Shift-Contagion in Middle East and North Africa Stock Markets
This paper is an empirical study that seeks to determine whether any of the Middle East and North Africa (MENA) stock markets were vulnerable to financial contagion in the wake of the 2001 Turkish crisis. In line with Ayadi et al. (2006), we use a new procedure which consists of testing the non-linearity of the mechanisms spreading shocks, estimated with a model of long-term interdependence. Our results provide evidence of high level of interdependence between MENA stock markets. However, we find that, with the exemption of the contamination of Israel’s stock market, there is no evidence of shift-contagion in the transmission of financial shocks across MENA stock markets.
|Date of creation:||Jul 2008|
|Date of revision:||Jul 2008|
|Publication status:||Published by The Economic Research Forum (ERF)|
|Contact details of provider:|| Postal: 21 Al-Sad Al Aaly St. Dokki, Giza|
Web page: http://www.erf.org.eg
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