Professor (HDR) Wael LOUHICHI - ESSCA

Professor (HDR) Wael LOUHICHI

Main department: Finance, Accounting and        Email: wael.louhichi@essca.fr
Management Control
Nationality: Tunisie

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

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RESEARCH ACTIVITIES
Service to the academic discipline
  Active participation in a research consortium
  2016 - 2021 PANORisk, Conseil Régional des Pays de la Loire, France
  Leadership positions in recognized academic 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 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 membership
  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)
Supervision of thesis/HDR
  décembre       Financial Dollarization in Russia, PhD reviewer, Université Paris-Saclay,
  2018           France
  juin 2016      Three essays on risk disclosure, PhD supervisor, Université de Rennes 1,
                 France
  novembre       Dividend changes announcements through the financial crisis of 2007-
  2016           2009 : empirical evidence from the French Stock Market, PhD co-
                 supervisor, Université de Rennes 1, France
  juillet 2018   thèse précédentethèse suivante
                 Évaluation de l’efficience, la performance et le risque des banques
                 conventionnelles et con-conventionnelles : essais empiriques, PhD
                 reviewer, Université Paris-Saclay, France
  septembre      Co-movements of stock markets : three essays, PhD jury member /
  2016           examiner, Université Paris-Saclay, France

INTELLECTUAL CONTRIBUTIONS
Peer-reviewed Articles
  FTITI, Z., F. JAWADI, W. LOUHICHI, M. E. A. MADANI, "Are oil and gas futures markets
  efficient? A multifractal analysis", Applied Economics, January 2021, vol. 2021/53, no.
  2, pp. 164-184
  BEN AMEUR, H., W. LOUHICHI, "The Brexit impact on European market co-movements"
  Forthcoming Annals of Operations Research

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FTITI, Z., H. BEN AMEUR, W. LOUHICHI, "Does non-fundamental news related to COVID-
  19 matter for stock returns? Evidence from Shanghai stock market", Economic
  Modelling, June 2021, vol. 99
  FALL, M., W. LOUHICHI, J. -L. VIVIANI, "Forecasting the intra-day effective bid ask
  spread by combining density forecasts", Applied Economics, 2021, vol. Latest Articles,
  pp. 1-21
  JERIJI, M., W. LOUHICHI, "The relationship between poor CSR performance and hard,
  negative CSR information disclosures", Sustainability Accounting, Management and
  Policy Journal, January 2021, vol. 12, no. 2, pp. 410-436
  BEN AMEUR, H., Z. FTITI, W. LOUHICHI, "Intraday spillover between commodity
  markets", Resources Policy, December 2021, vol. 74, no. 102278
  LOUHICHI, W., Z. FTITI, H. BEN AMEUR, "Measuring the global economic impact of the
  coronavirus outbreak: Evidence from the main cluster countries", Technological
  Forecasting and Social Change, June 2021, vol. 167
  JAWADI, F., Z. FTITI, W. LOUHICHI, "Forecasting Energy Futures Volatility with Threshold
  Augmented Heterogeneous Autoregressive Jump Models", Econometric Reviews,
  January 2020, vol. 39, no. 1, pp. 54-70
  AUBERT, F., W. LOUHICHI, "Why Do Firms Release Profit Warnings?", Economics
  Bulletin, April 2020, vol. 40, no. 2, pp. 1056-1067
  LOUHICHI, W., H. BEN AMEUR, Z. FTITI, "New Outlook for Oil Market in the New Post-
  Coronavirus World", IAEE Energy Forum, June 2020, vol. Special Covid-19 Edition, pp.
  30-32
  LOUHICHI, W., A. FOURATI, M. JERIJI , "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, September 2020, vol. 2020/2, no. 137, pp. 115-
  142
  BEN AMEUR, H., Z. FTITI, F. JAWADI, W. LOUHICHI, "Measuring extreme risk
  dependence between the oil and gas markets", Annals of Operations Research, 2020
  ARBI MADANI, M., Z. FITI, W. LOUHICHI, H. BEN AMEUR, "Intraday hedging and the safe-
  haven role of Bitcoin", Bankers, Markets & Investors, December 2020, vol. 163
  BRIK, H., J. EL OUAKDI, Z. FTITI, W. LOUHICHI, "The predictive power of country
  governance for economic and financial vulnerabilities occurrence", Gestion 2000,
  September 2020, vol. 37, no. 5, pp. 105-119
  JAWADI, F., W. LOUHICHI, K. CHEFFOU, H. BEN AMEUR, "Modeling time-varying beta in a
  sustainable stock market with a three-regime threshold GARCH model", Annals of
  Operations Research, October 2019, vol. 281, no. 1-2, pp. 275–29
  LOUHICHI, W., M. FALL, J. L. VIVIANI, "Empirical tests on the asset pricing model with
  liquidity risk: An unobserved components approach", Economic Modelling, August
  2019, vol. 80, pp. 75-86
  FTITI, Z., F. JAWADI, W. LOUHICHI, M. A. MADANI, "On the relationship between energy
  returns and trading volume: a multifractal analysis", Applied Economics, February
  2019, vol. 51, no. 29, pp. 3122-3136
  LOUHICHI, W., H. RAIS, "Refinement of the hedging ratio using copula-GARCH models",
  Journal of Asset Management, September 2019, vol. 20, no. 5, pp. 403-411

