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Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region

Author

Listed:
  • Mohamed Abdelaziz Eissa

    (Mohamed Abdelaziz Eissa, Royal Dock Business School, University of East London, University Way, London, E16 2RD. E-mail: m.m.eissa@uel.ac.uk)

  • Georgios Chortareas

    (Georgios Chortareas, Department of Economics, University of Athens, 8 Pesmazoglou Street, Athens 10559, Greece. E-mail: gchortar@econ.uoa.gr; gchort@essex.ac.uk)

  • Andrea Cipollini

    (Andrea Cipollini (corresponding author), Faculty of Economics, University of Modena and Reggio Emilia, V. J. Berengario 51, Modena, Italy. Affi liations: RECent Modena; CEFIN Modena; Essex Finance Centre. E-mail: andrea.cipollini@unimore.it; acipol@essex.ac.uk)

Abstract

In this article, we examine the presence of volatility spillovers between nominal exchange rates and stock returns in three MENA countries: Egypt, Morocco and Turkey. The multivariate GARCH model we use does not produce evidence of cross-market effects for the general stock indices returns. Nevertheless, bidirectional shock and volatility spillovers between exchange rates and stock returns exist at the industry sector level. These findings are more pronounced in Egypt and Turkey. The different results are due to the different exchange rate regimes/policies adopted by the three countries. While exchange rates in Egypt and Turkey were allowed to float, Morocco followed a more tightly managed exchange rate regime.

Suggested Citation

  • Mohamed Abdelaziz Eissa & Georgios Chortareas & Andrea Cipollini, 2010. "Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(3), pages 257-284, December.
    • Handle: RePEc:sae:emffin:v:9:y:2010:i:3:p:257-284
    DOI: 10.1177/097265271000900301
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    References listed on IDEAS

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    Cited by:

    1. Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    2. Elie Bouri & Georges Azzi, 2014. "On the Dynamic Transmission of Mean and Volatility across the Arab Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(3), pages 279-304, December.
    3. Serda Selin Öztürk & Engin Volkan, 2015. "Intraindustry Volatility Spillovers in the MENA Region," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(6), pages 1163-1174, November.
    4. Maud Korley & Evangelos Giouvris, 2021. "The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa," JRFM, MDPI, vol. 14(3), pages 1-30, March.
    5. Bram Daelemans & Joseph P. Daniels & Farrokh Nourzad, 2018. "Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA," Open Economies Review, Springer, vol. 29(1), pages 141-163, February.
    6. Pami Dua & Ritu Suri, 2019. "Interlinkages Between USD–INR, EUR–INR, GBP–INR and JPY–INR Exchange Rate Markets and the Impact of RBI Intervention," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 102-136, April.
    7. Muhammad Niaz Khan & Suzanne G. M. Fifield & Nongnuch Tantisantiwong & David M. Power, 2022. "Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 87-117, March.

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    More about this item

    Keywords

    JEL Classification: C22; JEL Classification: F31; JEL Classification: G12; JEL Classification: G15; Stock returns; exchange rates; volatility spillovers; multivariate GARCH models; MENA region;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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