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Shift-Contagion in Middle East and North Africa Stock Markets

Listed author(s):
  • Wajih Khallouli

    ()

    (High School of Economic and Commercial Sciences, University of Tunis.)

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.

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Paper provided by Economic Research Forum in its series Working Papers with number 420.

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Length: 16
Date of creation: 06 Jan 2008
Date of revision: 06 Jan 2008
Publication status: Published by The Economic Research Forum (ERF)
Handle: RePEc:erg:wpaper:420
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  1. Favero, Carlo A. & Giavazzi, Francesco, 2002. "Is the international propagation of financial shocks non-linear?: Evidence from the ERM," Journal of International Economics, Elsevier, vol. 57(1), pages 231-246, June.
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  6. Baur, Dirk, 2003. "Testing for contagion--mean and volatility contagion," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 405-422, December.
  7. AuYong, Hue Hwa & Gan, Christopher & Treepongkaruna, Sirimon, 2004. "Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 479-515.
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  9. Bonfiglioli, Alessandra & Favero, Carlo A., 2005. "Explaining co-movements between stock markets: The case of US and Germany," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1299-1316, December.
  10. Kaminsky, Graciela L. & Reinhart, Carmen M., 2000. "On crises, contagion, and confusion," Journal of International Economics, Elsevier, vol. 51(1), pages 145-168, June.
  11. Mohamed Ayadi & Riadh Boudhina & Wajih Khallouli & Rene Sandretto, 2006. "La contagion de la crise asiatique : dynamiques de court terme et de long terme," Economie Internationale, CEPII research center, issue 105, pages 113-134.
  12. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
  13. Rigobon, Roberto, 2003. "On the measurement of the international propagation of shocks: is the transmission stable?," Journal of International Economics, Elsevier, vol. 61(2), pages 261-283, December.
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  15. Lagoarde-Segot, Thomas & Lucey, Brian M., 2007. "International portfolio diversification: Is there a role for the Middle East and North Africa?," Journal of Multinational Financial Management, Elsevier, vol. 17(5), pages 401-416, December.
  16. Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426.
  17. Carlo A. Favero & Francesco Giavazzi, 2000. "Looking for Contagion: Evidence from the ERM," NBER Working Papers 7797, National Bureau of Economic Research, Inc.
  18. Mardi Dungey & Diana Zhumabekova, 2001. "Testing for contagion using correlations: some words of caution," Pacific Basin Working Paper Series 2001-09, Federal Reserve Bank of San Francisco.
  19. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  20. Favero, Carlo A. & Giavazzi, Francesco, 2000. "Looking for Contagion: the Evidence from the ERM," CEPR Discussion Papers 2591, C.E.P.R. Discussion Papers.
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  22. Collins, Daryl & Biekpe, Nicholas, 2003. "Contagion: a fear for African equity markets?," Journal of Economics and Business, Elsevier, vol. 55(3), pages 285-297.
  23. McAleer, Michael & Nam, Jason Chee Wei, 2005. "Testing for contagion in ASEAN exchange rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 517-525.
  24. Khalid, Ahmed M. & Kawai, Masahiro, 2003. "Was financial market contagion the source of economic crisis in Asia?: Evidence using a multivariate VAR model," Journal of Asian Economics, Elsevier, vol. 14(1), pages 131-156, February.
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