کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
983515 1480471 2008 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Global and regional integration of the Middle East and North African (MENA) stock markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Global and regional integration of the Middle East and North African (MENA) stock markets
چکیده انگلیسی

We investigate financial integration of MENA region to facilitate a more in-depth exploration of the structure of interdependence and transmission mechanism of stock returns and volatility between MENA and world stock markets. The EGARCH-M models with a generalized error distribution are employed to consider both leverage effect of negative shocks and leptokurtosis prevalent in the MENA stock markets. The estimation results of multivariate AR-GARCH models indicate that there are large and predominantly positive volatility spillovers and volatility persistence in conditional volatility between MENA and world stock markets. Own-volatility spillovers are generally higher than cross-volatility spillovers for all the markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 48, Issue 3, August 2008, Pages 482–504
نویسندگان
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