“…Most of the previous studies were inconclusive because they examined that the intercontinental stock market comovement in respect of returns and volatility. Hence, the majority percent of those studies have been done based on grouped market indices or between diverse countries around the world (Gupta & Basu, 2011). The current authors claim that, for instance, some empirical researches have made a comparison by including their new data of stock markets comovements in the established economies in contradiction of the emerging markets, or among regions, with the Middle East, the Asia Pacific, Euro area and North Africa (MENA) (Balli & Balli, 2011;Rua & Nunes, 2009;Vo, Pham, Pham, Truong, & Nguyen, 2018).…”