Global and regional co-movement of the MENA stock markets

Graham, Michael; Kiviaho, Jarno; Nikkinen, Jussi; Omran, Mohammed

doi:10.1016/j.jeconbus.2012.09.005

Cited by 48 publications

(31 citation statements)

References 37 publications

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“…In terms of cross market linkages, the evidence on segmentation from global markets has been provided by Cheng, Jahan-Parvar, and Rothman (2010), Darrat, Elkhal, and Hakim (2000), Grahama, Kiviahob, Nikkinenb, and Omran (2013) and Neaime (2012). These empirical studies indicated that MENA stocks are good candidates for international diversification from the perspective of a global investor.…”

Section: Introductionmentioning

confidence: 99%

“…Cheng, Jahan-Parvar, and Rothman (2010) used an alternative method; they estimated variants of the CAPM model that allow for time-varying degree of integration with international equity. Grahama, Kiviahob, Nikkinenb, and Omran (2013) used another alternative; they applied wavelet squared coherency with simulated confidence bounds to infer association. Finally, Neaime (2012) used a fitted GARCH type model of conditional volatility to estimate simple correlations.…”

Section: Introductionmentioning

confidence: 99%

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Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis

Maghyereh

Awartani

Hilu

2015

The Quarterly Review of Economics and Finance

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JEL classification: G1 G15 F44 Keywords:Volatility spillovers Dynamic correlations MENA markets a b s t r a c tIn 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.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis

Maghyereh

Awartani

Hilu

2015

The Quarterly Review of Economics and Finance

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“…Gupta and Guidi (2012) examined the time-varying co-movements and cointegration relations among Indian and Asian developed stock markets. Graham et al (2013) investigated not only global but also regional co-movements of the Middle East and North Africa (MENA) stock markets. On the other hand, with respect to the research of the value and growth stocks, value effects were much more studied than growth effects.…”

Section: Literature Reviewmentioning

confidence: 99%

Relations of Japanese Investment Styles and US Investment Styles after the Lehman Bankruptcy: Evidence from Japanese and US Stock Markets

Tsuji¹

2016

WJSS

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In this paper, in order to clarify the stock return relations of Japanese investment styles and US investment styles after the Lehman bankruptcy, we investigate the dynamic return linkages of Japanese four kinds of stock indices and US three kinds of stock indices. Specifically, this study empirically inspects the dynamic effects of the Nikkei 225, Tokyo stock price index (TOPIX), and the Morgan Stanley Capital International (MSCI) Japanese value-and growth-style equity indices on the MSCI US value, growth, and standard equity indices. As analyzing methodology, we employ the threshold generalized autoregressive conditional heteroskedasticity (TGARCH) model, and as a result of our investigations, we obtain clear and consistent important findings as follows. (1) First, our examinations by the TGARCH model evidence that the Nikkei 225 and TOPIX have a stronger effect on the MSCI US standard stock index than on the MSCI US value-and growth-style indices. (2) Second, our explorations by the TGARCH model further reveal that the time-series evolution of the MSCI Japanese value-and growth-style indices also has a stronger effect on the MSCI US standard stock index than on the MSCI US value-and growth-style stock indices.

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“…In terms of economics and finance, although this region has always been regarded as having bank-based economies (Graham et al, 2013), its stock markets have grown in importance over the last two decades. This is because most countries in the region began to liberalize their stock markets in the 1990s-far later than comparative regions such as Latin America and Asia.…”

Section: Introductionmentioning

confidence: 99%

Environmental conditions, fund characteristics, and Islamic orientation: An analysis of mutual fund performance for the MENA region

El‐Masry

Mingo‐López

Matallín‐Sáez

et al. 2016

Journal of Economic Behavior & Organization

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Islamic funds are increasingly seen as an alternative to conventional funds, in part due to the growing prominence of Islamic finance. In contrast to most previous literature, this paper focuses on the countries of the Middle East and North African region (MENA), and compares the performance of Islamic and conventional funds during crisis and recovery periods. Results show that the relative performance of Islamic and conventional funds seem to be conditioned by several factors such as the (geographical) context in which the investment is made. Considering the entire MENA region, Islamic funds perform, on average, slightly worse than conventional funds. However, if the analysis is restricted to Gulf Cooperation Council (GCC) countries, the result opposite is found. In addition, the performance gap between the two types of funds either widens or shrinks when considering recovery or crisis times, providing evidence that Islamic funds are more stable in times of distress.

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Global and regional co-movement of the MENA stock markets

Cited by 48 publications

References 37 publications

Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis

Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis

Relations of Japanese Investment Styles and US Investment Styles after the Lehman Bankruptcy: Evidence from Japanese and US Stock Markets

Environmental conditions, fund characteristics, and Islamic orientation: An analysis of mutual fund performance for the MENA region

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