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Testing for Shift-Contagion Vulnerability Among MENA Stock Markets During the Turkish Financial Crisis

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  • Osama M Badr
  • Wajih Khallouli

Abstract

This paper is an empirical study that seeks to determine whether any of the Middle East and North Africa (MENA) stock markets are vulnerable to financial contagion in the wake of the 2001 Turkish crisis. We test the nonlinearity of the mechanisms spreading shocks, estimated with a model of long-term interdependence. Our results provide evidence of a high level of interdependence between MENA stock markets. However, we find that, with the exception of the contamination of Israel¡¯s stock market, there is no longer evidence of shift-contagion in the transmission of financial shocks across MENA stock markets.

Suggested Citation

  • Osama M Badr & Wajih Khallouli, 2019. "Testing for Shift-Contagion Vulnerability Among MENA Stock Markets During the Turkish Financial Crisis," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 53-63, January.
    • Handle: RePEc:rfa:aefjnl:v:6:y:2019:i:1:p:53-63
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