IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Shift-Contagion in Middle East and North Africa Stock Markets

  • 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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.erf.org.eg/CMS/getFile.php?id=1228
Download Restriction: no

File URL: http://www.erf.org.eg/cms.php?id=NEW_publication_details_working_papers&publication_id=975
Download Restriction: no

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

as
in new window

Length: 17 pages
Date of creation: Jul 2008
Date of revision: Jul 2008
Publication status: Published by The Economic Research Forum (ERF)
Handle: RePEc:erg:wpaper:420
Contact details of provider: Postal: 7 Boulos Hanna Street, Dokki, Cairo
Phone: 202-3370810
Fax: 202-3616042
Web page: http://www.erf.org.eg
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:erg:wpaper:420. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Namees Nabeel)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.