IDEAS home Printed from https://ideas.repec.org/a/jfr/afr111/v2y2013i1p19.html
   My bibliography  Save this article

Volatility Transmission from Mature Global Stock Markets to Middle East and North African Stock Markets

Author

Listed:
  • Akash Dania
  • John E. Spillan

Abstract

The objective of this paper is to model the dynamics of volatility transmission from mature global stock markets of France, Germany, UK and the US to MENA (Middle East and North African) markets of Bahrain, Egypt, Jordan, Kuwait, Lebanon, Morocco, Oman, Qatar, Tunisia, and the United Arab Emirates. GARCH, TGARCH models of returns are estimated to determine evidence of volatility spillover from global mature markets to emerging or less mature markets of MENA region. We find evidence of different level of volatility spillover and leverage effect. This varying response to global stock market shocks reveals that MENA stock markets are not fully integrated with global economy.

Suggested Citation

  • Akash Dania & John E. Spillan, 2013. "Volatility Transmission from Mature Global Stock Markets to Middle East and North African Stock Markets," Accounting and Finance Research, Sciedu Press, vol. 2(1), pages 1-19, February.
    • Handle: RePEc:jfr:afr111:v:2:y:2013:i:1:p:19
    as

    Download full text from publisher

    File URL: https://www.sciedupress.com/journal/index.php/afr/article/download/2067/1090
    Download Restriction: no
    File URL: https://www.sciedupress.com/journal/index.php/afr/article/view/2067
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Harrison Hong & Terence Lim & Jeremy C. Stein, 2000. "Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies," Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, February.
    2. Mr. Mohamed A. El-Erian & Mr. Manmohan S. Kumar, 1994. "Emerging Equity Markets in Middle Eastern Countries," IMF Working Papers 1994/103, International Monetary Fund.
    3. Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 101-116, March.
    4. Harrison Hong & Jeremy C. Stein, 1999. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets," Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
    5. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    6. Mohamed A. El-Erian & Manmohan S. Kumar, 1995. "Emerging Equity Markets in Middle Eastern Countries," IMF Staff Papers, Palgrave Macmillan, vol. 42(2), pages 313-343, June.
    7. Thomas W. Downs & Robert W. Ingram, 2000. "Beta, Size, Risk, And Return," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 245-260, September.
    8. Thomas Lagoarde Segot & Brian M Lucey, 2005. "Stock Market Predictability in the MENA: Evidence from New Variance Ratio Tests and Technical Trade Analysis," The Institute for International Integration Studies Discussion Paper Series iiisdp92, IIIS.
    9. Abdmoulah, Walid, 2010. "Testing the evolving efficiency of Arab stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 25-34, January.
    10. Downs, Thomas W & Ingram, Robert W, 2000. "Beta, Size, Risk, and Return," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(3), pages 245-260, Fall.
    11. Jeffrey D. Karrenbrock, 1991. "The behavior of retail gasoline prices: symmetric or not?," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 19-29.
    12. Abraham, Abraham & Seyyed, Fazal J., 2006. "Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain," Research in International Business and Finance, Elsevier, vol. 20(3), pages 276-285, September.
    13. Ben Naceur, Samy & Ghazouani, Samir & Omran, Mohammed, 2008. "Does stock market liberalization spur financial and economic development in the MENA region?," Journal of Comparative Economics, Elsevier, vol. 36(4), pages 673-693, December.
    14. Mr. Brian J. Aitken, 1996. "Have Institutional Investors Destabilized Emerging Markets?," IMF Working Papers 1996/034, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Rahul Verma & Priti Verma, 2005. "Do Emerging Equity Markets Respond Symmetrically to US Market Upturns and Downturns? Evidence from Latin America," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 4(3), pages 193-208, December.
    2. Pagan, Jose A. & Soydemir, Gokce A., 2001. "Response asymmetries in the Latin American equity markets," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 175-185.
    3. Apergis, Nicholas & Payne, James E., 2014. "Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets," Review of Financial Economics, Elsevier, vol. 23(1), pages 46-53.
    4. Amir Amel†Zadeh, 2011. "The Return of the Size Anomaly: Evidence from the German Stock Market," European Financial Management, European Financial Management Association, vol. 17(1), pages 145-182, January.
    5. Rahman, Md. Lutfur & Lee, Doowon & Shamsuddin, Abul, 2017. "Time-varying return predictability in South Asian equity markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 179-200.
    6. Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
    7. Tobias J. Moskowitz & Mark Grinblatt, 2002. "What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?," Yale School of Management Working Papers ysm259, Yale School of Management.
    8. Kang, Joseph & Liu, Ming-Hua & Ni, Sophie Xiaoyan, 2002. "Contrarian and momentum strategies in the China stock market: 1993-2000," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 243-265, June.
    9. Sarwar, Ghulam, 2012. "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 55-65.
    10. Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
    11. Narongdech Thakerngkiat & Hung T. Nguyen & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2021. "Do accounting information and market environment matter for cross‐asset predictability?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4389-4434, September.
    12. Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2022. "Media-expressed tone, option characteristics, and stock return predictability," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
    13. Cakici, Nusret & Tang, Yi & Yan, An, 2016. "Do the size, value, and momentum factors drive stock returns in emerging markets?," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 179-204.
    14. Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.
    15. Mamdouh Medhat & Maik Schmeling, 2022. "Short-term Momentum," Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1480-1526.
    16. Haibin Xie & Shouyang Wang, 2015. "Risk-return trade-off, information diffusion, and U.S. stock market predictability," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-20, December.
    17. Yang, Haijun & Ge, Hengshun & Gao, Xinpeng, 2022. "An information diffusion model for momentum effect based on investor wealth," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    18. Ming-Shiun Pan, 2010. "Autocorrelation, return horizons, and momentum in stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(3), pages 284-300, July.
    19. Jon A. Garfinkel & Jonathan Sokobin, 2006. "Volume, Opinion Divergence, and Returns: A Study of Post–Earnings Announcement Drift," Journal of Accounting Research, Wiley Blackwell, vol. 44(1), pages 85-112, March.
    20. Erdemlioglu, Deniz & Petitjean, Mikael & Vargas, Nicolas, 2021. "Market instability and technical trading at high frequency: Evidence from NASDAQ stocks," Economic Modelling, Elsevier, vol. 102(C).

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jfr:afr111:v:2:y:2013:i:1:p:19. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sciedu Press (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.