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Global and regional integration of the Middle East and North African (MENA) stock markets

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  • Yu, Jung-Suk
  • Hassan, M. Kabir

Abstract

We investigate financial integration of MENA region to facilitate a more in-depth exploration of the structure of interdependence and transmission mechanism of stock returns and volatility between MENA and world stock markets. The EGARCH-M models with a generalized error distribution are employed to consider both leverage effect of negative shocks and leptokurtosis prevalent in the MENA stock markets. The estimation results of multivariate AR-GARCH models indicate that there are large and predominantly positive volatility spillovers and volatility persistence in conditional volatility between MENA and world stock markets. Own-volatility spillovers are generally higher than cross-volatility spillovers for all the markets.

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Bibliographic Info

Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 48 (2008)
Issue (Month): 3 (August)
Pages: 482-504

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Handle: RePEc:eee:quaeco:v:48:y:2008:i:3:p:482-504

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Web page: http://www.elsevier.com/locate/inca/620167

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Citations

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Cited by:
  1. Eli Bouri & Andre Eid & Imad Kachacha, 2014. "The Dynamic Behaviour and Determinants of Linkages among Middle Eastern and North African Stock Exchanges," Economic Issues Journal Articles, Economic Issues, vol. 19(1), pages 1-22, March.
  2. Mukherjee, Kedar nath & Mishra, Ram Kumar, 2010. "Stock market integration and volatility spillover: India and its major Asian counterparts," Research in International Business and Finance, Elsevier, vol. 24(2), pages 235-251, June.
  3. Khaled Guesmi & Frédéric Teulon, 2014. "The determinants of regional stock market integration in middle east: A conditional ICAPM approach," Economie Internationale, CEPII research center, issue 137, pages 22-31.
  4. Mansourfar, Gholamreza & Mohamad, Shamsher & Hassan, Taufiq, 2010. "The behavior of MENA oil and non-oil producing countries in international portfolio optimization," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 415-423, November.
  5. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
  6. Pui Sun Tam & Pui I Tam, 2012. "Rethinking stock market integration: Globalization, valuation and convergence," SFB 649 Discussion Papers SFB649DP2012-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. Chau, Frankie & Deesomsak, Rataporn & Wang, Jun, 2014. "Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 1-19.
  8. A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.
  9. Demirer, Riza, 2013. "Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets," Research in International Business and Finance, Elsevier, vol. 29(C), pages 77-98.
  10. Faten Ben Slimane, 2012. "Stock exchange consolidation and return volatility," Managerial Finance, Emerald Group Publishing, vol. 38(6), pages 606-627, May.
  11. Mohanty, Sunil K. & Nandha, Mohan & Turkistani, Abdullah Q. & Alaitani, Muhammed Y., 2011. "Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries," Global Finance Journal, Elsevier, vol. 22(1), pages 42-55.
  12. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.

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