finance (ISCEF). Paris: LOUHICHI, W. (2019). Hedging and safe having of Bitcoin and Gold. In: Financial Economics Meeting: Post-Crisis Challenges (FEM). Hammamet: BEN AMEUR, H., FTITI, Z., JAWADI , F. and LOUHICHI, W. (2019). Investors' behavior and stock price movements. In: 4th International Workshop on Financial Markets and Nonlinear Dynamics. Paris: LOUHICHI, W. (2018). Intraday Cojumps between Oil Price and U.S. Dollar Exchange Rates. In: 5th International Symposium in Computational Economics and Finance. LOUHICHI, W. (2018). Modelling the Relationship between Energy Markets. In: . International Research Conference on Business and Economics and Social Sciences Theorie. LOUHICHI, W. (2018). News and Sovereign CDS Spillovers : The Case of the Euro Area Markets. In: 27th International MBF Conference. Rome: LOUHICHI, W. (2017). Co-Jump Between Crude Oil Market and Exchange Rate Market. In: Global Finance Conference. New-York: LOUHICHI, W. (2017). to be confirmed. In: World Finance & Banking Symposium. Bangkok: LOUHICHI, W. (2016). Co-jumps between Crude Oil market and Euro / Dollar Exchange Rate. In: Conference on applied Financial Modelling. Melbourne: Deakin University. LOUHICHI, W., VERYZHENKO, I. and GEBRAN HARB, E. (2016). The impact of the French financial transaction tax on high frequency trading activities and market quality. In: International Symposium in Computational Eononomics and Finance. Paris: LOUHICHI, W., JOUIDA, S. and BOUZGARROU, H. (2016). Bank Profitability during and before financial crisis : domestic vs foreign banks. In: International Symposium in Computational Economics and Finance. Paris: LOUHICHI, W. (2016). La décision face au changement : un équilibre entre effort cognitif et repères émotionnels. In: Les 2ème Rencontres Internationales des Sciences du Management & les 13èmes journées Humanisme et Gestion. Marrakech: LOUHICHI, W. (2015). On the relationship between intrady jumps and Trading volume : a nonlinear tobit specification. In: the 8th NCTY International Finance conference. LOUHICHI, W. (2015). A Non Parametric Approach to Modeling Intradaily Stock Price Comovements. In: 56th Meeting of the Euro Working Group of Commodities and Financial Modeling (EWGCFM). Dubai: LOUHICHI, W., GEBRAN HARB, E. and VERYZHENKO, I. (2015). The impact of the French financial transaction tax on high frequency trading activities and market quality. In: 3rd Bordeaux Workshop in International Economics and Finance "Alternative Platforms and Organization of Trading Activities". Bordeaux: 07/01/2022 Wael LOUHICHI page 7/8
BEN CHEIKH, N. and LOUHICHI, W. (2015). Pass-Through of exchange rate shocks to prices in the Euro Area : evidence form pricing chain model. In: 11th international business and social science research conference. Dubaï, United Arab Emirates: LOUHICHI, W., BARNETT, W. and JAWADI, F. (2015). Pass through of exchange rate shocks to prices in the Euro area: evidence from pricing chain model. In: International symposia in economic theory and econometrics. Londres: pp. 113-162. BEN CHEIKH, N. and LOUHICHI, W. (2014). Revisiting the Role of Inflation Environment in the Exchange Rate Pass-Through: A Panel Threshold Approach. In: 3rd International Symposium in Computational Economics and Finance (ISCEF). Paris, France: LOUHICHI, W. and JAWADI, F. (2014). Volatility spillovers among international markets. In: 3rd International Symposium in Computational Economics and Finance. Paris: LOUHICHI, W. (2014). Risk Sentiment and firms' liquidity : Evidence from the French Market. In: Conférence annuelle de l'European Academy of Management (EURAM). Valencia: LOUHICHI, W. and BOUZGARROU, H. (2012). Does the financing decision help to understand market reaction around mergers and acquisitions? In: EFMA (European Financial Management Association). Barcelone: LOUHICHI, W., BENKRAIEM, R. and LE ROY, F. (2010). Sporting performances and the volatility of listed English football clubs . In: EURAM 2010. Rome: LOUHICHI, W., BENKRAIEM, R. and LE ROY, F. (2010). Sporting performances and the volatility of listed English football clubs . In: AFFI 2010. Saint Malo: LOUHICHI, W., BENKRAIEM, R. and LE ROY, F. (2010). Sporting performances and the volatility of listed English football clubs . In: EFMA 2010. Aarhus: LOUHICHI, W., MARQUES, P. and BENKRAIEM, R. (2009). The stock market valuation of football game results . In: 16th Congress of the European Association for Sport Management. Heidelberg: LOUHICHI, W. and AUBERT, F. (2008). Market activity around Profit Warnings. In: congrès annuel EAA (European Accounting Association). Rotterdam: LOUHICHI, W. (2007). Which orders move stock prices on Euronext Paris? In: 20th Australasian Banking and Finance Conference. Sydney: LOUHICHI, W. (2007). Trade size and stock returns . In: 5th International Finance Conference. Hammamet: LOUHICHI, W. (2005). Le sens des transactions autour des annonces publiques . In: 3rd International Finance Conference. Hammamet: LOUHICHI, W. (2004). Market reaction to annual earnings announcements : the case of Euronext Paris. In: congrès annuel de l’EFMA (European Financial Management Association). Basel: LOUHICHI, W. (2003). Comportement du marché autour des périodes d’annonce des résultats. In: 2nd International Finance Conference. Hammamet: 07/01/2022 Wael LOUHICHI page 8/8
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