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Foreign shocks and international cost of equity destabilization. Evidence from the MENA region

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  • Guyot, Alexis
  • Lagoarde-Segot, Thomas
  • Neaime, Simon
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    Abstract

    This paper investigates whether foreign financial shocks can destabilize the cost of equity in emerging markets. After a theoretical discussion, we develop annual metrics for the international cost of equity, financial integration, spillovers and shift-contagion vulnerability in a sample of 535 Middle East and North African firms from Egypt, Tunisia, Morocco and Jordan over the 1998–2011 period. We then analyze the impact of foreign shocks on the international cost of equity, using a set of SGMM and PVAR models. Our results indicate that external shocks can increase the cost of equity in mature emerging markets.

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    Bibliographic Info

    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 18 (2014)
    Issue (Month): C ()
    Pages: 101-122

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    Handle: RePEc:eee:ememar:v:18:y:2014:i:c:p:101-122

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    Web page: http://www.elsevier.com/locate/inca/620356

    Related research

    Keywords: Financial crises; Development; MENA region;

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