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LOUHICHI, W., H. BOUZGARROU, T. CHEBBI, "News and Sovereign CDS Spillovers: The
  Case of the Euro Area Markets", Bankers, Markets & Investors, September 2019, vol.
  158
  JAWADI , F., W. LOUHICHI, H. BEN AMEUR, Z. FTITI, "Do Jumps and Co-jumps Improve
  Volatility Forecasting of Oil and Currency Markets?", Energy Journal, December 2019,
  vol. 40, no. Special Issue
  BEN AMEUR, H., F. JAWADI, A. K. IDDI CHEFFOU, W. LOUHICHI, "Measurement Errors in
  Stock Markets", Annals of Operations Research, March 2018, vol. 262, no. 2, pp.
  287–306
  LOUHICHI, W., H. BEN AMEUR, F. JAWADI, "Modeling International stock Price co-
  movements with high frequency data", Macroeconomic Dynamics, October 2018, vol.
  22, no. 7, pp. 1875-1903
  BOUZGARROU, H., S. JOUIDA, W. LOUHICHI, "Bank profitability during and before the
  financial crisis : domestic vs foreign banks", Research in International Business and
  Finance, April 2018, vol. 44, pp. 26-39
  VIVIANI, J.-L., A.-N. LAI, W. LOUHICHI, "The impact of asymmetric ambiguity on
  investment and financing decisions", Economic Modelling, January 2018, vol. 69, pp.
  169-180
  BRIK, H., J. EL OUAKDI, Z. FTITI, W. LOUHICHI, "Determinants of Equity Returns
  Correlations. Bankers", Bankers, Markets & Investors, November 2018, no. 154-155,
  pp. 1-10
  LOUHICHI, W., ZREIK, "Risk sentiment and Firms' liquidity in the French market",
  Research in International Business and Finance, February 2017, vol. 39, pp. 809-823
  LOUHICHI, W., E. GEBRAN HARB, "Pricing CDS spreads with Credit Valuation
  Adjustment using a mixture copula", Research in International Business and Finance,
  February 2017, vol. 39, pp. 963-975
  LOUHICHI, W., "Modelling the Relationship between Future Energy Intraday Volatility
  and Trading Volume with Wavelet", Applied Economics, February 2017, vol. 49, no. 20,
  pp. 1981-1993
  JAWADI, F., N. JAWADI, A. IDI CHEFFOU, H. BEN AMEUR, W. LOUHICHI, "Modelling the
  Effect of the Geographical Environment on Islamic Banking Performance : a panel
  Quantile regression analysis", Economic Modelling, December 2017, vol. 2017, no. 67,
  pp. 300-306
  LOUHICHI, W., O. ZREIK, "Risk Disclosure and company unsystematic, systematic, and
  total Risks", Economics Bulletin, March 2017, vol. 37, no. 1, pp. 448-467
  VERYZHENKO, I., E. HARB, W. LOUHICHI, N. ORIOL, "The impact of the french financial
  transaction tax on HFT activities and market quality", Economic Modelling, December
  2017, vol. 2017, no. 67, pp. 307-315
  BEN CHEIKH, N., W. LOUHICHI, "Revisiting the role of inflation environment in exchange
  rate pass-through: A panel threshold approach", Economic Modelling, January 2016,
  vol. 52, no. 2016, pp. 233-238
  LOUHICHI, W., F. JAWADI, A. IDI CHEFFOU, R. RANDRIANARIVONY, "Intraday jumps and
  trading volume: a nonlinear Tobit specification", Review of Quantitative Finance and
  Accounting, November 2016, vol. 47, no. 4, pp. 1167-1186

