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

  • Yu, Jung-Suk
  • Hassan, M. Kabir

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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