The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets

Neaime, Simon

doi:10.1016/j.ememar.2012.01.006

Cited by 162 publications

(82 citation statements)

References 38 publications

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“…Harvey (1997, 2000), Bekaert et al (2005) and Carrieri et al (2007) studied the implications of increasing integration with global markets for local returns, volatility and cross-country correlations, covering a diverse set of emerging markets in Asia, Eastern and Central Europe, Latin America and the Mediterranean area. A number of studies focused upon specific regions, including Neaime (2006Neaime ( , 2012 and Floros (2008) on the integration of stock markets in the Middle East and Ng (2000), Tay and Zhu (2000), Worthington and Higgs (2004), Caporale et al (2005Caporale et al ( , 2006, Engle et al (2012) and Yilmaz (2010) on the dynamics of stock market integration in emerging Asia.…”

Section: Introductionmentioning

confidence: 99%

An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries

Balli

Hajhoj

Basher

et al. 2015

International Review of Economics & Finance

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This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and the US) into the financial markets of selected emerging countries in Asia and the Middle East and North Africa (MENA) region. Based on constant and trend spillover models, we find evidence of significant spillover effects from developed markets to emerging markets. The results from variance ratios indicate the dominance of US shocks across all emerging markets, though the effect varies widely among countries. New to these literature, we conduct an empirical analysis quantifying the underlying determinants affecting the extent of shock spillovers. The results show that bilateral factors such as trade volume, portfolio investment and distance are significant in explaining the spillover effects.JEL Classification: F15, F36, G12.

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Section: Introductionmentioning

confidence: 99%

An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries

Balli

Hajhoj

Basher

et al. 2015

International Review of Economics & Finance

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“…The results are quite different for two of the MENA indexes, i.e. TUNINDEX (Tunisia) and Amman SE All Share (Jordan), but it is not surprising primarily because of the lower level of financial and economic world integration of the MENA region (Neaime, 2012), as well as lack of political and social stability. After employing the Forbes and Rigobon's correction of cross-correlations, the null of no contagion can be rejected only for two out of 17 indexes, i.e.…”

Section: Correctness Analysismentioning

confidence: 68%

“…Both results of Dooley and Hutchison (2009) and Mun and Brooks (2012) support the decoupling-recoupling hypothesis for emerging markets. Bartram andBodnar (2009, p. 1273 (2010) and Olbrys and Majewska (2014b) for Central and Eastern European countries, Ocampo (2009) for Latin American economies, Yilmaz (2010) for East Asian equity markets; and Lagoarde-Segot and Lucey (2009) and Neaime (2012) for the MENA region. Furthermore, the aftermath of financial crises in general was investigated by Reinhart and Rogoff (2009).…”

Section: The 2007 Us Subprime Financial Crisis-influence On Emerginmentioning

confidence: 99%

The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

Olbryś

2014

CBR

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Furthermore, the effect of increasing cross-market correlations in the crisis compared to the pre-crisis period in the context of contagion is examining. To address this issue, both standard contemporaneous cross-correlations and volatility-adjusted cross-correlations are applied. The results are consistent with the literature and confirm that tests for contagion based on cross-market correlations are problematic due to the bias introduced by changing volatility in market returns. As contagion can be confused with globalization, the globalization tests in the group of international investigated markets are employed. The results generally do not confirm a global world market integration effect, i.e. there is no reason to reject the research hypothesis of no globalization during the

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“…Based on a wide variety of methodologies, prior studies have focused on the issue of efficiency as well as the international integration of the MENA financial markets (Domowitz et al, 1998;Assaf, 2003;Neaime, 2012;Lagoarde-Segot and Lucey, 2008). Others have examined returns and univariate analysis of return volatility in selective stock markets in the MENA region (Al-Rjoub and Azzam, 2012;Alsybaie and Najad, 2009;Brooks, 2007;Khedhiri and Muhammad, 2008), while a few studies have explored the interdependence of volatility of returns between MENA stock markets and developed markets or the oil market (Hammoudeh and Li, 2008;Maghyereh and ALKandari, 2007;Rao, 2008;Khallouli and Sandretto, 2012).…”

Section: Israeli-hezbollah War and Global Financial Crisis In The Midmentioning

confidence: 99%

Israeli-Hezbollah War and Global Financial Crisis in the Middle East and North African Equity Markets

Bouri

2014

JEI

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This paper, which relies on a dynamic conditional correlation model covering eight years of daily data for twelve equity markets in the Middle East and North Africa, examines the dynamic behaviour of equity returns and the response to international and regional stress periods. We assess whether the Israeli-Hezbollah war and the global financial crisis have accentuated equity linkages and find strong evidence that, although war and financial crisis shocks caused harmful consequences in most MENA markets, there were significant benefits of regional diversification during stress periods in some MENA markets. Low equity correlations across several markets are driven by both the war and the global financial crisis, implying that there still appear to be benefits from regional diversification, especially in the times of stress when it is most needed. Our empirical results are useful for asset managers seeking to construct portfolios that can better resist adverse market conditions. JEL Classifications: F30, G01

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The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets

Cited by 162 publications

References 38 publications

An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries

An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries

The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

Israeli-Hezbollah War and Global Financial Crisis in the Middle East and North African Equity Markets

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