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JAWADI, F., W. LOUHICHI, H. BEN AMEUR, A. IDI CHEFFOU, "On oil-US exchange rate
  volatility relationships: An intraday analysis", Economic Modelling, July 2016, vol. 59,
  pp. 329-334
  JAWADI, F., A. I. CHEFFOU, N. JAWADI, W. LOUHICHI, "On the Reputation of Islamic
  Banks: a Panel Data Qualitative Econometrics Analysis", Open Economies Review,
  November 2016, vol. 27, no. 5, pp. 987–998
  LOUHICHI, W., H. BEN AMEUR, A. IDI CHEFFOU, F. JAWADI, M. HDIA, "Assessing for time
  variation in oil risk premia : an adcc-garch-capm investigation", Energy Studies Review,
  May 2015, vol. 21, no. 2, pp. 13-22
  LOUHICHI, W., F. JAWADI, K. CHEFFOUR, "Intraday bidirectional volatility spillover
  across international stock markets: does the global financial crisis matter?", Applied
  Economics, March 2015, vol. 47, no. 34-35, pp. 3633-3650
  LOUHICHI, W., F. AUBERT, "Analyst earnings forecast revision activity around profit
  warnings across four European countries", Journal of Applied Accounting Research,
  January 2015, vol. 16, no. 1, pp. 58-87
  LOUHICHI, W., O. ZREIK, "Corporate Risk Reporting: A study of The Impact of Risk
  Disclosure on Firms reputation", Economics Bulletin, December 2015, vol. 35, no. 4, pp.
  2395-2408
  LOUHICHI, W., F. JAWADI, A. CHEFFOU IDI, "Testing and modeling jump contagion
  across international stock markets: A nonparametric intraday approach", Journal of
  Financial Markets, October 2015, vol. 26, pp. 64-84
  LOUHICHI, W., F. JAWADI, "Is Islamic Conventional and Islamic stock price performance:
  An empirical investigation", International Economics, May 2014, vol. 137, pp. 73-87
  LOUHICHI, W., H. BOUZGARROU, "Does The Financing Decision Help To Understand
  Market Reaction Around Mergers And Acquisitions?", Journal of Applied Business
  Research, March 2014, vol. 30, no. 2, pp. 465-478
  LOUHICHI, W., H. BOUZGARROU, "Ratio cible d’endettement et financement des
  opérations d’acquisitions : Le cas français", Recherches en Sciences de Gestion, April
  2013, vol. 97, pp. 47-67
  LOUHICHI, W., F. JAWADI, H. AMEUR, "Do the US trends drive the UK–French market
  linkages?: empirical evidence from a threshold intraday analysis", Applied Economics
  Letters, 2013, pp. 499-503
  LOUHICHI, W., F. AROURI, N. JAWADI, H. AMEUR, "Is Islamic finance enough for
  investors to escape from a financial downturn?", Applied Economics, 2013, vol. 45, no.
  24, pp. 3412-3420
  LOUHICHI, W., R. BENKRAIEM, F. LE ROY, "Football et Bourse", Recherches en Sciences
  de Gestion, 2012, no. 91, pp. 85-106
  LOUHICHI, W., "Does trading activity contain information to predict stock returns?
  Evidence from Euronext Paris", Applied Financial Economics, 2012, vol. 22, no. 8, pp.
  625-632
  LOUHICHI, W., "L’asymétrie informationnelle autour des annonces publiques", La Revue
  des Sciences de Gestion, 2012, vol. 254, pp. 49-57

