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Spillover Effect in the MENA Area: Case of Four Financial Markets

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  • El Alaoui, Marwane
  • Benbachir, Saâd

Abstract

In this paper, we studied the spillover effect among four financial markets from MENA area during a period that was characterized by political instability. The countries chosen are also signatories of an agreement of free trade in order to liberalize the movement flowing of their capitals. As the linear correlation is unable to capture nonlinear relation between variables, it also suffers from many shortcomings. Reason why, we used copula functions to understand better the dependence structure between markets and to be able to detect spillover effect in that period. The results show that Egyptian Exchange and Casablanca Stock Exchange are highly correlated. We observed the same thing between Amman Stock Exchange and Egyptian Exchange. It seems that Egyptian market transmitted its volatility to the Moroccan and Jordanian markets.

Suggested Citation

  • El Alaoui, Marwane & Benbachir, Saâd, 2012. "Spillover Effect in the MENA Area: Case of Four Financial Markets," MPRA Paper 48682, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:48682
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    References listed on IDEAS

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    Cited by:

    1. El Alaoui, Marwane & Benbachir, Saâd, 2013. "Multifractal detrended cross-correlation analysis in the MENA area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5985-5993.

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    More about this item

    Keywords

    Spillover effect; Copulas; Contagion; Interdependence;
    All these keywords.

    JEL classification:

    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • G1 - Financial Economics - - General Financial Markets

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