کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
980369 1480444 2015 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis
چکیده انگلیسی


• The paper provides new insights into the links between stock markets in a group of MENA countries and the U.S. in the crisis and the non-crisis episodes.
• The results show that the pre-crisis relation with the U.S. was weak and negligible.
• The information transmission from the U.S. bursts during and after the financial crisis.
• There is higher degree of regional co-movement and volatility spillovers among Middle East and North Africa equities during the financial meltdown in 2008.

In this paper we investigate equity returns and volatility co-movement between the U.S. and a group of large Middle East and North African stock markets before and after the global financial crisis in 2008. Our empirical evidence suggests that the pre-crisis relation with the U.S. was weak and negligible, before it jumped to a high level after the crisis. The large diversification in the pre-crisis period was negatively influenced by higher transmissions after the crisis. However, it did not completely disappear during periods of stress. Moreover, there is some evidence that the association with the U.S. has started to revert to its initial low level and therefore, we may conclude that the Middle East and North African equities are important diversifiers for U.S. investors; particularly in the long run.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 56, May 2015, Pages 123–138
نویسندگان
, , ,