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LOUHICHI, W., R. BENKRAIEM, F. LE ROY, "Sporting performances and the volatility of
  listed English football clubs", International Journal of Sport Finance (FIT), 2011, vol. 6,
  no. 4, pp. 283-297
  LOUHICHI, W., F. AUBERT, "L’impact informationnel de l’alerte aux résultats sur
  l’annonce du résultat annuel", Comptabilité, Contrôle, Audit, 2011, vol. 17, no. 2, pp.
  11-36
  LOUHICHI, W., "What drives the volume-volatility relationship on Euronext Paris?",
  International Review of Financial Analysis, 2011, vol. 20, no. 4, pp. 200-206
  LOUHICHI, W., A. CELLIER, "Intraday relationship between information flow and market
  activity", Journal of Applied Business Research, 2011, vol. 27, no. 3, pp. 55-70
  LOUHICHI, W., "Which trades move stock prices on Euronext Paris?", Journal of Asset
  Management, 2010, vol. 10, no. 6, pp. 382-391
  LOUHICHI, W., R. BENKRAIEM, P. MARQUES, "Market reaction to sporting results: The
  case of European listed football clubs", Management Decision, 2009, vol. 47, no. 1, pp.
  100-109
  LOUHICHI, W., "Price adjustment to annual earnings announcements: Evidence from
  Euronext Paris", Review of Accounting and Finance, 2008, vol. 7, no. 1, pp. 102-115
  LOUHICHI, W., "Le comportement des différentes catégories d’investisseurs autour des
  annonces publiques", Revue Banque, 2007, pp. 28-40

Books and Book Editor
  FTITI, Z., H. BEN AMEUR, W. LOUHICHI, Financial and Economic Systems:
  Transformations and New Challenges, World Scientific Publishing Co Pte Ltd, 2021
  LOUHICHI, W., G. DUFRENOT, F. JAWADI, Market Microstructure and NonLinear
  Dynamics – Keeping Financial Crisis in Context, Springer International Publishing, New
  York, United States of America, 2014

Chapters in book
  LOUHICHI, W., N. BEN CHEIKH, "Pass-Through of Exchanges Rate Shocks to Prices in
  the Euro Area : evidence from Pricing Chain Model" in International Symposia in
  Economic Theory and Econometrics., W Barnett and F Jawadi Ed., EmeraldGroup
  Publishing, pp. 113-162, 2015
  LOUHICHI, W., K. TOUMI, J. VIVIANI, "Alternative Financial Decision Principles:
  Theoretical Foundations of Islamic Banks Capital Structure" in Recent Developments in
  Alternative Finance Empirical Assessments and Economic., W. Barnett et F. Jawadi Ed.,
  EmeraldGroup Publishing, 2012
  LOUHICHI, W., M. AROURI, F. JAWADI, D. NGUYEN, "Nonlinear Shift Contagion Modelling:
  Further Evidence from High Frequency Stock Data" in Financial Econometrics
  Handbook., G.N. Gregoriou et R. Pascalau Ed., Palgrave Macmillan, pp. 143-160, 2011

Presentation at a conference with proceedings
  PRIGENT, J. -L., H. BEN AMEUR, Z. FTITI, W. LOUHICHI, "Insurance Portfolio Strategies
  with Time Varying Multiples Based on Good and Bad Volatility Dynamics" in 37th
  International Conference of the French Finance Association (AFFI), 2021, Audencia,
  Nantes, France

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LOUHICHI, W., M. FALL, J.-L. VIVIANI, "Forecasting the intra-day effective bid ask spread
  by combining density forecasts" in 6th International Symposium in Computational
  Economics and Finance (ISCEF), 2020, Paris
  LOUHICHI, W., "Hedging and safe having of Bitcoin and Gold" in Financial Economics
  Meeting: Post-Crisis Challenges (FEM), 2019, Hammamet, Tunisia
  BEN AMEUR, H., Z. FTITI, F. JAWADI , W. LOUHICHI, "Investors' behavior and stock price
  movements" in 4th International Workshop on Financial Markets and Nonlinear
  Dynamics, 2019, Paris, France
  LOUHICHI, W., "Intraday Cojumps between Oil Price and U.S. Dollar Exchange Rates" in
  5th International Symposium in Computational Economics and Finance, 2018, France
  LOUHICHI, W., "Modelling the Relationship between Energy Markets", International
  Research Conference on Business and Economics and Social Sciences Theorie, 2018,
  Indonesia
  LOUHICHI, W., "News and Sovereign CDS Spillovers : The Case of the Euro Area
  Markets" in 27th International MBF Conference, 2018, Rome, Italy
  LOUHICHI, W., "Co-Jump Between Crude Oil Market and Exchange Rate Market" in
  Global Finance Conference, 2017, New-York, United States of America
  LOUHICHI, W., "to be confirmed" in World Finance & Banking Symposium, 2017,
  Bangkok, Thailand
  LOUHICHI, W., "Co-jumps between Crude Oil market and Euro / Dollar Exchange Rate"
  in Conference on applied Financial Modelling, Deakin University, 2016, Melbourne
  LOUHICHI, W., I. VERYZHENKO, E. GEBRAN HARB, "The impact of the French financial
  transaction tax on high frequency trading activities and market quality" in International
  Symposium in Computational Eononomics and Finance, 2016, Paris, France
  LOUHICHI, W., S. JOUIDA, H. BOUZGARROU, "Bank Profitability during and before
  financial crisis : domestic vs foreign banks" in International Symposium in
  Computational Economics and Finance, 2016, Paris, France
  LOUHICHI, W., "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, 2016, Marrakech, Morocco

