This article assesses the effect of financial stress caused by the great depression, 2008-2009 , Oil crises of 2014-2015 accompanied by the sharp fall in the oil prices and the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eleven MENA countries. It is reveals that the extreme values of the FSIs are generally connected with well-known past financial stress episodes. We also found, for MENA Ex GCC countries, a weak interconnection between these countries while the GCC countries are more connected. Using a Vector auto-regression (VAR) estimation framework, we showed that the performance of the stock indices depends positively on its past and also, the stress index positively depends on his past delayed either by one or two periods. While, the study of impulse response functions shows that a positive shock on the financial stress index translates into a negative effect on stock market performance during the first year. This effect then disappears in slow motion before finding its long-term level.
The risk neutral densities is an important tool for analysing the dynamics of financial markets and traders' attitudes and reactions to already experienced shocks by financial markets as well as the potential ones. In this paper, we present a new method for extraction information content from options prices. By eliminating bias caused by daily variation of contract maturity through a completely non parametric technique based on Kernel regression, we allow to compare evolution of risk neutral density, and to extract from time continuous indicators that detect evolution of traders attitudes, risk perception and belief homogeneity. This method is useful to develop trading strategies and monetary policies.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.