  LOUHICHI, W., "On the relationship between intrady jumps and Trading volume : a
  nonlinear tobit specification" in the 8th NCTY International Finance conference, 2015,
  Taiwan
  LOUHICHI, W., "A Non Parametric Approach to Modeling Intradaily Stock Price
  Comovements" in 56th Meeting of the Euro Working Group of Commodities and
  Financial Modeling (EWGCFM), 2015, Dubai, United Arab Emirates
  LOUHICHI, W., E. GEBRAN HARB, I. VERYZHENKO, "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", 2015, Bordeaux, France
  BEN CHEIKH, N., W. LOUHICHI, "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, 2015, Dubaï, United Arab Emirates

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LOUHICHI, W., W. BARNETT, F. JAWADI, "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, pp. 113-162, 2015, Londres
  BEN CHEIKH, N., W. LOUHICHI, "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), 2014, Paris, France
  LOUHICHI, W., F. JAWADI, "Volatility spillovers among international markets" in 3rd
  International Symposium in Computational Economics and Finance, 2014, Paris, France
  LOUHICHI, W., "Risk Sentiment and firms' liquidity : Evidence from the French Market"
  in Conférence annuelle de l'European Academy of Management (EURAM), 2014,
  Valencia, Spain
  LOUHICHI, W., H. BOUZGARROU, "Does the financing decision help to understand
  market reaction around mergers and acquisitions?" in EFMA (European Financial
  Management Association), 2012, Barcelone
  LOUHICHI, W., R. BENKRAIEM, F. LE ROY, "Sporting performances and the volatility of
  listed English football clubs " in EURAM 2010, 2010, Rome, Italy
  LOUHICHI, W., R. BENKRAIEM, F. LE ROY, "Sporting performances and the volatility of
  listed English football clubs " in AFFI 2010, 2010, Saint Malo, France
  LOUHICHI, W., R. BENKRAIEM, F. LE ROY, "Sporting performances and the volatility of
  listed English football clubs " in EFMA 2010, 2010, Aarhus, Denmark
  LOUHICHI, W., P. MARQUES, R. BENKRAIEM, "The stock market valuation of football
  game results " in 16th Congress of the European Association for Sport Management,
  2009, Heidelberg, Denmark
  LOUHICHI, W., F. AUBERT, "Market activity around Profit Warnings" in congrès annuel
  EAA (European Accounting Association), 2008, Rotterdam, Netherlands (The)
  LOUHICHI, W., "Which orders move stock prices on Euronext Paris? " in 20th
  Australasian Banking and Finance Conference, 2007, Sydney, Australia
  LOUHICHI, W., "Trade size and stock returns " in 5th International Finance Conference,
  2007, Hammamet, Tunisia
  LOUHICHI, W., "Le sens des transactions autour des annonces publiques " in 3rd
  International Finance Conference, 2005, Hammamet, Tunisia
  LOUHICHI, W., "Market reaction to annual earnings announcements : the case of
  Euronext Paris" in congrès annuel de l’EFMA (European Financial Management
  Association), 2004, Basel, Switzerland
  LOUHICHI, W., "Comportement du marché autour des périodes d’annonce des
  résultats" in 2nd International Finance Conference, 2003, Hammamet, Tunisia

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